Form NPORT-P PUTNAM FUNDS TRUST For: May 31

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July 27, 2021 10:06 AM EDT
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        NPORT-P
        false
        
            
            
                
                    0001005942
                    XXXXXXXX
                
            
            
            
            
                S000024277
                C000071725
                C000071724
                C000071723
                C000071727
                C000071728
                C000118009
            
            
            
        
    
    
        
            Putnam Funds Trust
            811-07513
            0001005942
            549300S9JYWEMKQCLW53
            100 FEDERAL STREET
            BOSTON
            
            02110
            1-800-225-1581
            Putnam Dynamic Risk Allocation Fund
            S000024277
            549300QOJG6OFCJ2ZT03
            2021-05-31
            2021-05-31
            N
        
        
            90050765.87
            6735320.26
            83315445.61
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            0.00
            3405816.37
            
                
                    CAD
                    
                    
                
                
                    EUR
                    
                    
                
                
                    GBP
                    
                    
                
                
                    JPY
                    
                    
                
                
                    USD
                    
                    
                
            
            
            
            N
            
                
                    
                    
                    
                    
                    
                    
                
                
                    
                        
                        
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                    
                    
                        
                        
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                    
                    
                        
                        
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                    
                    
                        
                        
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                    
                    
                        
                        
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                    
                    
                        
                        
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                        
                            
                            
                            
                        
                    
                
                
                
                
            
            
            
            
            
            
        
        
            
                GSAA TRUST
                N/A
                ASSET BACKED SECURITY
                36245RAA7
                
                    
                
                20199.56
                PA
                USD
                15145.72
                0.018178766121
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-05-25
                    Floating
                    .332
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                VENTURE XXVIII CLO LTD
                54930010DKR017G3JK24
                ASSET BACKED SECURITY
                92331AAC8
                
                    
                
                100000
                PA
                USD
                99863.2
                0.119861568607
                Long
                ABS-MBS
                CORP
                KY
                
                N
                
                2
                
                    2030-07-20
                    Floating
                    1.298
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                TOWD POINT MORTGAGE TRUST
                N/A
                ASSET BACKED SECURITY
                89171DAB3
                
                    
                
                35509.05
                PA
                USD
                35635.09
                0.042771288972
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2053-10-25
                    Variable
                    3.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                TOWD POINT ASSET TRUST 2018-SL1
                54930022FYEFQVX02P24
                ASSET BACKED SECURITY
                89174UAA4
                
                    
                
                57349.52
                PA
                USD
                57074.13
                0.068503660494
                Long
                ABS-O
                CORP
                US
                N
                
                2
                
                    2046-01-25
                    Floating
                    .692
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17
                N/A
                COMMERCIAL MORT BACKED SEC IO
                61763UBA9
                
                    
                
                466482.46
                PA
                USD
                11840.72
                0.014211914626
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-08-15
                    Variable
                    1.072
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19
                N/A
                COMMERCIAL MORT BACKED SEC IO
                17322AAJ1
                
                    
                
                946560.87
                PA
                USD
                24522.55
                0.029433377953
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-03-10
                    Variable
                    1.134
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES TRUST 2014-GC22
                N/A
                COMMERCIAL MORT BACKED SEC IO
                36253BAW3
                
                    
                
                1485690.87
                PA
                USD
                28169.14
                0.033810225456
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-06-10
                    Variable
                    .977
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2014-LC15 MORTGAGE TRUST
                N/A
                COMMERCIAL MORT BACKED SEC IO
                12591TAF3
                
                    
                
                1186960.8
                PA
                USD
                29555.32
                0.035473998589
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-04-10
                    Variable
                    1.069
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2013-CCRE11 MORTGAGE TRUST
                549300BCCWSDWINK2593
                COMMERCIAL MORT BACKED SEC IO
                12626LAF9
                
                    
                
                619303.58
                PA
                USD
                11081.2
                0.013300294944
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2050-08-10
                    Variable
                    .916
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2014-UBS6 MORTGAGE TRUST
                N/A
                COMMERCIAL MORT BACKED SEC IO
                12592PBG7
                
                    
                
                1237711.32
                PA
                USD
                29188.95
                0.035034260198
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-12-10
                    Variable
                    .885
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22
                N/A
                COMMERCIAL MORT BACKED SEC IO
                46642NBF2
                
                    
                
                3005362.17
                PA
                USD
                69090.27
                0.082926124315
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-09-15
                    Variable
                    .828
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C12
                N/A
                COMMERCIAL MORT BACKED SEC IO
                61762XAV9
                
                    
                
                665899.23
                PA
                USD
                7385.75
                0.008864802854
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-10-15
                    Variable
                    .584
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8
                N/A
                COMMERCIAL MORT BACKED SEC IO
                17318UAK0
                
                    
                
                572641.39
                PA
                USD
                7825.14
                0.009392184057
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-09-10
                    Variable
                    1.736
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WFRBS COMMERCIAL MORTGAGE TRUST 2011-C5
                N/A
                COMMERCIAL MORT BACKED SEC IO
                92936JAA2
                
                    
                
                666288.16
                PA
                USD
                133.26
                0.000159946333
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2044-11-15
                    Variable
                    1.633
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10
                N/A
                COMMERCIAL MORT BACKED SEC IO
                92890NAA7
                
                    
                
                751581.73
                PA
                USD
                12137.29
                0.014567875033
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-12-15
                    Variable
                    1.516
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY CAPITAL I TRUST 2016-BNK2
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61690YBX9
                
                    
                
                31000
                PA
                USD
                33260.33
                0.039920965142
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2049-11-15
                    Fixed
                    3.282
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CSMC TRUST 2016-NXSR
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12594PBB6
                
                    
                
                125000
                PA
                USD
                108660.38
                0.130420451099
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2049-12-15
                    Variable
                    4.356
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12532CBC8
                
                    
                
                35000
                PA
                USD
                38123.93
                0.045758538193
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2050-06-15
                    Variable
                    4.199
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY CAPITAL I TRUST 2011-C3
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61760RAG7
                
                    
                
                35000
                PA
                USD
                35070.05
                0.042093095396
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2049-07-15
                    Variable
                    5.216
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BANK 2017-BNK8
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                06650AAJ6
                
                    
                
                25000
                PA
                USD
                27697.5
                0.033244135943
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2050-11-15
                    Variable
                    3.926
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CD 2017-CD6 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                125039AH0
                
                    
                
                18000
                PA
                USD
                19777.3
                0.023737855394
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2050-11-13
                    Variable
                    3.709
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WFRBS COMMERCIAL MORTGAGE TRUST 2011-C3
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                92935VAS7
                
                    
                
                45266.23
                PA
                USD
                24217.43
                0.029067155343
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2044-03-15
                    Variable
                    5.598
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WFRBS COMMERCIAL MORTGAGE TRUST 2012-C6
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                92936QAS7
                
                    
                
                25000
                PA
                USD
                25342.25
                0.03041722914
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-04-15
                    Variable
                    5.614
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C5
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61761AAJ7
                
                    
                
                28000
                PA
                USD
                28419.22
                0.034110385886
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-08-15
                    Variable
                    4.663
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                90269CAR1
                
                    
                
                48000
                PA
                USD
                33023.47
                0.039636672118
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2063-05-10
                    Variable
                    4.887
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61761DAE2
                
                    
                
                19000
                PA
                USD
                19547.85
                0.023462456279
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-11-15
                    Fixed
                    3.476
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C8
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61761QAH6
                
                    
                
                21000
                PA
                USD
                21660.7
                0.025998420631
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2048-12-15
                    Variable
                    3.559
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WFRBS COMMERCIAL MORTGAGE TRUST 2013-C11
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                92937EAH7
                
                    
                
                45000
                PA
                USD
                46351.42
                0.055633645911
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-03-15
                    Variable
                    4.186
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                17320DAQ1
                
                    
                
                31000
                PA
                USD
                32364.74
                0.038846026404
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-04-10
                    Variable
                    3.732
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46639NAV3
                
                    
                
                22000
                PA
                USD
                22773.96
                0.027334619449
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2045-07-15
                    Variable
                    4.099
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES TRUST 2013-GCJ12
                549300SSCQUZ3RRV2T53
                COMMERCIAL MORTGAGE BACKED SECURITIES
                36197XAQ7
                
                    
                
                19000
                PA
                USD
                19862.49
                0.023840105343
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-06-10
                    Variable
                    3.777
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES TRUST 2013-GCJ14
                549300ITVQSU1IHX4H03
                COMMERCIAL MORTGAGE BACKED SECURITIES
                36198FAP7
                
                    
                
                23000
                PA
                USD
                24604.99
                0.029532327193
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-08-10
                    Variable
                    4.742
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C16
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46641BAH6
                
                    
                
                18000
                PA
                USD
                19385.44
                0.023267522436
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-12-15
                    Fixed
                    4.517
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                92938JAG7
                
                    
                
                48000
                PA
                USD
                50795.23
                0.060967362808
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-03-15
                    Variable
                    4.306
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC17
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                17321RAL0
                
                    
                
                17000
                PA
                USD
                17891.17
                0.021474013455
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-11-10
                    Variable
                    5.109
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2013-CCRE13 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12630BBF4
                
                    
                
                43000
                PA
                USD
                46870
                0.056256075517
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2046-11-10
                    Variable
                    4.883
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2014-UBS2 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12591UAJ2
                
                    
                
                24000
                PA
                USD
                26160
                0.031398739824
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-03-10
                    Fixed
                    4.701
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C15
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61763KBA1
                
                    
                
                19000
                PA
                USD
                20555.13
                0.024671451793
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-04-15
                    Fixed
                    4.051
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46641WBA4
                
                    
                
                16000
                PA
                USD
                17362.85
                0.020839893339
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-04-15
                    Variable
                    4.394
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61763UBE1
                
                    
                
                44000
                PA
                USD
                44077.84
                0.052904764149
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-08-15
                    Variable
                    4.479
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46642NBK1
                
                    
                
                86000
                PA
                USD
                80980.18
                0.097197079614
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-09-15
                    Variable
                    4.553
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2014-UBS6 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12592PBL6
                
                    
                
                51000
                PA
                USD
                53723.33
                0.064481837199
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-12-10
                    Variable
                    4.445
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2014-UBS3 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12591YBF1
                
                    
                
                16000
                PA
                USD
                17120
                0.020548410771
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-06-10
                    Fixed
                    4.313
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C16
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61763MAH3
                
                    
                
                18000
                PA
                USD
                19124.14
                0.022953895115
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-06-15
                    Fixed
                    4.094
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2015-LC19 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                200474BF0
                
                    
                
                39000
                PA
                USD
                41923.91
                0.050319493214
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2048-02-10
                    Variable
                    3.829
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                LSTAR COMMERCIAL MORTGAGE TRUST 2015-3
                549300MAI3U5Y4VL8H37
                COMMERCIAL MORTGAGE BACKED SECURITIES
                54910JAQ7
                
                    
                
                147000
                PA
                USD
                151464.39
                0.181796291061
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2048-04-20
                    Variable
                    3.216
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C29
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                46644RBE4
                
                    
                
                35000
                PA
                USD
                37775.64
                0.04534050046
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2048-05-15
                    Variable
                    4.118
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COMM 2015-CCRE24 MORTGAGE TRUST
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                12593JBJ4
                
                    
                
                40000
                PA
                USD
                44087.58
                0.052916454659
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2048-08-10
                    Variable
                    4.379
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                17322AAM4
                
                    
                
                13000
                PA
                USD
                13975.13
                0.016773756532
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2047-03-10
                    Variable
                    5.092
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS3
                549300ZVNWG0TX42H716
                COMMERCIAL MORTGAGE BACKED SECURITIES
                94989VAF6
                
                    
                
                15000
                PA
                USD
                16404.75
                0.019689926495
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2057-09-15
                    Variable
                    3.972
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BANK 2019-BNK24
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                06540VBE4
                
                    
                
                26000
                PA
                USD
                28080
                0.03370323449
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2062-11-15
                    Variable
                    3.283
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C5
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                05492JAX0
                
                    
                
                57000
                PA
                USD
                61460.48
                0.073768410587
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2052-11-15
                    Variable
                    3.366
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES TRUST 2019-GC42
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                36257UAQ0
                
                    
                
                23000
                PA
                USD
                24501.9
                0.029408592633
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2052-09-01
                    Fixed
                    3.212
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES TRUST 2019-GC40
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                36257HBT2
                
                    
                
                29000
                PA
                USD
                31353.39
                0.037632145841
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2052-07-10
                    Fixed
                    3.412
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C3
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                05550MAY0
                
                    
                
                21000
                PA
                USD
                22436.74
                0.026929868568
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2052-05-15
                    Fixed
                    4.096
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C48
                549300REQJRID6TODX95
                COMMERCIAL MORTGAGE BACKED SECURITIES
                95001RBB4
                
                    
                
                14000
                PA
                USD
                16341.35
                0.019613830161
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2052-01-15
                    Variable
                    4.904
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C46
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                95001QAY7
                
                    
                
                16000
                PA
                USD
                18386.21
                0.022068188996
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2051-08-15
                    Fixed
                    4.633
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GS MORTGAGE SECURITIES TRUST 2015-GC32
                54930066YOFVQE068N73
                COMMERCIAL MORTGAGE BACKED SECURITIES
                36250PAH8
                
                    
                
                25000
                PA
                USD
                27300
                0.032767033532
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2048-07-10
                    Variable
                    4.018
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C24
                N/A
                COMMERCIAL MORTGAGE BACKED SECURITIES
                61765LAX8
                
                    
                
                18000
                PA
                USD
                19715.35
                0.023663499434
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2048-05-15
                    Variable
                    4.344
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES
                S6XOOCT0IEG5ABCC6L87
                COMMERCIAL MORTGAGE BACKED SECURITIES
                3137FWG95
                
                    
                
                309826.99
                PA
                USD
                30806.1
                0.036975256838
                Long
                ABS-MBS
                CORP
                US
                N
                
                2
                
                    2030-06-25
                    Variable
                    1.328
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MELLO WAREHOUSE SECURITIZATION TRUST 2018-1
                54930071PMO0D7K08N34
                CORP CMO
                58552NAA7
                
                    
                
                27000
                PA
                USD
                27000
                0.03240695624
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2055-04-25
                    Floating
                    .842
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ALTERNATIVE LOAN TRUST 2006-OA7
                N/A
                CORP CMO
                02146BAB2
                
                    
                
                117291.94
                PA
                USD
                107099.15
                0.128546572866
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2046-06-25
                    Floating
                    1.067
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MRA ISSUANCE TRUST
                N/A
                CORP CMO
                62477K109
                
                    
                
                45000
                PA
                USD
                45000
                0.054011593733
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2022-02-16
                    Floating
                    1.849
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                PROVIDENT FUNDING MORTGAGE WAREHOUSE SECURITIZATION TRUST 2021-1
                N/A
                CORP CMO
                74387PAA0
                
                    
                
                25000
                PA
                USD
                25000
                0.030006440963
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2055-02-25
                    Floating
                    .792
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STATION PLACE SECURITIZATION TRUST SERIES 2021-6
                N/A
                CORP CMO
                85777PAA4
                
                    
                
                46000
                PA
                USD
                46000
                0.055211851372
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2022-04-25
                    Floating
                    .893
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MRA ISSUANCE TRUST
                N/A
                CORP CMO
                55349BAA7
                
                    
                
                33000
                PA
                USD
                33000
                0.039608502071
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2021-10-08
                    Floating
                    1.86
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STATION PLACE SECURITIZATION TRUST
                N/A
                CORP CMO
                85777QAA2
                
                    
                
                28000
                PA
                USD
                28000
                0.033607213879
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2054-03-25
                    Floating
                    .792
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STATION PLACE SECURITIZATION TRUST SERIES 2020-6
                N/A
                CORP CMO
                85775EAA1
                
                    
                
                40000
                PA
                USD
                40000
                0.048010305541
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2021-09-07
                    Floating
                    1.843
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ELLINGTON FINANCIAL MORTGAGE TRUST 2020-1
                N/A
                CORP CMO
                31574PAA3
                
                    
                
                60201.93
                PA
                USD
                61037.16
                0.073260317523
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2065-05-25
                    Variable
                    2.006
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                1SHARPE MORTGAGE TRUST 2020-1
                N/A
                CORP CMO
                68257LAA8
                
                    
                
                34000
                PA
                USD
                34034
                0.040849568469
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2024-07-25
                    Floating
                    3.047
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STATION PLACE SECURITIZATION TRUST SERIES 2020-13
                N/A
                CORP CMO
                85775WAA1
                
                    
                
                38000
                PA
                USD
                38000
                0.045609790264
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2021-10-10
                    Floating
                    1.593
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STATION PLACE SECURITIZATION TRUST SERIES 2020-15
                N/A
                CORP CMO
                85775FAA8
                
                    
                
                38000
                PA
                USD
                38000
                0.045609790264
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2021-12-10
                    Floating
                    1.463
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MELLO WAREHOUSE SECURITIZATION TRUST 2020-1
                N/A
                CORP CMO
                585505AA8
                
                    
                
                25000
                PA
                USD
                25000
                0.030006440963
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2053-10-25
                    Floating
                    .992
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MRA ISSUANCE TRUST 2020-11
                N/A
                CORP CMO
                55349JAA0
                
                    
                
                38000
                PA
                USD
                38000
                0.045609790264
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2022-04-22
                    Floating
                    1.801
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MELLO WAREHOUSE SECURITIZATION TRUST 2020-2
                N/A
                CORP CMO
                58551VAA0
                
                    
                
                25000
                PA
                USD
                25000
                0.030006440963
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2053-11-25
                    Floating
                    .892
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XNT7
                
                    
                
                1044.06
                PA
                USD
                1047.32
                0.00125705383
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-01-25
                    Floating
                    2.292
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STATION PLACE SECURITIZATION TRUST 2021-WL1
                N/A
                CORP CMO
                857740AA2
                
                    
                
                28000
                PA
                USD
                28000
                0.033607213879
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2054-01-26
                    Floating
                    .742
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XYX6
                
                    
                
                7183.88
                PA
                USD
                7247.11
                0.008698399135
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-07-25
                    Floating
                    2.342
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STACR TRUST 2018-HRP2
                549300YG8OJES76WL398
                CORP CMO
                35564ABF7
                
                    
                
                38000
                PA
                USD
                38517.24
                0.046230611525
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2047-02-25
                    Floating
                    2.492
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR TRUST 2019-DNA1
                5493007222WHFWMBOC78
                CORP CMO
                35563KAH3
                
                    
                
                8866.94
                PA
                USD
                9026.29
                0.01083387352
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2049-01-25
                    Floating
                    2.742
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR TRUST 2019-HQA1
                54930047IR7X5WWFY307
                CORP CMO
                35563MAH9
                
                    
                
                7239.2
                PA
                USD
                7309.03
                0.008772719088
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2049-02-25
                    Floating
                    2.442
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XEX8
                
                    
                
                10000
                PA
                USD
                10001.56
                0.012004448787
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2029-07-25
                    Floating
                    1.342
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CONNECTICUT AVENUE SECURITIES TRUST 2019-HRP1
                549300Z5THZ1JXIHVK60
                CORP CMO
                20754PAC4
                
                    
                
                26832.19
                PA
                USD
                26461.89
                0.031761085602
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2039-11-25
                    Floating
                    2.242
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STACR REMIC TRUST 2020-HQA1
                549300TCRXCIFPAC3B85
                CORP CMO
                35565JAH4
                
                    
                
                13027.81
                PA
                USD
                13060.95
                0.015676505004
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2050-01-25
                    Floating
                    1.992
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XBF0
                
                    
                
                103276.06
                PA
                USD
                109349.39
                0.131247440615
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-04-25
                    Floating
                    5.792
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
                S6XOOCT0IEG5ABCC6L87
                CORP CMO
                3137G0HW2
                
                    
                
                195243.15
                PA
                USD
                204687.71
                0.245677987438
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-07-25
                    Floating
                    5.642
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XBM5
                
                    
                
                122558.44
                PA
                USD
                131023.01
                0.157261368574
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-08-25
                    Floating
                    6.842
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XBU7
                
                    
                
                19099.92
                PA
                USD
                20328.83
                0.02439983349
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-08-25
                    Floating
                    7.042
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XBD5
                
                    
                
                9786.56
                PA
                USD
                9898.2
                0.011880390158
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2025-07-25
                    Floating
                    5.092
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XCB8
                
                    
                
                77424.46
                PA
                USD
                81759.1
                0.098131984293
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-09-25
                    Floating
                    6.092
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES
                S6XOOCT0IEG5ABCC6L87
                CORP CMO
                3137G0JU4
                
                    
                
                171284.69
                PA
                USD
                179126.41
                0.214997841863
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2028-10-25
                    Floating
                    4.742
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR10 TRUST
                N/A
                CORP CMO
                92922FW46
                
                    
                
                13153.24
                PA
                USD
                13266.22
                0.015922881889
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2035-09-25
                    Variable
                    3.095
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XDA9
                
                    
                
                45147.32
                PA
                USD
                46999.76
                0.056411820949
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2029-01-25
                    Floating
                    4.342
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XDK7
                
                    
                
                19374.39
                PA
                USD
                20213.37
                0.024261251743
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2029-01-25
                    Floating
                    4.542
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XAP9
                
                    
                
                11620.35
                PA
                USD
                12021.22
                0.014428561129
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2024-11-25
                    Floating
                    4.992
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XEC4
                
                    
                
                5477.11
                PA
                USD
                5729.3
                0.006876636088
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2029-05-25
                    Floating
                    4.442
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                NEWREZ WAREHOUSE SECURITIZATION TRUST 2021-1
                N/A
                CORP CMO
                65246PAA9
                
                    
                
                25000
                PA
                USD
                25054.78
                0.030072191076
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2055-05-25
                    Floating
                    .842
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY RESECURITIZATION TRUST 2015-R4
                N/A
                CORP CMO
                61690WAY2
                
                    
                
                80000
                PA
                USD
                77299.2
                0.092778955251
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2047-08-26
                    Variable
                    .932
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLMI 2005-A2
                N/A
                CORP CMO
                59020USJ5
                
                    
                
                12723.87
                PA
                USD
                13428.71
                0.016117911753
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2035-02-25
                    Variable
                    2.798
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP MORTGAGE LOAN TRUST INC
                549300R1KUK063S4I339
                CORP CMO
                17307GQZ4
                
                    
                
                25802.64
                PA
                USD
                26791.96
                0.032157254641
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2035-05-25
                    Variable
                    2.796
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XEP5
                
                    
                
                20623.33
                PA
                USD
                21368.02
                0.025647129225
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2029-07-25
                    Floating
                    3.642
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XSX3
                
                    
                
                22651.69
                PA
                USD
                23114.32
                0.027743139139
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-02-25
                    Floating
                    2.892
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR12 TRUST
                N/A
                CORP CMO
                92922F3N6
                
                    
                
                57764.02
                PA
                USD
                57358.32
                0.068844761713
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2035-10-25
                    Variable
                    2.903
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR7
                N/A
                CORP CMO
                86364KAA2
                
                    
                
                96985.54
                PA
                USD
                80918.96
                0.097123599841
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2047-05-25
                    Floating
                    .942
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE CONNECTICUT AVENUE SECURITIES
                B1V7KEBTPIMZEU4LTD58
                CORP CMO
                30711XC36
                
                    
                
                24486.77
                PA
                USD
                24796.33
                0.02976198449
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2030-08-25
                    Floating
                    2.292
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ALTERNATIVE LOAN TRUST 2007-OH1
                N/A
                CORP CMO
                02150KAZ2
                
                    
                
                19542.35
                PA
                USD
                14554.11
                0.017468681699
                Long
                ABS-CBDO
                CORP
                US
                N
                
                2
                
                    2047-04-25
                    Floating
                    .302
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                US BANCORP
                N1GZ7BBF3NP8GI976H15
                CORP MED TERM NOTE
                91159JAA4
                
                    
                
                18000
                PA
                USD
                18509.59
                0.022216276783
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-07-15
                    Fixed
                    2.95
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                US BANCORP
                N1GZ7BBF3NP8GI976H15
                CORP MED TERM NOTE
                91159HHP8
                
                    
                
                4000
                PA
                USD
                4055.2
                0.004867284776
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-01-24
                    Fixed
                    2.625
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                VERIZON COMMUNICATIONS INC
                2S72QS2UO2OESLG6Y829
                CORP. NOTE
                92343VGJ7
                
                    
                
                12000
                PA
                USD
                12077.51
                0.014496123632
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2031-03-21
                    Fixed
                    2.55
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GLOBAL PAYMENTS INC
                549300NOMHGVQBX6S778
                CORP. NOTE
                37940XAD4
                
                    
                
                21000
                PA
                USD
                21547.5
                0.025862551466
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2030-05-15
                    Fixed
                    2.9
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                NUTRIEN LTD
                5493002QQ7GD21OWF963
                CORP. NOTE
                67077MAW8
                
                    
                
                8000
                PA
                USD
                8365.96
                0.010041307394
                Long
                DBT
                CORP
                CA
                N
                
                2
                
                    2030-05-13
                    Fixed
                    2.95
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BECTON DICKINSON AND CO
                ICE2EP6D98PQUILVRZ91
                CORP. NOTE
                075887CJ6
                
                    
                
                11000
                PA
                USD
                11395.25
                0.013677235855
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2030-05-20
                    Fixed
                    2.823
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITEDHEALTH GROUP INC
                549300GHBMY8T5GXDE41
                CORP. NOTE
                91324PDX7
                
                    
                
                22000
                PA
                USD
                21901.15
                0.02628702258
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2030-05-15
                    Fixed
                    2
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                VIATRIS INC
                254900ZZTSW7NL773X71
                CORP. NOTE
                91533BAC4
                
                    
                
                8000
                PA
                USD
                8158.01
                0.009791713818
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2027-06-22
                    Fixed
                    2.3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ARES CAPITAL CORP
                WEQ82666OJYSI5GUAB47
                CORP. NOTE
                04010LAZ6
                
                    
                
                40000
                PA
                USD
                42856.78
                0.051439177557
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2026-01-15
                    Fixed
                    3.875
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREEPORT-MCMORAN INC
                549300IRDTHJQ1PVET45
                CORP. NOTE
                35671DCG8
                
                    
                
                25000
                PA
                USD
                26387.38
                0.031671654405
                Long
                DBT
                CORP
                US
                
                N
                
                2
                
                    2028-08-01
                    Fixed
                    4.375
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GLENCORE FUNDING LLC
                213800STG1QDNBY87K49
                CORP. NOTE
                378272AY4
                
                    
                
                36000
                PA
                USD
                35274.61
                0.042338620098
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2030-09-01
                    Fixed
                    2.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                KRATON POLYMERS LLC / KRATON POLYMERS CAPITAL CORP
                N/A
                CORP. NOTE
                50076XAC5
                
                    
                
                45000
                PA
                USD
                45573.3
                0.054699701438
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2025-12-15
                    Fixed
                    4.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                KEURIG DR PEPPER INC
                DYTQ8KRTKO7Y2BVU5K74
                CORP. NOTE
                49271VAN0
                
                    
                
                20000
                PA
                USD
                19789.57
                0.023752582556
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2031-03-15
                    Fixed
                    2.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CIT GROUP INC
                N8O96ZZJQRFYQUJY7K79
                CORP. NOTE
                125581GW2
                
                    
                
                54000
                PA
                USD
                61020
                0.073239721102
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2025-03-07
                    Fixed
                    5.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SALESFORCE.COM INC
                RCGZFPDMRW58VJ54VR07
                CORP. NOTE
                79466LAF1
                
                    
                
                10000
                PA
                USD
                11321.58
                0.013588812875
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-04-11
                    Fixed
                    3.7
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FAIRFAX FINANCIAL HOLDINGS LTD
                GLS7OQD0WOEDI8YAP031
                CORP. NOTE
                303901BB7
                
                    
                
                30000
                PA
                USD
                33925.39
                0.040719208487
                Long
                DBT
                CORP
                CA
                N
                
                2
                
                    2028-04-17
                    Fixed
                    4.85
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                OSHKOSH CORP
                549300FEKNPCFSA2B506
                CORP. NOTE
                688239AF9
                
                    
                
                21000
                PA
                USD
                23985.2
                0.028788419511
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-05-15
                    Fixed
                    4.6
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                KEURIG DR PEPPER INC
                DYTQ8KRTKO7Y2BVU5K74
                CORP. NOTE
                49271VAF7
                
                    
                
                17000
                PA
                USD
                19832
                0.023803509487
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-05-25
                    Fixed
                    4.597
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MICROCHIP TECHNOLOGY INC
                5493007PTFULNYZJ1R12
                CORP. NOTE
                595017AP9
                
                    
                
                16000
                PA
                USD
                17139.14
                0.020571383703
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2023-06-01
                    Fixed
                    4.333
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MITSUBISHI UFJ FINANCIAL GROUP INC
                353800V2V8PUY9TK3E06
                CORP. NOTE
                606822AW4
                
                    
                
                76000
                PA
                USD
                76354.84
                0.091645479948
                Long
                DBT
                CORP
                JP
                N
                
                2
                
                    2021-07-26
                    Fixed
                    3.535
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                DUKE ENERGY PROGRESS LLC
                0NIFZ782LS46WOC9QK20
                CORP. NOTE
                26442UAF1
                
                    
                
                15000
                PA
                USD
                16021.92
                0.019230431864
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2023-09-01
                    Fixed
                    3.375
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                INTERNATIONAL FLAVORS  AND  FRAGRANCES INC
                BZLRL03D3GPGMOGFO832
                CORP. NOTE
                459506AK7
                
                    
                
                9000
                PA
                USD
                10280.13
                0.012338804557
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-09-26
                    Fixed
                    4.45
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                NUTRIEN LTD
                5493002QQ7GD21OWF963
                CORP. NOTE
                67077MAT5
                
                    
                
                14000
                PA
                USD
                16003.69
                0.019208551167
                Long
                DBT
                CORP
                CA
                N
                
                2
                
                    2029-04-01
                    Fixed
                    4.2
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ENERGY TRANSFER LP
                MTLVN9N7JE8MIBIJ1H73
                CORP. NOTE
                29278NAM5
                
                    
                
                24000
                PA
                USD
                26713.54
                0.032063130437
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2024-01-15
                    Fixed
                    5.875
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ROYAL BANK OF CANADA
                ES7IP3U3RHIGC71XBU11
                CORP. NOTE
                78013X6D5
                
                    
                
                2000
                PA
                USD
                2047.55
                0.002457587528
                Long
                DBT
                CORP
                CA
                N
                
                2
                
                    2022-04-29
                    Fixed
                    2.8
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BERRY GLOBAL INC
                549300AP2Q7ERHX6RI89
                CORP. NOTE
                085770AA3
                
                    
                
                22000
                PA
                USD
                23237.5
                0.027890986875
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2026-07-15
                    Fixed
                    4.875
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                NRG ENERGY INC
                5E2UPK5SW04M13XY7I38
                CORP. NOTE
                629377CK6
                
                    
                
                12000
                PA
                USD
                12791.58
                0.015353191604
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2024-06-15
                    Fixed
                    3.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                VISTRA OPERATIONS CO LLC
                549300ZH5GKBTJZ7NM23
                CORP. NOTE
                92840VAD4
                
                    
                
                9000
                PA
                USD
                9463.05
                0.011358098046
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2024-07-15
                    Fixed
                    3.55
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                L3HARRIS TECHNOLOGIES INC
                549300UTE50ZMDBG8A20
                CORP. NOTE
                502431AM1
                
                    
                
                5000
                PA
                USD
                5725.75
                0.006872375174
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-06-15
                    Fixed
                    4.4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                L3HARRIS TECHNOLOGIES INC
                549300UTE50ZMDBG8A20
                CORP. NOTE
                502431AL3
                
                    
                
                10000
                PA
                USD
                11185.49
                0.013425469813
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2026-12-15
                    Fixed
                    3.85
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BANK OF NOVA SCOTIA/THE
                L3I9ZG2KFGXZ61BMYR72
                CORP. NOTE
                064159SH0
                
                    
                
                40000
                PA
                USD
                41040.82
                0.049259557696
                Long
                DBT
                CORP
                CA
                N
                
                2
                
                    2022-11-15
                    Fixed
                    2
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                EQUINIX INC
                549300EVUN2BTLJ3GT74
                CORP. NOTE
                29444UBE5
                
                    
                
                19000
                PA
                USD
                20091.61
                0.024115108373
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2029-11-18
                    Fixed
                    3.2
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ABBVIE INC
                FR5LCKFTG8054YNNRU85
                CORP. NOTE
                00287YBX6
                
                    
                
                6000
                PA
                USD
                6440.37
                0.007730103287
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2029-11-21
                    Fixed
                    3.2
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BRISTOL-MYERS SQUIBB CO
                HLYYNH7UQUORYSJQCN42
                CORP. NOTE
                110122CZ9
                
                    
                
                67000
                PA
                USD
                70256.02
                0.084325324657
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2023-02-20
                    Fixed
                    3.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BRISTOL-MYERS SQUIBB CO
                HLYYNH7UQUORYSJQCN42
                CORP. NOTE
                110122CW6
                
                    
                
                45000
                PA
                USD
                46635.44
                0.055974543086
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-08-15
                    Fixed
                    3.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BRISTOL-MYERS SQUIBB CO
                HLYYNH7UQUORYSJQCN42
                CORP. NOTE
                110122CV8
                
                    
                
                35000
                PA
                USD
                35148.21
                0.042186907533
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2021-08-15
                    Fixed
                    2.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ENERGY TRANSFER LP
                MTLVN9N7JE8MIBIJ1H73
                CORP. NOTE
                29278NAP8
                
                    
                
                10000
                PA
                USD
                10538.16
                0.012648507036
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2025-05-15
                    Fixed
                    2.9
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                HOLLY ENERGY PARTNERS LP / HOLLY ENERGY FINANCE CORP
                549300HLPTRASHS0E726
                CORP. NOTE
                435765AH5
                
                    
                
                27000
                PA
                USD
                27675
                0.033217130146
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-02-01
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                T-MOBILE USA INC
                549300V2JRLO5DIFGE82
                CORP. NOTE
                87264ABF1
                
                    
                
                10000
                PA
                USD
                10948.5
                0.013141020755
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2030-04-15
                    Fixed
                    3.875
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                T-MOBILE USA INC
                549300V2JRLO5DIFGE82
                CORP. NOTE
                87264ABD6
                
                    
                
                26000
                PA
                USD
                28582.06
                0.03430583584
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2027-04-15
                    Fixed
                    3.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                IPALCO ENTERPRISES INC
                5493000YFVK2DZX0JV43
                CORP. NOTE
                462613AP5
                
                    
                
                15000
                PA
                USD
                16683.99
                0.020025086438
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2030-05-01
                    Fixed
                    4.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UBS AG/LONDON
                BFM8T61CT2L1QCEMIK50
                CORP. NOTE
                902674YA2
                
                    
                
                200000
                PA
                USD
                202526.03
                0.243083414506
                Long
                DBT
                CORP
                GB
                N
                
                2
                
                    2022-04-21
                    Fixed
                    1.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                NEW YORK LIFE GLOBAL FUNDING
                635400DPNHEAUHB7ZI15
                CORP. NOTE
                64952WDP5
                
                    
                
                110000
                PA
                USD
                111691.93
                0.134059092143
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2023-05-05
                    Fixed
                    1.1
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                APPLE INC
                HWUPKR0MPOU8FGXBT394
                CORP. NOTE
                037833DV9
                
                    
                
                40000
                PA
                USD
                40415.6
                0.048509132615
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2023-05-11
                    Fixed
                    .75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                KRAFT HEINZ FOODS CO
                5493003STKEZ2S0RNU91
                CORP. NOTE
                50077LBC9
                
                    
                
                4000
                PA
                USD
                4380.37
                0.005257572552
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2027-05-15
                    Fixed
                    3.875
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                PULTE HOMES INC
                N/A
                CORP. NOTE
                745867AW1
                
                    
                
                2000
                PA
                USD
                2340
                0.002808602874
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2026-03-01
                    Fixed
                    5.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ORACLE CORP
                1Z4GXXU7ZHVWFCD8TV52
                CORP. NOTE
                68389XBK0
                
                    
                
                35000
                PA
                USD
                35124.69
                0.042158677473
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2021-09-15
                    Fixed
                    1.9
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MICROSOFT CORP
                INR2EJN1ERAN0W5ZP974
                CORP. NOTE
                594918BP8
                
                    
                
                82000
                PA
                USD
                82115.19
                0.098559384036
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2021-08-08
                    Fixed
                    1.55
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                S AND P GLOBAL INC
                Y6X4K52KMJMZE7I7MY94
                CORP. NOTE
                78409VAM6
                
                    
                
                9000
                PA
                USD
                9728.85
                0.011677126527
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2027-01-22
                    Fixed
                    2.95
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SABINE PASS LIQUEFACTION LLC
                549300KJYBG7C6WJYZ11
                CORP. NOTE
                785592AS5
                
                    
                
                12000
                PA
                USD
                13903.4
                0.016687662051
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2027-03-15
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GENERAL MOTORS FINANCIAL CO INC
                5493008B6JBRUJ90QL97
                CORP. NOTE
                37045XBQ8
                
                    
                
                6000
                PA
                USD
                6641.47
                0.007971475098
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2026-10-06
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SPECTRA ENERGY PARTNERS LP
                2HKVXE7U4NF5B6UGSU72
                CORP. NOTE
                84756NAH2
                
                    
                
                8000
                PA
                USD
                8691.58
                0.010432135286
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2026-10-15
                    Fixed
                    3.375
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                LAMB WESTON HOLDINGS INC
                5493005SMYID1D2OY946
                CORP. NOTE
                513272AB0
                
                    
                
                65000
                PA
                USD
                67330.25
                0.080813646866
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2026-11-01
                    Fixed
                    4.875
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                PETROLEOS MEXICANOS
                549300CAZKPF4HKMPX17
                CORP. NOTE
                71654QCG5
                
                    
                
                24000
                PA
                USD
                25537.63
                0.030651735477
                Long
                DBT
                CORP
                MX
                N
                
                2
                
                    2027-03-13
                    Fixed
                    6.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MICROSOFT CORP
                INR2EJN1ERAN0W5ZP974
                CORP. NOTE
                594918BW3
                
                    
                
                10000
                PA
                USD
                10133.08
                0.012162306672
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-02-06
                    Fixed
                    2.4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                IHS MARKIT LTD
                549300HLPTRASHS0E726
                CORP. NOTE
                44962LAB3
                
                    
                
                56000
                PA
                USD
                62930
                0.075532213192
                Long
                DBT
                CORP
                GB
                N
                
                2
                
                    2025-02-15
                    Fixed
                    4.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BANK OF NOVA SCOTIA/THE
                L3I9ZG2KFGXZ61BMYR72
                CORP. NOTE
                064159JG2
                
                    
                
                8000
                PA
                USD
                8150.22
                0.009782363811
                Long
                DBT
                CORP
                CA
                N
                
                2
                
                    2022-03-07
                    Fixed
                    2.7
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                IPALCO ENTERPRISES INC
                5493000YFVK2DZX0JV43
                CORP. NOTE
                462613AM2
                
                    
                
                14000
                PA
                USD
                15121.9
                0.018150175984
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2024-09-01
                    Fixed
                    3.7
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                PETROBRAS GLOBAL FINANCE BV
                549300FNENFFSMO3GT38
                CORP. NOTE
                71647NAV1
                
                    
                
                5000
                PA
                USD
                5581.3
                0.006698997958
                Long
                DBT
                CORP
                NL
                
                N
                
                2
                
                    2025-01-27
                    Fixed
                    5.299
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                PETROBRAS GLOBAL FINANCE BV
                549300FNENFFSMO3GT38
                CORP. NOTE
                71647NAY5
                
                    
                
                45000
                PA
                USD
                51356.25
                0.061640731348
                Long
                DBT
                CORP
                NL
                
                N
                
                2
                
                    2028-01-27
                    Fixed
                    5.999
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY
                IGJSJL3JD5P30I6NJZ34
                CORP. NOTE
                61744YAN8
                
                    
                
                125000
                PA
                USD
                130771.81
                0.156959863855
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2023-01-23
                    Fixed
                    3.125
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AMERICAN AXLE  AND  MANUFACTURING INC
                RY5TAKFOBLDUGX31MS24
                CORP. NOTE
                02406PAR1
                
                    
                
                30000
                PA
                USD
                31047.3
                0.03726475898
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2025-04-01
                    Fixed
                    6.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY
                IGJSJL3JD5P30I6NJZ34
                CORP. NOTE
                61747WAL3
                
                    
                
                25000
                PA
                USD
                25204.13
                0.030251449555
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2021-07-28
                    Fixed
                    5.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS GROUP INC/THE
                784F5XWPLTWKTBV3E584
                CORP. NOTE
                38141GGS7
                
                    
                
                45000
                PA
                USD
                46606.42
                0.055939711609
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-01-24
                    Fixed
                    5.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                PNC FINANCIAL SERVICES GROUP INC/THE
                CFGNEKW0P8842LEUIA51
                CORP. NOTE
                693476BN2
                
                    
                
                11000
                PA
                USD
                11230.18
                0.013479109327
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-03-08
                    Fixed
                    3.3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ORACLE CORP
                1Z4GXXU7ZHVWFCD8TV52
                CORP. NOTE
                68389XAP0
                
                    
                
                22000
                PA
                USD
                22659.23
                0.02719691389
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-10-15
                    Fixed
                    2.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AMAZON.COM INC
                ZXTILKJKG63JELOEG630
                CORP. NOTE
                023135AJ5
                
                    
                
                24000
                PA
                USD
                24677.45
                0.029619297862
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-11-29
                    Fixed
                    2.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AMERICAN EXPRESS CO
                R4PP93JZOLY261QX3811
                CORP. NOTE
                025816BD0
                
                    
                
                35000
                PA
                USD
                36271.85
                0.043535565026
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-12-02
                    Fixed
                    2.65
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMORGAN CHASE  AND  CO
                8I5DZWZKVSZI1NUHU748
                CORP. NOTE
                46625HJJ0
                
                    
                
                70000
                PA
                USD
                74007.51
                0.088828079185
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2023-05-01
                    Fixed
                    3.375
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ORACLE CORP
                1Z4GXXU7ZHVWFCD8TV52
                CORP. NOTE
                68389XAS4
                
                    
                
                40000
                PA
                USD
                42690.6
                0.051239718743
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2023-07-15
                    Fixed
                    3.625
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ENERGY TRANSFER LP / REGENCY ENERGY FINANCE CORP
                N/A
                CORP. NOTE
                75886AAL2
                
                    
                
                3000
                PA
                USD
                3079.66
                0.003696385439
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-03-01
                    Fixed
                    5.875
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                TOTALENERGIES CAPITAL INTERNATIONAL SA
                549300U37G2I8G4RUG09
                CORP. NOTE
                89153VAP4
                
                    
                
                117000
                PA
                USD
                117144.23
                0.140603256866
                Long
                DBT
                CORP
                FR
                N
                
                2
                
                    2021-06-19
                    Fixed
                    2.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FAIRFAX US INC
                549300JGURHUEU25AZ92
                CORP. NOTE
                304071AA1
                
                    
                
                31000
                PA
                USD
                34174.09
                0.041017712562
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2024-08-13
                    Fixed
                    4.875
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AMAZON.COM INC
                ZXTILKJKG63JELOEG630
                CORP. NOTE
                023135AM8
                
                    
                
                68000
                PA
                USD
                68707.31
                0.08246647365
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2021-12-05
                    Fixed
                    3.3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ORACLE CORP
                1Z4GXXU7ZHVWFCD8TV52
                CORP. NOTE
                68389XBB0
                
                    
                
                51000
                PA
                USD
                51928.74
                0.062327866844
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-05-15
                    Fixed
                    2.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CANTOR FITZGERALD LP
                549300RLUEEVQEMX0450
                CORP. NOTE
                138616AC1
                
                    
                
                32000
                PA
                USD
                33787.38
                0.040553560931
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-06-17
                    Fixed
                    6.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SQUARE INC
                549300OHIIUWSTIZME52
                CORPORATE BONDS
                852234AM5
                
                    
                
                25000
                PA
                USD
                25005
                0.030012442251
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2031-06-01
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP INC
                6SHGI4ZSSLCXXQSBB395
                CORPORATE BONDS
                172967KA8
                
                    
                
                10000
                PA
                USD
                11444.83
                0.013736744629
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2027-09-29
                    Fixed
                    4.45
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                VERIZON COMMUNICATIONS INC
                2S72QS2UO2OESLG6Y829
                CORPORATE BONDS
                92343VGC2
                
                    
                
                23000
                PA
                USD
                23256.37
                0.027913635737
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2061-03-22
                    Fixed
                    3.7
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AMERICAN TOWER CORP
                5493006ORUSIL88JOE18
                CORPORATE BONDS
                03027XBM1
                
                    
                
                69000
                PA
                USD
                69814.14
                0.083794954812
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2031-04-15
                    Fixed
                    2.7
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ZOETIS INC
                549300HD9Q1LOC9KLJ48
                CORPORATE BONDS
                98978VAS2
                
                    
                
                20000
                PA
                USD
                19556.13
                0.023472394412
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2030-05-15
                    Fixed
                    2
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                PETROBRAS GLOBAL FINANCE BV
                549300FNENFFSMO3GT38
                CORPORATE BONDS
                71647NBH1
                
                    
                
                45000
                PA
                USD
                49635
                0.059574787888
                Long
                DBT
                CORP
                NL
                
                N
                
                2
                
                    2031-01-03
                    Fixed
                    5.6
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SERVICE CORP INTERNATIONAL/US
                549300RKVM2ME20JHZ15
                CORPORATE BONDS
                817565CF9
                
                    
                
                5000
                PA
                USD
                4855.9
                0.005828331067
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2030-08-15
                    Fixed
                    3.375
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SENSATA TECHNOLOGIES INC
                5493002MMDDCUNV7NY90
                CORPORATE BONDS
                81728UAB0
                
                    
                
                30000
                PA
                USD
                29287.5
                0.035152545588
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2031-02-15
                    Fixed
                    3.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                INTERCONTINENTAL EXCHANGE INC
                5493000F4ZO33MV32P92
                CORPORATE BONDS
                45866FAN4
                
                    
                
                8000
                PA
                USD
                7459.75
                0.008953621919
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2032-09-15
                    Fixed
                    1.85
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                INTERCONTINENTAL EXCHANGE INC
                5493000F4ZO33MV32P92
                CORPORATE BONDS
                45866FAP9
                
                    
                
                14000
                PA
                USD
                13093.28
                0.015715309333
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2040-09-15
                    Fixed
                    2.65
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                INTERNATIONAL FLAVORS  AND  FRAGRANCES INC
                BZLRL03D3GPGMOGFO832
                CORPORATE BONDS
                459506AQ4
                
                    
                
                8000
                PA
                USD
                7838.93
                0.00940873561
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2030-11-01
                    Fixed
                    2.3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                INTERNATIONAL FLAVORS  AND  FRAGRANCES INC
                BZLRL03D3GPGMOGFO832
                CORPORATE BONDS
                459506AS0
                
                    
                
                3000
                PA
                USD
                2982.36
                0.003579600371
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2050-12-01
                    Fixed
                    3.468
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                COX COMMUNICATIONS INC
                5493001NEDZNIFRP2R92
                CORPORATE BONDS
                224044CM7
                
                    
                
                15000
                PA
                USD
                13473.02
                0.016171095169
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2050-10-01
                    Fixed
                    2.95
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                QORVO INC
                254900YAUJV2EUEVBR11
                CORPORATE BONDS
                74736KAJ0
                
                    
                
                14000
                PA
                USD
                14238.14
                0.017089436293
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2031-04-01
                    Fixed
                    3.375
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AT AND T INC
                549300Z40J86GGSTL398
                CORPORATE BONDS
                00206RMD1
                
                    
                
                48000
                PA
                USD
                45553.02
                0.054675360213
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2055-09-15
                    Fixed
                    3.55
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WESTPAC BANKING CORP
                EN5TNI6CI43VEPAMHL14
                CORPORATE BONDS
                961214EQ2
                
                    
                
                15000
                PA
                USD
                14264.98
                0.017121651208
                Long
                DBT
                CORP
                AU
                N
                
                2
                
                    2040-11-16
                    Fixed
                    2.963
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AES CORP/THE
                2NUNNB7D43COUIRE5295
                CORPORATE BONDS
                00130HCF0
                
                    
                
                25000
                PA
                USD
                24260.74
                0.029119138501
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2031-01-15
                    Fixed
                    2.45
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BROADCOM INC
                549300WV6GIDOZJTV909
                CORPORATE BONDS
                11135FBG5
                
                    
                
                10000
                PA
                USD
                9739.39
                0.011689777242
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2051-02-15
                    Fixed
                    3.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                DIGITAL REALTY TRUST LP
                CD4SPTZ3YBTHY0C1AH38
                CORPORATE BONDS
                25389JAT3
                
                    
                
                33000
                PA
                USD
                37875.15
                0.045459938098
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-07-15
                    Fixed
                    4.45
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                VERIZON COMMUNICATIONS INC
                2S72QS2UO2OESLG6Y829
                CORPORATE BONDS
                92343VER1
                
                    
                
                19000
                PA
                USD
                21851.94
                0.026227957901
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-09-21
                    Fixed
                    4.329
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                IHS MARKIT LTD
                549300HLPTRASHS0E726
                CORPORATE BONDS
                44962LAF4
                
                    
                
                5000
                PA
                USD
                5818.75
                0.006983999134
                Long
                DBT
                CORP
                GB
                N
                
                2
                
                    2028-08-01
                    Fixed
                    4.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GENERAL MOTORS CO
                54930070NSV60J38I987
                CORPORATE BONDS
                37045VAT7
                
                    
                
                6000
                PA
                USD
                7851.6
                0.009423942875
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2049-04-01
                    Fixed
                    5.95
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AIR LEASE CORP
                5493004NW4M4P8TMMK63
                CORPORATE BONDS
                00912XBF0
                
                    
                
                40000
                PA
                USD
                44611.58
                0.053545389661
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-10-01
                    Fixed
                    4.625
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                INTERPUBLIC GROUP OF COS INC/THE
                5493008IUOJ5VWTRC333
                CORPORATE BONDS
                460690BP4
                
                    
                
                42000
                PA
                USD
                48793.1
                0.058564290982
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-10-01
                    Fixed
                    4.65
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AT AND T INC
                549300Z40J86GGSTL398
                CORPORATE BONDS
                00206RGQ9
                
                    
                
                8000
                PA
                USD
                9113.85
                0.010938968079
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2030-02-15
                    Fixed
                    4.3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                VIACOMCBS INC
                5KYC8KF17ROCY24M3H09
                CORPORATE BONDS
                124857AZ6
                
                    
                
                16000
                PA
                USD
                17895.84
                0.021479618658
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2029-06-01
                    Fixed
                    4.2
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                HUNTSMAN INTERNATIONAL LLC
                3YTEJFW18LGIUQ2N5J61
                CORPORATE BONDS
                44701QBE1
                
                    
                
                40000
                PA
                USD
                45150.7
                0.054192472559
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2029-05-01
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                VISTRA OPERATIONS CO LLC
                549300ZH5GKBTJZ7NM23
                CORPORATE BONDS
                92840VAE2
                
                    
                
                9000
                PA
                USD
                9553.46
                0.011466613339
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2029-07-15
                    Fixed
                    4.3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                HCA INC
                L3CJ6J7LJ2DX62FTXD46
                CORPORATE BONDS
                404119BX6
                
                    
                
                18000
                PA
                USD
                20170.44
                0.024209724682
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2029-06-15
                    Fixed
                    4.125
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WESTPAC BANKING CORP
                EN5TNI6CI43VEPAMHL14
                CORPORATE BONDS
                961214EG4
                
                    
                
                6000
                PA
                USD
                6939.65
                0.008329367921
                Long
                DBT
                CORP
                AU
                N
                
                2
                
                    2039-07-24
                    Fixed
                    4.421
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AIR LEASE CORP
                5493004NW4M4P8TMMK63
                CORPORATE BONDS
                00914AAE2
                
                    
                
                13000
                PA
                USD
                13232.97
                0.015882973323
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2029-10-01
                    Fixed
                    3.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                PETROLEOS MEXICANOS
                549300CAZKPF4HKMPX17
                CORPORATE BONDS
                71654QDD1
                
                    
                
                10000
                PA
                USD
                9600
                0.01152247333
                Long
                DBT
                CORP
                MX
                N
                
                2
                
                    2050-01-23
                    Fixed
                    7.69
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                PETROLEOS MEXICANOS
                549300CAZKPF4HKMPX17
                CORPORATE BONDS
                71654QDE9
                
                    
                
                82000
                PA
                USD
                79745
                0.095714545384
                Long
                DBT
                CORP
                MX
                N
                
                2
                
                    2031-01-28
                    Fixed
                    5.95
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                OSHKOSH CORP
                549300FEKNPCFSA2B506
                CORPORATE BONDS
                688225AH4
                
                    
                
                3000
                PA
                USD
                3131.67
                0.003758810839
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2030-03-01
                    Fixed
                    3.1
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BOEING CO/THE
                RVHJWBXLJ1RFUBSY1F30
                CORPORATE BONDS
                097023CX1
                
                    
                
                10000
                PA
                USD
                13039.5
                0.015650759477
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2060-05-01
                    Fixed
                    5.93
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BROADCOM INC
                549300WV6GIDOZJTV909
                CORPORATE BONDS
                11135FAQ4
                
                    
                
                50000
                PA
                USD
                54768.32
                0.065736094429
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2030-11-15
                    Fixed
                    4.15
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                OMNICOM GROUP INC / OMNICOM CAPITAL INC
                N/A
                CORPORATE BONDS
                68217FAA0
                
                    
                
                5000
                PA
                USD
                5542.84
                0.006652836049
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2026-04-15
                    Fixed
                    3.6
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                KRAFT HEINZ FOODS CO
                5493003STKEZ2S0RNU91
                CORPORATE BONDS
                50077LAB2
                
                    
                
                25000
                PA
                USD
                26862.55
                0.032241980828
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2046-06-01
                    Fixed
                    4.375
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                DELL INTERNATIONAL LLC / EMC CORP
                N/A
                CORPORATE BONDS
                24703TAK2
                
                    
                
                7000
                PA
                USD
                10979.91
                0.013178720848
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2046-07-15
                    Fixed
                    8.35
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                VIACOMCBS INC
                5KYC8KF17ROCY24M3H09
                CORPORATE BONDS
                124857AR4
                
                    
                
                13000
                PA
                USD
                13730.81
                0.016480509586
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2027-01-15
                    Fixed
                    2.9
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                NETFLIX INC
                549300Y7VHGU0I7CE873
                CORPORATE BONDS
                64110LAN6
                
                    
                
                40000
                PA
                USD
                45111.6
                0.054145542486
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2026-11-15
                    Fixed
                    4.375
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CF INDUSTRIES INC
                5FVKT86LAD2F40NPC183
                CORPORATE BONDS
                12527GAH6
                
                    
                
                43000
                PA
                USD
                49493.28
                0.059404687375
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2026-12-01
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ENBRIDGE INC
                98TPTUM4IVMFCZBCUR27
                CORPORATE BONDS
                29250NAL9
                
                    
                
                9000
                PA
                USD
                10136.22
                0.012166075481
                Long
                DBT
                CORP
                CA
                N
                
                2
                
                    2026-12-01
                    Fixed
                    4.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JOHNSON CONTROLS INTERNATIONAL PLC
                549300XQ6S1GYKGBL205
                CORPORATE BONDS
                478375AU2
                
                    
                
                8000
                PA
                USD
                9518.77
                0.011424976402
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2047-02-15
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
                N/A
                CORPORATE BONDS
                161175BL7
                
                    
                
                24000
                PA
                USD
                28065.92
                0.033686334862
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2047-05-01
                    Fixed
                    5.375
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                VIDEOTRON LTD
                549300LW4GNJRBECSD81
                CORPORATE BONDS
                92660FAK0
                
                    
                
                45000
                PA
                USD
                47025
                0.056442115451
                Long
                DBT
                CORP
                CA
                N
                
                2
                
                    2027-04-15
                    Fixed
                    5.125
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CHENIERE CORPUS CHRISTI HOLDINGS LLC
                549300I7CIEWU1BBLQ53
                CORPORATE BONDS
                16412XAG0
                
                    
                
                40000
                PA
                USD
                46441.46
                0.055741717109
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2027-06-30
                    Fixed
                    5.125
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                HCA INC
                L3CJ6J7LJ2DX62FTXD46
                CORPORATE BONDS
                404119BV0
                
                    
                
                10000
                PA
                USD
                12587.7
                0.015108483076
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2047-06-15
                    Fixed
                    5.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SIRIUS XM RADIO INC
                WP5O65E6BMU84LNO4227
                CORPORATE BONDS
                82967NBA5
                
                    
                
                60000
                PA
                USD
                62700
                0.075256153935
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2027-08-01
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SABINE PASS LIQUEFACTION LLC
                549300KJYBG7C6WJYZ11
                CORPORATE BONDS
                785592AU0
                
                    
                
                9000
                PA
                USD
                10045.01
                0.012056599981
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-03-15
                    Fixed
                    4.2
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
                N/A
                CORPORATE BONDS
                161175BJ2
                
                    
                
                3000
                PA
                USD
                3265.55
                0.003919501331
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-02-15
                    Fixed
                    3.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SERVICE CORP INTERNATIONAL/US
                549300RKVM2ME20JHZ15
                CORPORATE BONDS
                817565CD4
                
                    
                
                10000
                PA
                USD
                10550
                0.012662718086
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2027-12-15
                    Fixed
                    4.625
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ERAC USA FINANCE LLC
                LTKX5ODQW6Z7BQ2K1V47
                CORPORATE BONDS
                26882PBE1
                
                    
                
                62000
                PA
                USD
                90541.39
                0.10867299495
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2037-10-15
                    Fixed
                    7
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP INC
                6SHGI4ZSSLCXXQSBB395
                CORPORATE BONDS
                172967FT3
                
                    
                
                35000
                PA
                USD
                35922.23
                0.04311593095
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2022-01-14
                    Fixed
                    4.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                QUEBECOR MEDIA INC
                5493006O1E1TBNKPQW25
                CORPORATE BONDS
                74819RAP1
                
                    
                
                5000
                PA
                USD
                5300
                0.006361365484
                Long
                DBT
                CORP
                CA
                N
                
                2
                
                    2023-01-15
                    Fixed
                    5.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                PETROLEOS DE VENEZUELA SA (PDVSA)
                549300YWR8TN1OFD4P06
                CORPORATE BONDS
                P7807HAR6
                
                    
                
                110000
                PA
                USD
                4950
                0.005941275311
                Long
                DBT
                CORP
                VE
                N
                
                2
                
                    2026-11-15
                    Fixed
                    6
                    Y
                    Y
                    N
                
                
                    N
                    N
                    N
                
            
            
                KINDER MORGAN ENERGY PARTNERS LP
                549300PDHUGWPWGOT525
                CORPORATE BONDS
                494550BW5
                
                    
                
                14000
                PA
                USD
                16873.51
                0.020252559266
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2044-09-01
                    Fixed
                    5.4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                HCA INC
                L3CJ6J7LJ2DX62FTXD46
                CORPORATE BONDS
                404119BR9
                
                    
                
                15000
                PA
                USD
                16781.25
                0.020141823496
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2025-02-01
                    Fixed
                    5.375
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                NEUBERGER BERMAN GROUP LLC / NEUBERGER BERMAN FINANCE CORP
                N/A
                CORPORATE BONDS
                64128XAE0
                
                    
                
                10000
                PA
                USD
                11101.13
                0.013324216079
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2045-04-15
                    Fixed
                    4.875
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ENERGY TRANSFER LP
                MTLVN9N7JE8MIBIJ1H73
                CORPORATE BONDS
                29273RBJ7
                
                    
                
                7000
                PA
                USD
                8436.3
                0.010125733516
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2045-12-15
                    Fixed
                    6.125
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL
                N/A
                CORPORATE BONDS
                161175BA1
                
                    
                
                9000
                PA
                USD
                11875.52
                0.014253683591
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2045-10-23
                    Fixed
                    6.484
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WESTROCK MWV LLC
                4DL8C98Z5G5IXZLH3578
                CORPORATE BONDS
                961548AY0
                
                    
                
                7000
                PA
                USD
                9872.77
                0.011849867606
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2031-02-15
                    Fixed
                    7.95
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UBS AG
                BFM8T61CT2L1QCEMIK50
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                295492.88
                0.354667586348
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            UBS AG
                            BFM8T61CT2L1QCEMIK50
                        
                        289923.95
                        CHF
                        295492.88
                        USD
                        2021-06-16
                        -5568.93
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                982121.78
                1.178799168401
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        200889.46
                        CHF
                        208301.9
                        USD
                        2021-06-16
                        -7412.44
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                3672968.14
                4.408508066071
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        230332.18
                        USD
                        234829.37
                        GBP
                        2021-06-16
                        -4497.19
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                136240.85
                0.163524120891
                N/A
                DFE
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        134189.28
                        GBP
                        136240.85
                        USD
                        2021-06-16
                        -2051.57
                    
                
                
                    N
                    N
                    N
                
            
            
                BANK OF AMERICA N.A.
                B4TYDEB6GKMZO031MB27
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1993373.93
                2.392562285907
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            BANK OF AMERICA N.A.
                            B4TYDEB6GKMZO031MB27
                        
                        1993373.93
                        USD
                        1964136.46
                        GBP
                        2021-06-16
                        29237.47
                    
                
                
                    N
                    N
                    N
                
            
            
                UBS AG
                BFM8T61CT2L1QCEMIK50
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1390792.02
                1.669308745596
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            UBS AG
                            BFM8T61CT2L1QCEMIK50
                        
                        264472.49
                        GBP
                        269359.52
                        USD
                        2021-06-16
                        -4887.03
                    
                
                
                    N
                    N
                    N
                
            
            
                HSBC BANK USA
                1IE8VN30JCEQV1H4R804
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                235015.47
                0.282079113037
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            HSBC BANK USA
                            1IE8VN30JCEQV1H4R804
                        
                        66417.41
                        USD
                        65908.85
                        GBP
                        2021-06-16
                        508.56
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTL FX
                W22LROWP2IHZNBB6K528
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                3459524.14
                4.152320274675
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTL FX
                            W22LROWP2IHZNBB6K528
                        
                        1983297.78
                        USD
                        1969845.7
                        GBP
                        2021-06-16
                        13452.08
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                4545133.34
                5.455331009421
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        821589.71
                        EUR
                        873116.46
                        USD
                        2021-06-16
                        -51526.75
                    
                
                
                    N
                    N
                    N
                
            
            
                UBS AG
                BFM8T61CT2L1QCEMIK50
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                6108277.67
                7.331506931612
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            UBS AG
                            BFM8T61CT2L1QCEMIK50
                        
                        153569.93
                        USD
                        128779.19
                        EUR
                        2021-06-16
                        24790.74
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL (FX)
                E58DKGMJYYYJLN8C3868
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                213339.01
                0.256061776347
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL (FX)
                            E58DKGMJYYYJLN8C3868
                        
                        180407.35
                        EUR
                        184796.23
                        USD
                        2021-06-16
                        -4388.88
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                982896.36
                1.179728863962
                N/A
                DFE
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        628216.59
                        EUR
                        642578.56
                        USD
                        2021-06-16
                        -14361.97
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC WHOLESALE, LONDON 
                G5GSEF7VJP5I7OUK5573
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                506085.51
                0.607432999121
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC WHOLESALE, LONDON 
                            G5GSEF7VJP5I7OUK5573
                        
                        329749.92
                        EUR
                        336780.45
                        USD
                        2021-06-16
                        -7030.53
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTL FX
                W22LROWP2IHZNBB6K528
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                2737301.72
                3.285467298361
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTL FX
                            W22LROWP2IHZNBB6K528
                        
                        875190.04
                        USD
                        880108.23
                        EUR
                        2021-06-16
                        -4918.19
                    
                
                
                    N
                    N
                    N
                
            
            
                HSBC BANK USA
                1IE8VN30JCEQV1H4R804
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                5800649.88
                6.962274326843
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            HSBC BANK USA
                            1IE8VN30JCEQV1H4R804
                        
                        5800649.88
                        USD
                        5660804.54
                        EUR
                        2021-06-16
                        139845.34
                    
                
                
                    N
                    N
                    N
                
            
            
                NATWEST MARKETS PLC
                RR3QWICWWIPCS8A4S074
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1459097.34
                1.751292727678
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            NATWEST MARKETS PLC
                            RR3QWICWWIPCS8A4S074
                        
                        961838.96
                        EUR
                        985579.88
                        USD
                        2021-06-16
                        -23740.92
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1067308.15
                1.281044759691
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        1067308.15
                        USD
                        1041156
                        SEK
                        2021-06-16
                        26152.15
                    
                
                
                    N
                    N
                    N
                
            
            
                UBS AG
                BFM8T61CT2L1QCEMIK50
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                713590.19
                0.85649207632
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            UBS AG
                            BFM8T61CT2L1QCEMIK50
                        
                        73670.17
                        USD
                        77268.83
                        SEK
                        2021-06-16
                        -3598.66
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTL FX
                W22LROWP2IHZNBB6K528
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                2071122.92
                2.485881105041
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTL FX
                            W22LROWP2IHZNBB6K528
                        
                        638836.08
                        USD
                        633721.88
                        SEK
                        2021-06-16
                        5114.2
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                384392.81
                0.461370406395
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        63970.76
                        SEK
                        65576.93
                        USD
                        2021-06-16
                        -1606.17
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC WHOLESALE, LONDON 
                G5GSEF7VJP5I7OUK5573
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                160347.33
                0.192458107649
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC WHOLESALE, LONDON 
                            G5GSEF7VJP5I7OUK5573
                        
                        160347.33
                        USD
                        157340.12
                        SEK
                        2021-06-16
                        3007.21
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                43031.47
                0.051648850564
                N/A
                DFE
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        41565.88
                        SEK
                        43031.47
                        USD
                        2021-06-16
                        -1465.59
                    
                
                
                    N
                    N
                    N
                
            
            
                UBS AG
                BFM8T61CT2L1QCEMIK50
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                353769.96
                0.424615096768
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            UBS AG
                            BFM8T61CT2L1QCEMIK50
                        
                        72343.22
                        USD
                        69530.05
                        CAD
                        2021-07-21
                        2813.17
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                663753.24
                0.796674896402
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        71970.11
                        CAD
                        77888.98
                        USD
                        2021-07-21
                        -5918.87
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1944907.1
                2.334389602984
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        179699.24
                        USD
                        174864.66
                        CAD
                        2021-07-21
                        4834.58
                    
                
                
                    N
                    N
                    N
                
            
            
                WESTPAC BANKING CORPORATION
                EN5TNI6CI43VEPAMHL14
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                327385
                0.392946346986
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            WESTPAC BANKING CORPORATION
                            EN5TNI6CI43VEPAMHL14
                        
                        317864.17
                        NZD
                        327385
                        USD
                        2021-07-21
                        -9520.83
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTL FX
                W22LROWP2IHZNBB6K528
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                2056070.68
                2.467814539004
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTL FX
                            W22LROWP2IHZNBB6K528
                        
                        535372.98
                        USD
                        497985.03
                        CAD
                        2021-07-21
                        37387.95
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                655889.85
                0.78723680249
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        208917.97
                        USD
                        197039.89
                        CAD
                        2021-07-21
                        11878.08
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                174919.2
                0.209948105924
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        172537.8
                        NZD
                        174919.2
                        USD
                        2021-07-21
                        -2381.4
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                2037705.2
                2.445771231349
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        32924.66
                        USD
                        35895.75
                        AUD
                        2021-07-21
                        -2971.09
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                83275.5
                0.099952054976
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        82616.44
                        AUD
                        83275.5
                        USD
                        2021-07-21
                        -659.06
                    
                
                
                    N
                    N
                    N
                
            
            
                NATWEST MARKETS PLC
                RR3QWICWWIPCS8A4S074
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                449937.09
                0.540040429125
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            NATWEST MARKETS PLC
                            RR3QWICWWIPCS8A4S074
                        
                        437741
                        NZD
                        449937.09
                        USD
                        2021-07-21
                        -12196.09
                    
                
                
                    N
                    N
                    N
                
            
            
                BANK OF AMERICA N.A.
                B4TYDEB6GKMZO031MB27
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                121013.5
                0.145247377739
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            BANK OF AMERICA N.A.
                            B4TYDEB6GKMZO031MB27
                        
                        116264.92
                        CAD
                        121013.5
                        USD
                        2021-07-21
                        -4748.58
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                247667.51
                0.297264820691
                N/A
                DFE
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        81579.15
                        USD
                        81642.85
                        AUD
                        2021-07-21
                        -63.7
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                884301.67
                1.061389834172
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        203661.96
                        NZD
                        212438.11
                        USD
                        2021-07-21
                        -8776.15
                    
                
                
                    N
                    N
                    N
                
            
            
                UBS AG
                BFM8T61CT2L1QCEMIK50
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                945793.77
                1.135196196906
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            UBS AG
                            BFM8T61CT2L1QCEMIK50
                        
                        945793.77
                        USD
                        935307.03
                        AUD
                        2021-07-21
                        10486.74
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTL FX
                W22LROWP2IHZNBB6K528
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                150916.23
                0.181138357834
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTL FX
                            W22LROWP2IHZNBB6K528
                        
                        150916.23
                        USD
                        147813.36
                        PLN
                        2021-06-16
                        3102.87
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                26849.26
                0.032226029404
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        26849.26
                        USD
                        26582.28
                        DKK
                        2021-06-16
                        266.98
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                285300.74
                0.34243439246
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        285300.74
                        USD
                        285729.09
                        NOK
                        2021-06-16
                        -428.35
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                285300.74
                0.34243439246
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        284293.81
                        NOK
                        285300.74
                        USD
                        2021-06-16
                        -1006.93
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                221647.46
                0.266034056923
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        215996.51
                        CHF
                        221647.46
                        USD
                        2021-06-16
                        -5650.95
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                7420147.89
                8.906089183912
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        6099861.19
                        USD
                        5952940.94
                        EUR
                        2021-06-16
                        146920.25
                    
                
                
                    N
                    N
                    N
                
            
            
                HSBC BANK USA
                1IE8VN30JCEQV1H4R804
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                326298.87
                0.391642711158
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            HSBC BANK USA
                            1IE8VN30JCEQV1H4R804
                        
                        73905.75
                        CHF
                        76292.11
                        USD
                        2021-06-16
                        -2386.36
                    
                
                
                    N
                    N
                    N
                
            
            
                NATWEST MARKETS PLC
                RR3QWICWWIPCS8A4S074
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                84292.55
                0.101172777008
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            NATWEST MARKETS PLC
                            RR3QWICWWIPCS8A4S074
                        
                        84292.55
                        USD
                        82853.7
                        SEK
                        2021-06-16
                        1438.85
                    
                
                
                    N
                    N
                    N
                
            
            
                WESTPAC BANKING CORPORATION
                EN5TNI6CI43VEPAMHL14
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1567621.28
                1.881549415623
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            WESTPAC BANKING CORPORATION
                            EN5TNI6CI43VEPAMHL14
                        
                        90259.56
                        USD
                        94368.19
                        GBP
                        2021-06-16
                        -4108.63
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                6503119.5
                7.805418854076
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        3332918.88
                        USD
                        3242219.41
                        EUR
                        2021-06-16
                        90699.47
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1048154.44
                1.258055372958
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        936538.07
                        EUR
                        960818.4
                        USD
                        2021-06-16
                        -24280.33
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1268317.15
                1.522307347352
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        146935
                        GBP
                        149155.35
                        USD
                        2021-06-16
                        -2220.35
                    
                
                
                    N
                    N
                    N
                
            
            
                BANK OF AMERICA N.A.
                B4TYDEB6GKMZO031MB27
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1643283.68
                1.972363789173
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            BANK OF AMERICA N.A.
                            B4TYDEB6GKMZO031MB27
                        
                        667408.08
                        EUR
                        684050.98
                        USD
                        2021-06-16
                        -16642.9
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1874828.33
                2.250277023994
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        354032.01
                        CHF
                        356771.23
                        USD
                        2021-06-16
                        -2739.22
                    
                
                
                    N
                    N
                    N
                
            
            
                NATWEST MARKETS PLC
                RR3QWICWWIPCS8A4S074
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                83409.73
                0.100113165559
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            NATWEST MARKETS PLC
                            RR3QWICWWIPCS8A4S074
                        
                        83409.73
                        USD
                        83705.36
                        CHF
                        2021-06-16
                        -295.63
                    
                
                
                    N
                    N
                    N
                
            
            
                NATWEST MARKETS PLC
                RR3QWICWWIPCS8A4S074
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                449967.7
                0.540077169012
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            NATWEST MARKETS PLC
                            RR3QWICWWIPCS8A4S074
                        
                        451635.59
                        CHF
                        449967.7
                        USD
                        2021-06-16
                        1667.89
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTL FX
                W22LROWP2IHZNBB6K528
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                2442236.95
                2.93131355431
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTL FX
                            W22LROWP2IHZNBB6K528
                        
                        853946.06
                        CHF
                        863235.11
                        USD
                        2021-06-16
                        -9289.05
                    
                
                
                    N
                    N
                    N
                
            
            
                BANK OF AMERICA N.A.
                B4TYDEB6GKMZO031MB27
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                292823.77
                0.351463966682
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            BANK OF AMERICA N.A.
                            B4TYDEB6GKMZO031MB27
                        
                        292823.77
                        USD
                        286251.04
                        CHF
                        2021-06-16
                        6572.73
                    
                
                
                    N
                    N
                    N
                
            
            
                BANK OF AMERICA N.A.
                B4TYDEB6GKMZO031MB27
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                292823.77
                0.351463966682
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            BANK OF AMERICA N.A.
                            B4TYDEB6GKMZO031MB27
                        
                        293911.8
                        CHF
                        292823.77
                        USD
                        2021-06-16
                        1088.03
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                186059.31
                0.223319108045
                N/A
                DFE
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        186059.31
                        USD
                        186475.66
                        CHF
                        2021-06-16
                        -416.35
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                186059.31
                0.223319108045
                N/A
                DFE
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        182788.99
                        CHF
                        186059.31
                        USD
                        2021-06-16
                        -3270.32
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC WHOLESALE, LONDON 
                G5GSEF7VJP5I7OUK5573
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                141018.05
                0.169257991682
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC WHOLESALE, LONDON 
                            G5GSEF7VJP5I7OUK5573
                        
                        141018.05
                        USD
                        139956.47
                        CHF
                        2021-06-16
                        1061.58
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC WHOLESALE, LONDON 
                G5GSEF7VJP5I7OUK5573
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                141018.05
                0.169257991682
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC WHOLESALE, LONDON 
                            G5GSEF7VJP5I7OUK5573
                        
                        139672.8
                        CHF
                        141018.05
                        USD
                        2021-06-16
                        -1345.25
                    
                
                
                    N
                    N
                    N
                
            
            
                UBS AG
                BFM8T61CT2L1QCEMIK50
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                295492.88
                0.354667586348
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            UBS AG
                            BFM8T61CT2L1QCEMIK50
                        
                        295492.88
                        USD
                        290947.33
                        CHF
                        2021-06-16
                        4545.55
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                111064.56
                0.133306086509
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        111064.56
                        USD
                        109570.18
                        ILS
                        2021-07-21
                        1494.38
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC WHOLESALE, LONDON 
                G5GSEF7VJP5I7OUK5573
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                164314.9
                0.197220213847
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC WHOLESALE, LONDON 
                            G5GSEF7VJP5I7OUK5573
                        
                        164314.9
                        USD
                        165137.43
                        AUD
                        2021-07-21
                        -822.53
                    
                
                
                    N
                    N
                    N
                
            
            
                HSBC BANK USA
                1IE8VN30JCEQV1H4R804
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                164237.79
                0.197127661981
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            HSBC BANK USA
                            1IE8VN30JCEQV1H4R804
                        
                        164237.79
                        USD
                        165791.59
                        AUD
                        2021-07-21
                        -1553.8
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTL FX
                W22LROWP2IHZNBB6K528
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                829979.15
                0.996188814599
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTL FX
                            W22LROWP2IHZNBB6K528
                        
                        339916.13
                        AUD
                        332176.71
                        USD
                        2021-07-21
                        7739.42
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                165857.04
                0.199071179162
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        165857.04
                        USD
                        166321.56
                        AUD
                        2021-07-21
                        -464.52
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                123679.54
                0.148447312613
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        123679.54
                        USD
                        124619.89
                        AUD
                        2021-07-21
                        -940.35
                    
                
                
                    N
                    N
                    N
                
            
            
                HSBC BANK USA
                1IE8VN30JCEQV1H4R804
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                178623.21
                0.214393872219
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            HSBC BANK USA
                            1IE8VN30JCEQV1H4R804
                        
                        178623.21
                        USD
                        173740
                        CAD
                        2021-07-21
                        4883.21
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                307996.73
                0.369675427822
                N/A
                DFE
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        135333.15
                        USD
                        129415.3
                        CAD
                        2021-07-21
                        5917.85
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                187304.79
                0.224814004929
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        182256.11
                        NZD
                        187304.79
                        USD
                        2021-07-21
                        -5048.68
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC WHOLESALE, LONDON 
                G5GSEF7VJP5I7OUK5573
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                317184.49
                0.380703106942
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC WHOLESALE, LONDON 
                            G5GSEF7VJP5I7OUK5573
                        
                        61586.74
                        CAD
                        69363.41
                        USD
                        2021-07-21
                        -7776.67
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                53743.29
                0.064505794342
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        52306.47
                        NZD
                        53743.29
                        USD
                        2021-07-21
                        -1436.82
                    
                
                
                    N
                    N
                    N
                
            
            
                UBS AG
                BFM8T61CT2L1QCEMIK50
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                681496.81
                0.817971751828
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            UBS AG
                            BFM8T61CT2L1QCEMIK50
                        
                        336904.24
                        NZD
                        348172.51
                        USD
                        2021-07-21
                        -11268.27
                    
                
                
                    N
                    N
                    N
                
            
            
                HSBC BANK USA
                1IE8VN30JCEQV1H4R804
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                83439.72
                0.100149161286
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            HSBC BANK USA
                            1IE8VN30JCEQV1H4R804
                        
                        83439.72
                        USD
                        83043.53
                        NZD
                        2021-07-21
                        396.19
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTL FX
                W22LROWP2IHZNBB6K528
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1072258.32
                1.286986239045
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTL FX
                            W22LROWP2IHZNBB6K528
                        
                        880760.44
                        NZD
                        904220
                        USD
                        2021-07-21
                        -23459.56
                    
                
                
                    N
                    N
                    N
                
            
            
                NATWEST MARKETS PLC
                RR3QWICWWIPCS8A4S074
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                142203.28
                0.170680573042
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            NATWEST MARKETS PLC
                            RR3QWICWWIPCS8A4S074
                        
                        136617.02
                        CAD
                        142203.28
                        USD
                        2021-07-21
                        -5586.26
                    
                
                
                    N
                    N
                    N
                
            
            
                WESTPAC BANKING CORPORATION
                EN5TNI6CI43VEPAMHL14
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                290448.95
                0.348613570838
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            WESTPAC BANKING CORPORATION
                            EN5TNI6CI43VEPAMHL14
                        
                        223403.17
                        USD
                        214638.18
                        CAD
                        2021-07-21
                        8764.99
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                118199.23
                0.141869528675
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        118199.23
                        USD
                        113535.53
                        CAD
                        2021-07-21
                        4663.7
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL (FX)
                E58DKGMJYYYJLN8C3868
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                11257.07
                0.013511384255
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL (FX)
                            E58DKGMJYYYJLN8C3868
                        
                        11257.07
                        USD
                        10814.58
                        CAD
                        2021-07-21
                        442.49
                    
                
                
                    N
                    N
                    N
                
            
            
                UBS AG
                BFM8T61CT2L1QCEMIK50
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                280180.41
                0.336288677266
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            UBS AG
                            BFM8T61CT2L1QCEMIK50
                        
                        198633.74
                        HKD
                        198810.69
                        USD
                        2021-08-18
                        -176.95
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC WHOLESALE, LONDON 
                G5GSEF7VJP5I7OUK5573
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                134529.38
                0.16146991595
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC WHOLESALE, LONDON 
                            G5GSEF7VJP5I7OUK5573
                        
                        134430.29
                        HKD
                        134529.38
                        USD
                        2021-08-18
                        -99.09
                    
                
                
                    N
                    N
                    N
                
            
            
                HSBC BANK USA
                1IE8VN30JCEQV1H4R804
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                696694.41
                0.836212787315
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            HSBC BANK USA
                            1IE8VN30JCEQV1H4R804
                        
                        117982.23
                        USD
                        117893.25
                        HKD
                        2021-08-18
                        88.98
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTL FX
                W22LROWP2IHZNBB6K528
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                37566.16
                0.04508907049
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTL FX
                            W22LROWP2IHZNBB6K528
                        
                        37566.16
                        USD
                        37538.31
                        HKD
                        2021-08-18
                        27.85
                    
                
                
                    N
                    N
                    N
                
            
            
                NATWEST MARKETS PLC
                RR3QWICWWIPCS8A4S074
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1447904.73
                1.73785871203
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            NATWEST MARKETS PLC
                            RR3QWICWWIPCS8A4S074
                        
                        1007475.37
                        JPY
                        1001389.01
                        USD
                        2021-08-18
                        6086.36
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1772183.96
                2.12707733485
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        94534.22
                        USD
                        95323.44
                        JPY
                        2021-08-18
                        -789.22
                    
                
                
                    N
                    N
                    N
                
            
            
                WESTPAC BANKING CORPORATION
                EN5TNI6CI43VEPAMHL14
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1168573.68
                1.402589485592
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            WESTPAC BANKING CORPORATION
                            EN5TNI6CI43VEPAMHL14
                        
                        1175855.94
                        JPY
                        1168573.68
                        USD
                        2021-08-18
                        7282.26
                    
                
                
                    N
                    N
                    N
                
            
            
                HSBC BANK USA
                1IE8VN30JCEQV1H4R804
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                848175.26
                1.018028834618
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            HSBC BANK USA
                            1IE8VN30JCEQV1H4R804
                        
                        560333.82
                        JPY
                        556432.9
                        USD
                        2021-08-18
                        3900.92
                    
                
                
                    N
                    N
                    N
                
            
            
                UBS AG
                BFM8T61CT2L1QCEMIK50
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                2196686.55
                2.636589811069
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            UBS AG
                            BFM8T61CT2L1QCEMIK50
                        
                        693999.51
                        USD
                        698690.3
                        JPY
                        2021-08-18
                        -4690.79
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                250797.05
                0.30102107498
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        252324.2
                        JPY
                        250797.05
                        USD
                        2021-08-18
                        1527.15
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTL FX
                W22LROWP2IHZNBB6K528
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1746189.79
                2.09587763375
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTL FX
                            W22LROWP2IHZNBB6K528
                        
                        55649.59
                        USD
                        57315.03
                        JPY
                        2021-08-18
                        -1665.44
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                5331694.35
                6.399406869835
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        5331694.35
                        USD
                        5367011.01
                        JPY
                        2021-08-18
                        -35316.66
                    
                
                
                    N
                    N
                    N
                
            
            
                NATWEST MARKETS PLC
                RR3QWICWWIPCS8A4S074
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                261197.58
                0.313504390558
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            NATWEST MARKETS PLC
                            RR3QWICWWIPCS8A4S074
                        
                        260991.61
                        HKD
                        261197.58
                        USD
                        2021-08-18
                        -205.97
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                499017.79
                0.598949914204
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        498604.51
                        HKD
                        499017.79
                        USD
                        2021-08-18
                        -413.28
                    
                
                
                    N
                    N
                    N
                
            
            
                BANK OF AMERICA N.A.
                B4TYDEB6GKMZO031MB27
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                10322.64
                0.01238982751
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            BANK OF AMERICA N.A.
                            B4TYDEB6GKMZO031MB27
                        
                        10314.93
                        HKD
                        10322.64
                        USD
                        2021-08-18
                        -7.71
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                17810.1
                0.021376708568
                N/A
                DFE
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        17796
                        HKD
                        17810.1
                        USD
                        2021-08-18
                        -14.1
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC WHOLESALE, LONDON 
                G5GSEF7VJP5I7OUK5573
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                455004.31
                0.546122398637
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC WHOLESALE, LONDON 
                            G5GSEF7VJP5I7OUK5573
                        
                        114284.47
                        JPY
                        113594.85
                        USD
                        2021-08-18
                        689.62
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                7642611.6
                9.173102951132
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        4768483.7
                        USD
                        4798476.48
                        JPY
                        2021-08-18
                        -29992.78
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                558040.79
                0.669792720803
                N/A
                DFE
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        558040.79
                        USD
                        561770.22
                        JPY
                        2021-08-18
                        -3729.43
                    
                
                
                    N
                    N
                    N
                
            
            
                BANK OF AMERICA N.A.
                B4TYDEB6GKMZO031MB27
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                617849.95
                0.741579121946
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            BANK OF AMERICA N.A.
                            B4TYDEB6GKMZO031MB27
                        
                        558607.14
                        JPY
                        555259.55
                        USD
                        2021-08-18
                        3347.59
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                267897.51
                0.321546032718
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        266705
                        KRW
                        267897.51
                        USD
                        2021-08-18
                        -1192.51
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                604.79
                0.000725903817
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        604.79
                        USD
                        598.38
                        SGD
                        2021-08-18
                        6.41
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                789820.98
                0.947988664307
                N/A
                DFE
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        774200.97
                        CNY
                        789820.98
                        USD
                        2021-08-18
                        -15620.01
                    
                
                
                    N
                    N
                    N
                
            
            
                HSBC BANK USA
                1IE8VN30JCEQV1H4R804
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                201973
                0.242419636025
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            HSBC BANK USA
                            1IE8VN30JCEQV1H4R804
                        
                        201973
                        USD
                        198002.94
                        CNY
                        2021-08-18
                        3970.06
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                204992.66
                0.246044006005
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        200942.48
                        CNY
                        204992.66
                        USD
                        2021-08-18
                        -4050.18
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL (FX)
                E58DKGMJYYYJLN8C3868
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                91083.43
                0.1093235826
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL (FX)
                            E58DKGMJYYYJLN8C3868
                        
                        91083.43
                        USD
                        91428.6
                        CHF
                        2021-06-16
                        -345.17
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL (FX)
                E58DKGMJYYYJLN8C3868
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                91083.43
                0.1093235826
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL (FX)
                            E58DKGMJYYYJLN8C3868
                        
                        89483.75
                        CHF
                        91083.43
                        USD
                        2021-06-16
                        -1599.68
                    
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                413105.52
                0.495833055894
                N/A
                DFE
                CORP
                CA
                N
                
                2
                
                    
                        
                            TORONTO-DOMINION BANK/THE
                            PT3QB789TSUIDF371261
                        
                        413105.52
                        USD
                        405354.81
                        NOK
                        2021-06-16
                        7750.71
                    
                
                
                    N
                    N
                    N
                
            
            
                BANK OF AMERICA N.A.
                B4TYDEB6GKMZO031MB27
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                83501.2
                0.100222953125
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            BANK OF AMERICA N.A.
                            B4TYDEB6GKMZO031MB27
                        
                        83501.2
                        USD
                        83673.09
                        NOK
                        2021-06-16
                        -171.89
                    
                
                
                    N
                    N
                    N
                
            
            
                BANK OF AMERICA N.A.
                B4TYDEB6GKMZO031MB27
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                83501.2
                0.100222953125
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            BANK OF AMERICA N.A.
                            B4TYDEB6GKMZO031MB27
                        
                        81762.72
                        NOK
                        83501.2
                        USD
                        2021-06-16
                        -1738.48
                    
                
                
                    N
                    N
                    N
                
            
            
                UBS AG
                BFM8T61CT2L1QCEMIK50
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                514531.43
                0.617570279116
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            UBS AG
                            BFM8T61CT2L1QCEMIK50
                        
                        348581.33
                        USD
                        342907.58
                        NOK
                        2021-06-16
                        5673.75
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                349083.56
                0.418990209372
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        330620.74
                        USD
                        324242.41
                        NOK
                        2021-06-16
                        6378.33
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTL FX
                W22LROWP2IHZNBB6K528
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                743152.28
                0.891974200653
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTL FX
                            W22LROWP2IHZNBB6K528
                        
                        325849.58
                        USD
                        327039.07
                        NOK
                        2021-06-16
                        -1189.49
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                244704.07
                0.293707929194
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        244704.07
                        USD
                        246393.57
                        NOK
                        2021-06-16
                        -1689.5
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                244704.07
                0.293707929194
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        244538.87
                        NOK
                        244704.07
                        USD
                        2021-06-16
                        -165.2
                    
                
                
                    N
                    N
                    N
                
            
            
                STATE STREET B AND T CO
                571474TGEMMWANRLN572
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1131259.21
                1.357802507947
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            STATE STREET B AND T CO
                            571474TGEMMWANRLN572
                        
                        91158.87
                        SEK
                        104405.21
                        USD
                        2021-06-16
                        -13246.34
                    
                
                
                    N
                    N
                    N
                
            
            
                WESTPAC BANKING CORPORATION
                EN5TNI6CI43VEPAMHL14
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                857259.32
                1.028932047021
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            WESTPAC BANKING CORPORATION
                            EN5TNI6CI43VEPAMHL14
                        
                        464195.41
                        EUR
                        478884.46
                        USD
                        2021-06-16
                        -14689.05
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                1257673.35
                1.509532045099
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        867967.75
                        USD
                        859147.06
                        GBP
                        2021-06-16
                        8820.69
                    
                
                
                    N
                    N
                    N
                
            
            
                NATWEST MARKETS PLC
                RR3QWICWWIPCS8A4S074
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                579165.52
                0.695147839346
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            NATWEST MARKETS PLC
                            RR3QWICWWIPCS8A4S074
                        
                        118803.88
                        GBP
                        120488
                        USD
                        2021-06-16
                        -1684.12
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                503097.72
                0.603846881351
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        45831.49
                        GBP
                        49813.06
                        USD
                        2021-06-16
                        -3981.57
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL (FX)
                E58DKGMJYYYJLN8C3868
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                318321.07
                0.382067295769
                N/A
                DFE
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL (FX)
                            E58DKGMJYYYJLN8C3868
                        
                        313533.27
                        GBP
                        318321.07
                        USD
                        2021-06-16
                        -4787.8
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC WHOLESALE, LONDON 
                G5GSEF7VJP5I7OUK5573
                CURRENCY FORWARDS
                N/A
                
                    
                
                1
                NC
                N/A
                474004.62
                0.568927665848
                N/A
                DFE
                CORP
                GB
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC WHOLESALE, LONDON 
                            G5GSEF7VJP5I7OUK5573
                        
                        20719.96
                        USD
                        20860.11
                        GBP
                        2021-06-16
                        -140.15
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Credit Default Swap Basket Index
                N/A
                
                    
                
                5598000
                NC
                USD
                542698.11
                0.651377551937
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2026-06-20
                        479710.03
                        USD
                        0
                        USD
                        5598000
                        USD
                        110415.58
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Credit Default Swap Basket Index
                N/A
                
                    
                
                4364000
                NC
                USD
                125805.39
                0.150998880314
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2026-06-20
                        172491.46
                        USD
                        0
                        USD
                        4364000
                        USD
                        -54686.74
                    
                
                
                    N
                    N
                    N
                
            
            
                ABN AMRO FUNDING USA LLC
                549300WEQ09INLYV6558
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499879.01
                0.599983600088
                Long
                STIV
                CORP
                US
                N
                
                2
                
                    2021-08-02
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                PRUDENTIAL PLC
                5493001Z3ZE83NGK8Y12
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499969.43
                0.600092127383
                Long
                STIV
                CORP
                GB
                N
                
                2
                
                    2021-06-28
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MITSUBISHI UFJ TRUST  AND  BANKING CORP/NY
                JBONEPAGQXF4QP29B387
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499908
                0.600018395557
                Long
                STIV
                CORP
                US
                N
                
                2
                
                    2021-08-05
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CHARIOT FUNDING LLC
                549300EEWRNP448AMT79
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499980.56
                0.600105486251
                Long
                ABS-APCP
                CORP
                US
                N
                
                2
                
                    2021-06-17
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                NATIONAL BANK OF CANADA
                BSGEFEIOM18Y80CKCV46
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499997.23
                0.600125494546
                Long
                STIV
                CORP
                CA
                N
                
                2
                
                    2021-06-01
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SKANDINAVISKA ENSKILDA BANKEN AB
                F3JS33DEI6XQ4ZBPTN86
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499995.15
                0.600122998009
                Long
                STIV
                CORP
                SE
                N
                
                2
                
                    2021-06-02
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ING US FUNDING LLC
                N/A
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499975.49
                0.600099400945
                Long
                STIV
                CORP
                US
                N
                
                2
                
                    2021-06-18
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC CCP
                N/A
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499985.59
                0.600111523548
                Long
                ABS-APCP
                CORP
                GB
                N
                
                2
                
                    2021-06-14
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MANHATTAN ASSET FUNDING CO LLC
                549300S0NSJYSOB32S63
                DISC. CP
                N/A
                
                    
                
                750000
                PA
                USD
                749941.21
                0.900122665742
                Long
                ABS-APCP
                CORP
                US
                
                N
                
                2
                
                    2021-07-01
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SWEDBANK AB
                M312WZV08Y7LYUC71685
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499986.59
                0.600112723805
                Long
                STIV
                CORP
                SE
                N
                
                2
                
                    2021-06-18
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FMS WERTMANAGEMENT
                HZFDOR6TCRSIQLKQTX32
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499978.03
                0.600102449599
                Long
                STIV
                CORP
                DE
                N
                
                2
                
                    2021-06-28
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                LLOYDS BANK PLC
                H7FNTJ4851HG0EXQ1Z70
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499965.53
                0.600087446378
                Long
                STIV
                CORP
                GB
                N
                
                2
                
                    2021-07-01
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BPCE SA
                9695005MSX1OYEMGDF46
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499914.4
                0.600026077205
                Long
                STIV
                CORP
                FR
                N
                
                2
                
                    2021-08-03
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CRC FUNDING LLC
                549300HKCCNTZDBBEN75
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499950.47
                0.600069370498
                Long
                ABS-APCP
                CORP
                US
                N
                
                2
                
                    2021-07-08
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                THUNDER BAY FUNDING LLC
                N/A
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499987.9
                0.600114296142
                Long
                ABS-APCP
                CORP
                US
                N
                
                2
                
                    2021-06-10
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                TOTALENERGIES CAPITAL CANADA LTD
                5299005IX98ZZ9LSGK46
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499962.79
                0.600084157673
                Long
                STIV
                CORP
                CA
                N
                
                2
                
                    2021-07-07
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WESTPAC BANKING CORP/NY
                EN5TNI6CI43VEPAMHL14
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499848
                0.599946380098
                Long
                STIV
                CORP
                US
                
                N
                
                2
                
                    2021-09-01
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SUMITOMO MITSUI TRUST BANK LTD/ NEW YORK
                5493006GGLR4BTEL8O61
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499959.45
                0.600080148811
                Long
                STIV
                CORP
                US
                N
                
                2
                
                    2021-07-07
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                SOCIETE GENERALE SA
                O2RNE8IBXP4R0TD8PU41
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499915.66
                0.600027589531
                Long
                STIV
                CORP
                FR
                N
                
                2
                
                    2021-08-02
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                MIZUHO BANK LTD/SINGAPORE
                RB0PEZSDGCO3JS6CEU02
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499978.09
                0.600102521615
                Long
                STIV
                CORP
                SG
                N
                
                2
                
                    2021-06-16
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AUSTRALIA  AND  NEW ZEALAND BANKING GROUP LTD
                JHE42UYNWWTJB8YTTU19
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499862.58
                0.599963879856
                Long
                STIV
                CORP
                AU
                N
                
                2
                
                    2021-09-02
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ATLANTIC ASSET SECURITIZATION LLC
                549300BUNY5BIX4CVW20
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499980.56
                0.60010548625
                Long
                ABS-APCP
                CORP
                US
                N
                
                2
                
                    2021-06-17
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499984.25
                0.600109915201
                Long
                STIV
                CORP
                CA
                N
                
                2
                
                    2021-06-18
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                DNB BANK ASA
                549300GKFG0RYRRQ1414
                DISC. CP
                N/A
                
                    
                
                500000
                PA
                USD
                499986.12
                0.600112159683
                Long
                STIV
                CORP
                NO
                N
                
                2
                
                    2021-06-24
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BofA Securities, Inc.
                549300HN4UKV1E2R3U73
                EQUITY INDEX FUTURE
                N/A
                
                    
                
                11
                NC
                USD
                1285350
                1.54275115567
                N/A
                DE
                CORP
                US
                N
                
                1
                
                    
                        
                            BofA Securities, Inc.
                            549300HN4UKV1E2R3U73
                        
                        Long
                        
                            
MSCI EAFE INDEX
MXEA
                            
                        
                        2021-01-18
                        1255150.41
                        USD
                        30199.59
                    
                
                
                    N
                    N
                    N
                
            
            
                BofA Securities, Inc.
                549300HN4UKV1E2R3U73
                EQUITY INDEX FUTURE
                N/A
                
                    
                
                2
                NC
                USD
                420240
                0.504396270011
                N/A
                DE
                CORP
                US
                N
                
                1
                
                    
                        
                            BofA Securities, Inc.
                            549300HN4UKV1E2R3U73
                        
                        Short
                        
                            
S&P 500 INDEX
SPX
                            
                        
                        2021-01-18
                        418554.14
                        USD
                        -1685.86
                    
                
                
                    N
                    N
                    N
                
            
            
                BofA Securities, Inc.
                549300HN4UKV1E2R3U73
                EQUITY INDEX FUTURE
                N/A
                
                    
                
                5
                NC
                USD
                584250
                0.701250525305
                N/A
                DE
                CORP
                US
                N
                
                1
                
                    
                        
                            BofA Securities, Inc.
                            549300HN4UKV1E2R3U73
                        
                        Short
                        
                            
MSCI EAFE INDEX
MXEA
                            
                        
                        2021-01-18
                        548539.75
                        USD
                        -35710.25
                    
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC REMICS
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137A8FM5
                
                    
                
                66154.67
                PA
                USD
                13573.62
                0.016291841087
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2041-03-15
                    Floating
                    6.849
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137FVNL2
                
                    
                
                374000
                PA
                USD
                40166.1
                0.048209668335
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2030-06-25
                    Variable
                    1.342
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137F83S0
                
                    
                
                281779.3
                PA
                USD
                23049.55
                0.027665398452
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2030-10-25
                    Variable
                    1.028
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137BPCR8
                
                    
                
                383767.73
                PA
                USD
                14431.51
                0.017321530113
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2026-01-25
                    Variable
                    .968
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137FTBP1
                
                    
                
                126988.89
                PA
                USD
                16481.32
                0.019781830223
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2030-03-25
                    Variable
                    1.69
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137FKUR5
                
                    
                
                801096.92
                PA
                USD
                21220.58
                0.025470163239
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2028-12-25
                    Variable
                    .362
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES
                S6XOOCT0IEG5ABCC6L87
                FHLMC CMO IO
                3137FRUL3
                
                    
                
                230817.65
                PA
                USD
                26440.39
                0.031735280063
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2053-03-25
                    Variable
                    1.523
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FN30        
                3140X4VP8
                
                    
                
                373709.42
                PA
                USD
                399921.44
                0.480008763167
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2049-05-01
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FN40        
                3140FXFM9
                
                    
                
                53307.38
                PA
                USD
                59395.22
                0.071289566497
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2057-01-01
                    Fixed
                    4
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F020661
                
                    
                
                2000000
                PA
                USD
                2020468.8
                2.425083110589
                Short
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-06-01
                    Fixed
                    2
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FANNIE MAE POOL
                B1V7KEBTPIMZEU4LTD58
                FNMA TBA
                01F022667
                
                    
                
                2000000
                PA
                USD
                2070781.2
                2.485470953001
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2051-06-01
                    Fixed
                    2.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38376RJW7
                
                    
                
                242176.72
                PA
                USD
                19292.28
                0.023155706434
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2065-10-20
                    Variable
                    1.922
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38378VQS7
                
                    
                
                156423.98
                PA
                USD
                32026.68
                0.038440267306
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2043-06-20
                    Floating
                    5.951
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38375UU73
                
                    
                
                245844.48
                PA
                USD
                19217.91
                0.023066443274
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2067-10-20
                    Variable
                    2.536
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380HWY4
                
                    
                
                82667.03
                PA
                USD
                15712.02
                0.018858472022
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2047-10-20
                    Fixed
                    5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                GNMA
                549300M8ZYFG0OCMTT87
                GNMA CMO IO
                38380AET0
                
                    
                
                174530.41
                PA
                USD
                14171.87
                0.01700989522
                Long
                ABS-MBS
                USGA
                US
                N
                
                2
                
                    2044-03-20
                    Fixed
                    3.5
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                IVORY COAST
                254900ICW11T82O6H590
                GOVERNMENT BOND
                V73789BE4
                
                    
                
                100000
                PA
                
                128338.55
                0.154039324954
                Long
                DBT
                NUSS
                CI
                N
                
                2
                
                    2030-03-22
                    Fixed
                    5.25
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ROMANIA
                315700IASY927EDWBK92
                GOVERNMENT BOND
                77586RAH3
                
                    
                
                30000
                PA
                USD
                30807.78
                0.036977273271
                Long
                DBT
                NUSS
                RO
                N
                
                2
                
                    2031-02-14
                    Fixed
                    3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ORIENTAL REPUBLIC OF URUGUAY
                549300RDR012H2V82H43
                GOVERNMENT BOND
                760942AS1
                
                    
                
                20000
                PA
                USD
                30308.4
                0.036377888611
                Long
                DBT
                NUSS
                UY
                N
                
                2
                
                    2036-03-21
                    Fixed
                    7.625
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                REPUBLIC OF INDONESIA
                529900FWX0GRR7WG5W79
                GOVERNMENT BOND
                Y20721BN8
                
                    
                
                200000
                PA
                USD
                228994
                0.274851797675
                Long
                DBT
                NUSS
                ID
                N
                
                2
                
                    2026-01-08
                    Fixed
                    4.75
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED MEXICAN STATES
                254900EGTWEU67VP6075
                GOVERNMENT BOND
                91086QBE7
                
                    
                
                83000
                PA
                USD
                98774.98
                0.11855542424
                Long
                DBT
                NUSS
                MX
                N
                
                2
                
                    2045-01-21
                    Fixed
                    5.55
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BOLIVARIAN REPUBLIC OF VENEZUELA
                529900XM8PJTJK5OJI77
                GOVERNMENT BOND
                P97475AP5
                
                    
                
                82000
                PA
                USD
                8405
                0.010088165452
                Long
                DBT
                NUSS
                VE
                N
                
                2
                
                    2024-10-13
                    Fixed
                    8.25
                    Y
                    Y
                    N
                
                
                    N
                    N
                    N
                
            
            
                BOLIVARIAN REPUBLIC OF VENEZUELA
                529900XM8PJTJK5OJI77
                GOVERNMENT BOND
                P17625AA5
                
                    
                
                51000
                PA
                USD
                5227.5
                0.006274346805
                Long
                DBT
                NUSS
                VE
                N
                
                2
                
                    2023-05-07
                    Fixed
                    9
                    Y
                    Y
                    N
                
                
                    N
                    N
                    N
                
            
            
                DOMINICAN REPUBLIC
                N/A
                GOVERNMENT BOND
                P3579EBV8
                
                    
                
                117000
                PA
                USD
                132063.75
                0.158510524709
                Long
                DBT
                NUSS
                DO
                N
                
                2
                
                    2027-01-25
                    Fixed
                    5.95
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FHLB
                2549001DPIFGXC1TOL40
                GOVERNMENT DISC NOTES
                N/A
                
                    
                
                500000
                PA
                USD
                500000
                0.60012881926
                Long
                DBT
                USGA
                US
                N
                
                2
                
                    2021-06-18
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FHLB
                2549001DPIFGXC1TOL40
                GOVERNMENT DISC NOTES
                N/A
                
                    
                
                1000000
                PA
                USD
                1000000
                1.200257638519
                Long
                DBT
                USGA
                US
                N
                
                2
                
                    2021-07-07
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FEDERAL FARM CREDIT BANKS FUNDING CORP
                N/A
                GOVERNMENT DISC NOTES
                N/A
                
                    
                
                500000
                PA
                USD
                499971.95
                0.600095152032
                Long
                DBT
                USGA
                US
                N
                
                2
                
                    2021-09-10
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                FHLB
                2549001DPIFGXC1TOL40
                GOVERNMENT DISC NOTES
                N/A
                
                    
                
                1000000
                PA
                USD
                999978.34
                1.200231640939
                Long
                DBT
                USGA
                US
                N
                
                2
                
                    2021-08-18
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES, LLC.
                ZBUT11V806EZRVTWT807
                GOVERNMENT FUTURES
                N/A
                
                    
                
                23
                NC
                USD
                5076890.65
                6.093576782587
                N/A
                DIR
                CORP
                US
                N
                
                1
                
                    
                        
                            J.P. MORGAN SECURITIES, LLC.
                            ZBUT11V806EZRVTWT807
                        
                        Short
                        
                            
UNITED STATES OF AMERICA
US TREASURY N/B               02.5000 03/31/2023

    

                            
                        
                        2021-01-05
                        5076112.29
                        USD
                        -778.36
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES, LLC.
                ZBUT11V806EZRVTWT807
                GOVERNMENT FUTURES
                N/A
                
                    
                
                13
                NC
                
                17923157.46
                21.51240664774
                N/A
                DIR
                CORP
                JP
                N
                
                1
                
                    
                        
                            J.P. MORGAN SECURITIES, LLC.
                            ZBUT11V806EZRVTWT807
                        
                        Long
                        
                            
JAPAN
JAPAN (10 YEAR ISSUE)         00.1000 06/20/2028

    

                            
                        
                        2021-01-21
                        17908531.61
                        USD
                        14625.85
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES, LLC.
                ZBUT11V806EZRVTWT807
                GOVERNMENT FUTURES
                N/A
                
                    
                
                74
                NC
                
                14476185.37
                17.375152066957
                N/A
                DIR
                CORP
                DE
                N
                
                1
                
                    
                        
                            J.P. MORGAN SECURITIES, LLC.
                            ZBUT11V806EZRVTWT807
                        
                        Long
                        
                            
FRENCH REPUBLIC
FRANCE (GOVT OF)         REGS 06.0000 10/25/2025

    

                            
                        
                        2021-01-10
                        14568977.2
                        USD
                        -92791.83
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES, LLC.
                ZBUT11V806EZRVTWT807
                GOVERNMENT FUTURES
                N/A
                
                    
                
                85
                NC
                
                15272266.54
                18.33065457213
                N/A
                DIR
                CORP
                DE
                N
                
                1
                
                    
                        
                            J.P. MORGAN SECURITIES, LLC.
                            ZBUT11V806EZRVTWT807
                        
                        Long
                        
                            
REPUBLIC OF ITALY
BUONI POLIENNALI DEL TES REGS 02.2000 06/01/2027

    

                            
                        
                        2021-01-10
                        15334425.55
                        USD
                        -62159.01
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES, LLC.
                ZBUT11V806EZRVTWT807
                GOVERNMENT FUTURES
                N/A
                
                    
                
                68
                NC
                
                14091863.59
                16.913866914862
                N/A
                DIR
                CORP
                DE
                N
                
                1
                
                    
                        
                            J.P. MORGAN SECURITIES, LLC.
                            ZBUT11V806EZRVTWT807
                        
                        Long
                        
                            
FEDERAL REPUBLIC OF GERMANY
BUNDESREPUB. DEUTSCHLAND REGS 00.0000 02/15/2030

    

                            
                        
                        2021-01-10
                        14165055.45
                        USD
                        -73191.86
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES, LLC.
                ZBUT11V806EZRVTWT807
                GOVERNMENT FUTURES
                N/A
                
                    
                
                74
                NC
                USD
                9165015.66
                11.000380053059
                N/A
                DIR
                CORP
                US
                N
                
                1
                
                    
                        
                            J.P. MORGAN SECURITIES, LLC.
                            ZBUT11V806EZRVTWT807
                        
                        Short
                        
                            
UNITED STATES OF AMERICA
US TREASURY N/B               00.3750 11/30/2025

    

                            
                        
                        2021-01-05
                        9161380.34
                        USD
                        -3635.32
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES, LLC.
                ZBUT11V806EZRVTWT807
                GOVERNMENT FUTURES
                N/A
                
                    
                
                83
                NC
                
                14988710.66
                17.990314461213
                N/A
                DIR
                CORP
                GB
                N
                
                1
                
                    
                        
                            J.P. MORGAN SECURITIES, LLC.
                            ZBUT11V806EZRVTWT807
                        
                        Long
                        
                            
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
UNITED KINGDOM GILT      REGS 04.7500 12/07/2030

    

                            
                        
                        2021-01-30
                        14970690.15
                        USD
                        18020.51
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES, LLC.
                ZBUT11V806EZRVTWT807
                GOVERNMENT FUTURES
                N/A
                
                    
                
                241
                NC
                USD
                34933703.13
                41.929444023531
                N/A
                DIR
                CORP
                US
                N
                
                1
                
                    
                        
                            J.P. MORGAN SECURITIES, LLC.
                            ZBUT11V806EZRVTWT807
                        
                        Long
                        
                            
UNITED STATES OF AMERICA
US TREASURY N/B               01.1250 02/15/2031

    

                            
                        
                        2021-01-30
                        34963823.51
                        USD
                        -30120.38
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES, LLC.
                ZBUT11V806EZRVTWT807
                GOVERNMENT FUTURES
                N/A
                
                    
                
                34
                NC
                USD
                4928406.25
                5.915357247286
                N/A
                DIR
                CORP
                US
                N
                
                1
                
                    
                        
                            J.P. MORGAN SECURITIES, LLC.
                            ZBUT11V806EZRVTWT807
                        
                        Short
                        
                            
UNITED STATES OF AMERICA
US TREASURY N/B               01.1250 02/15/2031

    

                            
                        
                        2021-01-30
                        4931189.13
                        USD
                        2782.88
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES, LLC.
                ZBUT11V806EZRVTWT807
                GOVERNMENT FUTURES
                N/A
                
                    
                
                147
                NC
                
                17552874.47
                21.067971660579
                N/A
                DIR
                CORP
                CA
                N
                
                1
                
                    
                        
                            J.P. MORGAN SECURITIES, LLC.
                            ZBUT11V806EZRVTWT807
                        
                        Long
                        
                            
CANADA
CANADIAN GOVERNMENT           01.0000 06/01/2027

    

                            
                        
                        2021-01-30
                        17517042.96
                        USD
                        35831.51
                    
                
                
                    N
                    N
                    N
                
            
            
                FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES
                S6XOOCT0IEG5ABCC6L87
                GOVT CMO
                3137FREM9
                
                    
                
                159000
                PA
                USD
                17313.3
                0.020780420573
                Long
                ABS-MBS
                USGSE
                US
                N
                
                2
                
                    2052-02-25
                    Variable
                    1.384
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Inflation Swap Leg
                N/A
                
                    
                
                7403000
                NC
                USD
                14154.54
                0.016989094755
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2026-04-15
                        74.77
                        USD
                        0
                        USD
                        7403000
                        USD
                        14079.77
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Inflation Swap Leg
                N/A
                
                    
                
                2435000
                NC
                USD
                22241.29
                0.026695278213
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-04-01
                        40.91
                        USD
                        0
                        USD
                        2435000
                        USD
                        22200.38
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                1194000
                NC
                USD
                3927.07
                0.004713495764
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2026-06-16
                        6230.17
                        USD
                        0
                        USD
                        1194000
                        USD
                        -10157.24
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                333000
                NC
                USD
                1237.76
                0.001485630895
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2051-06-16
                        14625.61
                        USD
                        0
                        USD
                        333000
                        USD
                        -15863.37
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                108000
                NC
                USD
                432.54
                0.000519159439
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2051-04-26
                        3.68
                        USD
                        0
                        USD
                        108000
                        USD
                        619.67
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                3000
                NC
                USD
                1.86
                0.000002232479
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-04-27
                        0.04
                        USD
                        0
                        USD
                        3000
                        USD
                        -2
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                740000
                NC
                USD
                3221.96
                0.003867182101
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-05-13
                        9.81
                        USD
                        0
                        USD
                        740000
                        USD
                        3738.27
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                225000
                NC
                USD
                318.6
                0.000382402084
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-04-30
                        0.85
                        USD
                        0
                        USD
                        225000
                        USD
                        336.84
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                765000
                NC
                USD
                6430.59
                0.007718364768
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2031-04-30
                        10.14
                        USD
                        0
                        USD
                        765000
                        USD
                        7368.67
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                205000
                NC
                USD
                136.73
                0.000164111227
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                        
                            

                            
                        
                        2023-05-13
                        0.78
                        USD
                        0
                        USD
                        205000
                        USD
                        144.65
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                1777000
                NC
                USD
                2505.57
                0.003007329531
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2023-06-16
                        71.2
                        USD
                        0
                        USD
                        1777000
                        USD
                        -2576.77
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                2361000
                NC
                USD
                20377.79
                0.024458598104
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-06-16
                        29410.77
                        USD
                        0
                        USD
                        2361000
                        USD
                        -49788.56
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS CAPITAL, INC.
                AC28XWWI3WIBK2824319
                Interest Rate Swap
                N/A
                
                    
                
                2672000
                NC
                USD
                7436.18
                0.008925331846
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            BARCLAYS CAPITAL, INC.
                            AC28XWWI3WIBK2824319
                        
                        Y
                        
                            

                            
                        
                        
                        2031-04-20
                        0
                        USD
                        3174.48
                        USD
                        2672000
                        USD
                        -7642.82
                    
                
                
                    N
                    N
                    N
                
            
            
                UBS AG LONDON BRANCH VIA UBS LUXEMBOURG ISSUER SA
                N/A
                LEVERAGED COMMODITY LINKED NOTES
                902674YD6
                
                    
                
                116000
                NS
                USD
                154170
                0.18504372013
                Long
                COMM
                CORP
                GB
                N
                
                2
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL/UNITED STATES
                N/A
                LEVERAGED COMMODITY LINKED NOTES
                N/A
                
                    
                
                1656000
                NS
                USD
                2504921.57
                3.006551248283
                Long
                COMM
                CORP
                US
                N
                
                2
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                339
                0.000406887339
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        845.13
                        USD
                        0
                        USD
                        3000
                        USD
                        -507.88
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                9000
                NC
                USD
                1017
                0.001220662018
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        2681.31
                        USD
                        0
                        USD
                        9000
                        USD
                        -1669.56
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                339
                0.000406887339
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        893.77
                        USD
                        0
                        USD
                        3000
                        USD
                        -556.52
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                61.7
                0.000074055896
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        349.23
                        USD
                        0
                        USD
                        1000
                        USD
                        -288.11
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                2000
                NC
                USD
                123.4
                0.000148111793
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        703.01
                        USD
                        0
                        USD
                        2000
                        USD
                        -580.78
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                185.1
                0.000222167689
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        1002.05
                        USD
                        0
                        USD
                        3000
                        USD
                        -818.7
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                21000
                NC
                USD
                1295.7
                0.001555173822
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        6623.56
                        USD
                        0
                        USD
                        21000
                        USD
                        -5340.11
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                296.4
                0.000355756364
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        709.77
                        USD
                        0
                        USD
                        3000
                        USD
                        -415.12
                    
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH INTERNATIONAL
                GGDZP1UYGU9STUHRDP48
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                296.4
                0.000355756364
                N/A
                DCR
                CORP
                GB
                N
                
                2
                
                    
                        
                            MERRILL LYNCH INTERNATIONAL
                            GGDZP1UYGU9STUHRDP48
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        555.75
                        USD
                        0
                        USD
                        3000
                        USD
                        -261.1
                    
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH INTERNATIONAL
                GGDZP1UYGU9STUHRDP48
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                2000
                NC
                USD
                197.6
                0.000237170909
                N/A
                DCR
                CORP
                GB
                N
                
                2
                
                    
                        
                            MERRILL LYNCH INTERNATIONAL
                            GGDZP1UYGU9STUHRDP48
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        370.5
                        USD
                        0
                        USD
                        2000
                        USD
                        -174.07
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                61.7
                0.000074055896
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        190.25
                        USD
                        0
                        USD
                        1000
                        USD
                        -129.13
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                267.5
                0.000321068918
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2058-09-17
                        0
                        USD
                        400.56
                        USD
                        1000
                        USD
                        134.03
                    
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH INTERNATIONAL
                GGDZP1UYGU9STUHRDP48
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                5000
                NC
                USD
                565
                0.000678145566
                N/A
                DCR
                CORP
                GB
                N
                
                2
                
                    
                        
                            MERRILL LYNCH INTERNATIONAL
                            GGDZP1UYGU9STUHRDP48
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        1083.36
                        USD
                        0
                        USD
                        5000
                        USD
                        -521.28
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                61.7
                0.000074055896
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        203.89
                        USD
                        0
                        USD
                        1000
                        USD
                        -142.77
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                61.7
                0.000074055896
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        208.67
                        USD
                        0
                        USD
                        1000
                        USD
                        -147.55
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                61.7
                0.000074055896
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        227.22
                        USD
                        0
                        USD
                        1000
                        USD
                        -166.1
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                2000
                NC
                USD
                123.4
                0.000148111793
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        451.28
                        USD
                        0
                        USD
                        2000
                        USD
                        -329.05
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                2000
                NC
                USD
                226
                0.000271258226
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        492.13
                        USD
                        0
                        USD
                        2000
                        USD
                        -267.3
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                339
                0.000406887339
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        731.38
                        USD
                        0
                        USD
                        3000
                        USD
                        -394.13
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                2000
                NC
                USD
                226
                0.000271258226
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        477.15
                        USD
                        0
                        USD
                        2000
                        USD
                        -252.32
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                113
                0.000135629113
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        236.51
                        USD
                        0
                        USD
                        1000
                        USD
                        -124.09
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                965.29
                NC
                USD
                370.38
                0.000444551424
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2057-10-17
                        494.38
                        USD
                        0
                        USD
                        965.29
                        USD
                        -124.94
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                113
                0.000135629113
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        229.59
                        USD
                        0
                        USD
                        1000
                        USD
                        -117.17
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                2000
                NC
                USD
                226
                0.000271258226
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        433.65
                        USD
                        0
                        USD
                        2000
                        USD
                        -208.82
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                113
                0.000135629113
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        216.24
                        USD
                        0
                        USD
                        1000
                        USD
                        -103.82
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                2000
                NC
                USD
                226
                0.000271258226
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        329.84
                        USD
                        0
                        USD
                        2000
                        USD
                        -105.01
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                113
                0.000135629113
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        119.81
                        USD
                        0
                        USD
                        1000
                        USD
                        -7.39
                    
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH INTERNATIONAL
                GGDZP1UYGU9STUHRDP48
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                5000
                NC
                USD
                1406.5
                0.001688162369
                N/A
                DCR
                CORP
                GB
                N
                
                2
                
                    
                        
                            MERRILL LYNCH INTERNATIONAL
                            GGDZP1UYGU9STUHRDP48
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        1347.24
                        USD
                        5000
                        USD
                        -56.34
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                7000
                NC
                USD
                618.1
                0.000741879246
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2063-05-11
                        463.75
                        USD
                        0
                        USD
                        7000
                        USD
                        151.63
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                457.8
                0.000549477947
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2057-10-17
                        464.82
                        USD
                        0
                        USD
                        3000
                        USD
                        -8.77
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                9000
                NC
                USD
                1017
                0.001220662018
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        1110.47
                        USD
                        0
                        USD
                        9000
                        USD
                        -98.72
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                4000
                NC
                USD
                610.4
                0.000732637263
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2057-10-17
                        634.76
                        USD
                        0
                        USD
                        4000
                        USD
                        -26.69
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                4000
                NC
                USD
                610.4
                0.000732637263
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2057-10-17
                        632.26
                        USD
                        0
                        USD
                        4000
                        USD
                        -24.19
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                5000
                NC
                USD
                565
                0.000678145566
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        634.13
                        USD
                        0
                        USD
                        5000
                        USD
                        -72.05
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                339
                0.000406887339
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        382.43
                        USD
                        0
                        USD
                        3000
                        USD
                        -45.18
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                8000
                NC
                USD
                1220.8
                0.001465274525
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2057-10-17
                        1250
                        USD
                        0
                        USD
                        8000
                        USD
                        -33.87
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                457.8
                0.000549477947
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2057-10-17
                        468.75
                        USD
                        0
                        USD
                        3000
                        USD
                        -12.7
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                185.1
                0.000222167689
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2061-08-17
                        0
                        USD
                        176.79
                        USD
                        3000
                        USD
                        -6.56
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                8000
                NC
                USD
                493.6
                0.00059244717
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2061-08-17
                        0
                        USD
                        471.45
                        USD
                        8000
                        USD
                        -17.48
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                6000
                NC
                USD
                751.8
                0.000902353693
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        788.29
                        USD
                        0
                        USD
                        6000
                        USD
                        -42.32
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                43000
                NC
                USD
                4859
                0.005832051866
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        4885.47
                        USD
                        0
                        USD
                        43000
                        USD
                        -51.55
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                61253.36
                NC
                USD
                29113.72
                0.034943964816
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                            

                            
                        
                        
                        2063-05-11
                        1111.98
                        USD
                        0
                        USD
                        61253.36
                        USD
                        27942.19
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                2000
                NC
                USD
                731.2
                0.000877628385
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        302.66
                        USD
                        0
                        USD
                        2000
                        USD
                        426.6
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                8000
                NC
                USD
                511.2
                0.000613571705
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        294.45
                        USD
                        8000
                        USD
                        -213.64
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                88000
                NC
                USD
                24754.4
                0.029711657687
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        8253.48
                        USD
                        88000
                        USD
                        -16449.59
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                24000
                NC
                USD
                1533.6
                0.001840715114
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        942.85
                        USD
                        24000
                        USD
                        -581.42
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                25000
                NC
                USD
                1597.5
                0.001917411578
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        1039.92
                        USD
                        25000
                        USD
                        -547.86
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                79000
                NC
                USD
                22222.7
                0.026672965424
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        5938.53
                        USD
                        79000
                        USD
                        -16238.09
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                9000
                NC
                USD
                2531.7
                0.003038692263
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        613.14
                        USD
                        9000
                        USD
                        -1913.31
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                4000
                NC
                USD
                1125.2
                0.001350529895
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        316.51
                        USD
                        4000
                        USD
                        -806.36
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                23000
                NC
                USD
                6469.9
                0.007765546895
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        1940.92
                        USD
                        23000
                        USD
                        -4515.56
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                15000
                NC
                USD
                4219.5
                0.005064487106
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        1265.81
                        USD
                        15000
                        USD
                        -2944.94
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                34000
                NC
                USD
                12430.4
                0.01491968255
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        6903.69
                        USD
                        0
                        USD
                        34000
                        USD
                        5493.65
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                26000
                NC
                USD
                2295.8
                0.002755551487
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        1323.11
                        USD
                        26000
                        USD
                        -962.58
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                35000
                NC
                USD
                9845.5
                0.01181713658
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        4261.37
                        USD
                        35000
                        USD
                        -5563.71
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                88.3
                0.000105982749
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        50.62
                        USD
                        1000
                        USD
                        -37.29
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                15000
                NC
                USD
                1324.5
                0.001589741242
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        780.6
                        USD
                        15000
                        USD
                        -538.07
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                7000
                NC
                USD
                618.1
                0.000741879246
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        421.84
                        USD
                        7000
                        USD
                        -193.54
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                4000
                NC
                USD
                1462.4
                0.001755256771
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        655.37
                        USD
                        0
                        USD
                        4000
                        USD
                        803.14
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                281.3
                0.000337632474
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        108.62
                        USD
                        1000
                        USD
                        -172.1
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                9000
                NC
                USD
                2531.7
                0.003038692263
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        1056.06
                        USD
                        9000
                        USD
                        -1470.39
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                54000
                NC
                USD
                3450.6
                0.004141609007
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        1138.41
                        USD
                        0
                        USD
                        54000
                        USD
                        2291.19
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                39000
                NC
                USD
                3443.7
                0.00413332723
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        1223.51
                        USD
                        39000
                        USD
                        -2205.02
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                5000
                NC
                USD
                441.5
                0.000529913747
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        247.01
                        USD
                        5000
                        USD
                        -192.55
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                31000
                NC
                USD
                2737.3
                0.003285465234
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        1988.36
                        USD
                        31000
                        USD
                        -736.88
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                5833.65
                NC
                USD
                2772.73
                0.003327990362
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        1473.43
                        USD
                        5833.65
                        USD
                        -1293.63
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                12639.58
                NC
                USD
                6007.59
                0.007210655787
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        3203.35
                        USD
                        12639.58
                        USD
                        -2791.95
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                1096.8
                0.001316442578
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        578.49
                        USD
                        0
                        USD
                        3000
                        USD
                        515.39
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                200.9
                0.00024113176
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        78.41
                        USD
                        0
                        USD
                        1000
                        USD
                        121.91
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                191.7
                0.000230089389
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        22.24
                        USD
                        0
                        USD
                        3000
                        USD
                        168.29
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                9000
                NC
                USD
                2710.8
                0.003253658406
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        1200.81
                        USD
                        0
                        USD
                        9000
                        USD
                        1501.24
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                7000
                NC
                USD
                2559.2
                0.003071699348
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        936.32
                        USD
                        7000
                        USD
                        -1616.07
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                5000
                NC
                USD
                1506
                0.001807588004
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        621.5
                        USD
                        0
                        USD
                        5000
                        USD
                        879.64
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                9000
                NC
                USD
                2710.8
                0.003253658406
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        1070.26
                        USD
                        0
                        USD
                        9000
                        USD
                        1631.79
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                11000
                NC
                USD
                1378.3
                0.001654315103
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        1425.17
                        USD
                        0
                        USD
                        11000
                        USD
                        -57.56
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                903.6
                0.001084552802
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        328.94
                        USD
                        0
                        USD
                        3000
                        USD
                        571.74
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                4000
                NC
                USD
                1204.8
                0.001446070403
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        417.45
                        USD
                        0
                        USD
                        4000
                        USD
                        783.46
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                4000
                NC
                USD
                1204.8
                0.001446070403
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        419.51
                        USD
                        0
                        USD
                        4000
                        USD
                        781.4
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                24000
                NC
                USD
                6420
                0.007705654039
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        2405.93
                        USD
                        0
                        USD
                        24000
                        USD
                        3990.74
                    
                
                
                    N
                    N
                    N
                
            
            
                CREDIT SUISSE INTERNATIONAL
                E58DKGMJYYYJLN8C3868
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                12000
                NC
                USD
                3375.6
                0.004051589685
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CREDIT SUISSE INTERNATIONAL
                            E58DKGMJYYYJLN8C3868
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        1127.55
                        USD
                        12000
                        USD
                        -2241.05
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                29000
                NC
                USD
                7757.5
                0.009310998631
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        2993.37
                        USD
                        0
                        USD
                        29000
                        USD
                        4735.94
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                4000
                NC
                USD
                501.2
                0.000601569128
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        377.05
                        USD
                        0
                        USD
                        4000
                        USD
                        120.26
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                6000
                NC
                USD
                1807.2
                0.002169105604
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                        
                            

                            
                        
                        2059-11-17
                        0
                        USD
                        481.43
                        USD
                        6000
                        USD
                        -1319.94
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                965.29
                NC
                USD
                370.38
                0.000444551424
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2057-10-17
                        124.16
                        USD
                        0
                        USD
                        965.29
                        USD
                        245.28
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                4000
                NC
                USD
                1070
                0.001284275673
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        258.08
                        USD
                        0
                        USD
                        4000
                        USD
                        808.03
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                125.3
                0.000150392282
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        68.75
                        USD
                        0
                        USD
                        1000
                        USD
                        55.58
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                125.3
                0.000150392282
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        51.88
                        USD
                        0
                        USD
                        1000
                        USD
                        72.45
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                125.3
                0.000150392282
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        51.01
                        USD
                        0
                        USD
                        1000
                        USD
                        73.32
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                5000
                NC
                USD
                1337.5
                0.001605344592
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        201.57
                        USD
                        0
                        USD
                        5000
                        USD
                        1131.07
                    
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH INTERNATIONAL
                GGDZP1UYGU9STUHRDP48
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                267.5
                0.000321068918
                N/A
                DCR
                CORP
                GB
                N
                
                2
                
                    
                        
                            MERRILL LYNCH INTERNATIONAL
                            GGDZP1UYGU9STUHRDP48
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        38.96
                        USD
                        0
                        USD
                        1000
                        USD
                        227.57
                    
                
                
                    N
                    N
                    N
                
            
            
                MERRILL LYNCH INTERNATIONAL
                GGDZP1UYGU9STUHRDP48
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                8000
                NC
                USD
                2409.6
                0.002892140806
                N/A
                DCR
                CORP
                GB
                N
                
                2
                
                    
                        
                            MERRILL LYNCH INTERNATIONAL
                            GGDZP1UYGU9STUHRDP48
                        
                        Y
                        
                            

                            
                        
                        
                        2059-11-17
                        455.19
                        USD
                        0
                        USD
                        8000
                        USD
                        1946.63
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                267.5
                0.000321068918
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        39.26
                        USD
                        0
                        USD
                        1000
                        USD
                        227.27
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                267.5
                0.000321068918
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        40.2
                        USD
                        0
                        USD
                        1000
                        USD
                        226.33
                    
                
                
                    N
                    N
                    N
                
            
            
                MORGAN STANLEY AND CO. INTERNATIONAL
                4PQUHN3JPFGFNF3BB653
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                267.5
                0.000321068918
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            MORGAN STANLEY AND CO. INTERNATIONAL
                            4PQUHN3JPFGFNF3BB653
                        
                        Y
                        
                            

                            
                        
                        
                        2058-09-17
                        39.1
                        USD
                        0
                        USD
                        1000
                        USD
                        227.43
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                32085.09
                NC
                USD
                15250.04
                0.018303976998
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        4733.89
                        USD
                        32085.09
                        USD
                        -10484.96
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                438000
                NC
                USD
                123209.4
                0.147883023487
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                            

                            
                        
                        
                        2063-05-11
                        27891.37
                        USD
                        0
                        USD
                        438000
                        USD
                        95062.53
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                32000
                NC
                USD
                11699.2
                0.014042054165
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        1633.08
                        USD
                        32000
                        USD
                        -10035.01
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                2000
                NC
                USD
                401.8
                0.000482263519
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2047-01-17
                        0
                        USD
                        10.09
                        USD
                        2000
                        USD
                        -390.54
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                1000
                NC
                USD
                200.9
                0.00024113176
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        234.77
                        USD
                        0
                        USD
                        1000
                        USD
                        -34.45
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                81000
                NC
                USD
                22785.3
                0.027348230371
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        25895.89
                        USD
                        81000
                        USD
                        3157.84
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                6000
                NC
                USD
                751.8
                0.000902353693
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2054-11-18
                        3272.31
                        USD
                        0
                        USD
                        6000
                        USD
                        -2526.34
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                9000
                NC
                USD
                1206
                0.001447510712
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2061-08-17
                        4942.94
                        USD
                        0
                        USD
                        9000
                        USD
                        -3745.69
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                30000
                NC
                USD
                10968
                0.013164425779
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                        2047-01-17
                        14689.66
                        USD
                        0
                        USD
                        30000
                        USD
                        -3750.83
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                10695.03
                NC
                USD
                5083.35
                0.006101329667
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                        
                            

                            
                        
                        2063-05-11
                        0
                        USD
                        5662.79
                        USD
                        10695.03
                        USD
                        589.84
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP GLOBAL MARKETS INC
                MBNUM2BPBDO7JBLYG310
                Mortgage Backed Swap Basket Index
                N/A
                
                    
                
                3000
                NC
                USD
                375.9
                0.000451176846
                N/A
                DCR
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIGROUP GLOBAL MARKETS INC
                            MBNUM2BPBDO7JBLYG310
                        
                        Y
                        
                        
                            

                            
                        
                        2054-11-18
                        0
                        USD
                        1695
                        USD
                        3000
                        USD
                        1322.02
                    
                
                
                    N
                    N
                    N
                
            
            
                HOLCIM LTD
                529900EHPFPYHV6IQO98
                ORDINARY SHARES
                N/A
                
                    
                
                1449
                NS
                
                86859.46
                0.104253730343
                Long
                EC
                CORP
                CH
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                FORTESCUE METALS GROUP LTD
                529900VEJFORCO6I4826
                ORDINARY SHARES
                Q39360104
                
                    
                
                4677
                NS
                
                79753.65
                0.095724927612
                Long
                EC
                CORP
                AU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                LINK REIT
                529900XUE70U36QX5M62
                ORDINARY SHARES
                N/A
                
                    
                
                1000
                NS
                
                9644.5
                0.011575884795
                Long
                EC
                CORP
                HK
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                GOODMAN GROUP
                N/A
                ORDINARY SHARES
                Q4229W132
                
                    
                
                8086
                NS
                
                120493.51
                0.144623255769
                Long
                EC
                CORP
                AU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                M3 INC
                N/A
                ORDINARY SHARES
                N/A
                
                    
                
                500
                NS
                
                33736.97
                0.040493055943
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ROYAL DUTCH SHELL PLC
                21380068P1DRHMJ8KU70
                ORDINARY SHARES
                N/A
                
                    
                
                10045
                NS
                
                182981.86
                0.219625375175
                Long
                EC
                CORP
                NL
                
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                HIKMA PHARMACEUTICALS PLC
                549300BNS685UXH4JI75
                ORDINARY SHARES
                N/A
                
                    
                
                1427
                NS
                
                49494.12
                0.059405695592
                Long
                EC
                CORP
                JO
                
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ELECTRICITE DE FRANCE SA
                549300X3UK4GG3FNMO06
                ORDINARY SHARES
                N/A
                
                    
                
                4365
                NS
                
                61772.24
                0.074142602908
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                IPSEN SA
                549300M6SGDPB4Z94P11
                ORDINARY SHARES
                N/A
                
                    
                
                244
                NS
                
                25487.77
                0.030591890631
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                PARTNERS GROUP HOLDING AG
                549300I3IVVWZWDHI788
                ORDINARY SHARES
                N/A
                
                    
                
                87
                NS
                
                131539.74
                0.157881577704
                Long
                EC
                CORP
                CH
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                LEGRAND SA
                969500XXRPGD7HCAFA90
                ORDINARY SHARES
                N/A
                
                    
                
                1136
                NS
                
                119190.77
                0.143059632133
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                AGL ENERGY LTD
                549300QAZ8A74DEDXO80
                ORDINARY SHARES
                N/A
                
                    
                
                4526
                NS
                
                28854.8
                0.034633194108
                Long
                EC
                CORP
                AU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                BRAMBLES LTD
                N/A
                ORDINARY SHARES
                N/A
                
                    
                
                6132
                NS
                
                51289.68
                0.061560830197
                Long
                EC
                CORP
                AU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                AVIVA PLC
                YF0Y5B0IB8SM0ZFG9G81
                ORDINARY SHARES
                G0683Q109
                
                    
                
                17160
                NS
                
                100137.97
                0.120191363398
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                GLAXOSMITHKLINE PLC
                5493000HZTVUYLO1D793
                ORDINARY SHARES
                N/A
                
                    
                
                2745
                NS
                
                52364.22
                0.06285055504
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                CHECK POINT SOFTWARE TECHNOLOGIES LTD
                2549003ZVBH73EPNS513
                ORDINARY SHARES
                M22465104
                
                    
                
                267
                NS
                USD
                31233.66
                0.037488438994
                Long
                EC
                CORP
                IL
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                UNILEVER PLC
                549300MKFYEKVRWML317
                ORDINARY SHARES
                N/A
                
                    
                
                444
                NS
                
                26631.29
                0.031964409246
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NINTENDO CO LTD
                353800FEEXU6I9M0ZF27
                ORDINARY SHARES
                N/A
                
                    
                
                200
                NS
                
                123767.47
                0.148552851268
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                BANCO BILBAO VIZCAYA ARGENTARIA SA
                K8MS7FD7N5Z2WQ51AZ71
                ORDINARY SHARES
                N/A
                
                    
                
                19226
                NS
                
                120179.8
                0.144246722946
                Long
                EC
                CORP
                ES
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ANGLO AMERICAN PLC
                549300S9XF92D1X8ME43
                ORDINARY SHARES
                N/A
                
                    
                
                2799
                NS
                
                124528.52
                0.149466307343
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                DBS GROUP HOLDINGS LTD
                5493007FKT78NKPM5V55
                ORDINARY SHARES
                Y20246107
                
                    
                
                6100
                NS
                
                140265.41
                0.168354629772
                Long
                EC
                CORP
                SG
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                HERMES INTERNATIONAL
                969500Y4IJGHJE2MTJ13
                ORDINARY SHARES
                N/A
                
                    
                
                100
                NS
                
                139505.05
                0.167442001874
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                WESFARMERS LTD
                5493003L32ZX9557ST85
                ORDINARY SHARES
                N/A
                
                    
                
                3161
                NS
                
                135316.34
                0.162414470701
                Long
                EC
                CORP
                AU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                KONINKLIJKE KPN NV
                549300YO0JZHAL7FVP81
                ORDINARY SHARES
                N/A
                
                    
                
                17972
                NS
                
                60005.88
                0.072022515826
                Long
                EC
                CORP
                NL
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                PERSIMMON PLC
                213800XI72Y57UWN6F31
                ORDINARY SHARES
                N/A
                
                    
                
                778
                NS
                
                34889.53
                0.041876424887
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                CIE DE SAINT-GOBAIN
                NFONVGN05Z0FMN5PEC35
                ORDINARY SHARES
                N/A
                
                    
                
                1874
                NS
                
                126008.62
                0.151242808674
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SANDVIK AB
                5299008ZUAXN43LVZF54
                ORDINARY SHARES
                N/A
                
                    
                
                4432
                NS
                
                118003.07
                0.141634086136
                Long
                EC
                CORP
                SE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ADECCO GROUP AG
                NI14Y5UMU60O7JE9P611
                ORDINARY SHARES
                N/A
                
                    
                
                897
                NS
                
                62226.57
                0.074687915961
                Long
                EC
                CORP
                CH
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                TOKYO GAS CO., LTD
                353800678EIJLOQSWZ83
                ORDINARY SHARES
                N/A
                
                    
                
                1600
                NS
                
                31749.44
                0.038107507879
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NIPPON YUSEN KK
                353800YPW4XM0ZN5I149
                ORDINARY SHARES
                N/A
                
                    
                
                1500
                NS
                
                61455.82
                0.073762817386
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                L'OREAL SA
                529900JI1GG6F7RKVI53
                ORDINARY SHARES
                N/A
                
                    
                
                395
                NS
                
                178969.19
                0.214809137357
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                FISHER PAYKEL HEALTHCARE C
                N/A
                ORDINARY SHARES
                Q38992105
                
                    
                
                840
                NS
                
                17774.17
                0.021333583311
                Long
                EC
                CORP
                NZ
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                LOGITECH INTERNATIONAL SA
                549300SN6PRK6IJJC215
                ORDINARY SHARES
                N/A
                
                    
                
                466
                NS
                
                57401.67
                0.068896792881
                Long
                EC
                CORP
                CH
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                AP MOLLER-MAERSK A/S
                549300D2K6PKKKXVNN73
                ORDINARY SHARES
                N/A
                
                    
                
                15
                NS
                
                41483.55
                0.04979094776
                Long
                EC
                CORP
                DK
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                LVMH MOET HENNESSY LOUIS VUITTON SA
                IOG4E947OATN0KJYSD45
                ORDINARY SHARES
                N/A
                
                    
                
                58
                NS
                
                46383.48
                0.055672126171
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NIPPON EXPRESS CO LTD
                529900NTHOQWZAW95H82
                ORDINARY SHARES
                J53376117
                
                    
                
                900
                NS
                
                73009.51
                0.087630222062
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                INDUSTRIA DE DISENO TEXTIL SA
                549300TTCXZOGZM2EY83
                ORDINARY SHARES
                N/A
                
                    
                
                1190
                NS
                
                46320.55
                0.055596593958
                Long
                EC
                CORP
                ES
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                WOOLWORTHS GROUP LTD
                QNWEWQBS7HP85QHXQL92
                ORDINARY SHARES
                N/A
                
                    
                
                4061
                NS
                
                131204.5
                0.157479203333
                Long
                EC
                CORP
                AU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                DEUTSCHE TELEKOM AG
                549300V9QSIG4WX4GJ96
                ORDINARY SHARES
                N/A
                
                    
                
                7073
                NS
                
                147352.37
                0.176860807646
                Long
                EC
                CORP
                DE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                FUJITSU, LTD
                3538000246DHJLRTUZ24
                ORDINARY SHARES
                J15708159
                
                    
                
                600
                NS
                
                98083.49
                0.117725458085
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ROCHE HOLDING AG
                549300U41AUUVOAAOB37
                ORDINARY SHARES
                H69293217
                
                    
                
                630
                NS
                
                221042.8
                0.26530830914
                Long
                EC
                CORP
                CH
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                DEUTSCHE POST AG
                8ER8GIG7CSMVD8VUFE78
                ORDINARY SHARES
                N/A
                
                    
                
                2280
                NS
                
                155004.26
                0.186045047068
                Long
                EC
                CORP
                DE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                OMRON CORP
                549300ZHW0TR2QZ0NY83
                ORDINARY SHARES
                N/A
                
                    
                
                600
                NS
                
                47744.34
                0.057305508781
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ZURICH INSURANCE GROUP AG
                529900QVNRBND50TXP03
                ORDINARY SHARES
                N/A
                
                    
                
                86
                NS
                
                36207
                0.043457728318
                Long
                EC
                CORP
                CH
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ICL GROUP LTD
                529900FQVQD88SHIGM04
                ORDINARY SHARES
                N/A
                
                    
                
                2918
                NS
                
                20818.48
                0.024987539642
                Long
                EC
                CORP
                IL
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                BERKELEY GROUP HOLDINGS PLC
                2138009OQSSLVVHQAL78
                ORDINARY SHARES
                N/A
                
                    
                
                515
                NS
                
                34197.05
                0.041045270477
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                IMPERIAL BRANDS PLC
                549300DFVPOB67JL3A42
                ORDINARY SHARES
                N/A
                
                    
                
                5357
                NS
                
                121638.21
                0.145997190688
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ATLAS COPCO AB
                213800T8PC8Q4FYJZR07
                ORDINARY SHARES
                N/A
                
                    
                
                293
                NS
                
                17924.05
                0.021513477926
                Long
                EC
                CORP
                SE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                THALES SA
                529900FNDVTQJOVVPZ19
                ORDINARY SHARES
                N/A
                
                    
                
                110
                NS
                
                11297.23
                0.013559586602
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                CARLSBERG AS
                5299001O0WJQYB5GYZ19
                ORDINARY SHARES
                N/A
                
                    
                
                454
                NS
                
                83530.88
                0.100258576772
                Long
                EC
                CORP
                DK
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                BOLLORE SA
                969500LEKCHH6VV86P94
                ORDINARY SHARES
                N/A
                
                    
                
                4066
                NS
                
                21072.7
                0.025292669139
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SONOVA HOLDING AG
                5299004A0QNX7FBNHS61
                ORDINARY SHARES
                H62042124
                
                    
                
                290
                NS
                
                102813.79
                0.123403036793
                Long
                EC
                CORP
                CH
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SARTORIUS STEDIM BIOTECH
                52990006IVXY7GCSSR39
                ORDINARY SHARES
                N/A
                
                    
                
                139
                NS
                
                60309.35
                0.072386758012
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SKANDINAVISKA ENSKILDA BANKEN AB
                F3JS33DEI6XQ4ZBPTN86
                ORDINARY SHARES
                N/A
                
                    
                
                5166
                NS
                
                66782.28
                0.080155941688
                Long
                EC
                CORP
                SE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                FORTUM OYJ
                635400IUIZZIUJSAMF76
                ORDINARY SHARES
                X2978Z118
                
                    
                
                3341
                NS
                
                96558.1
                0.115894597086
                Long
                EC
                CORP
                FI
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                EUROFINS SCIENTIFIC SE
                529900JEHFM47DYY3S57
                ORDINARY SHARES
                N/A
                
                    
                
                461
                NS
                
                49403.18
                0.059296544162
                Long
                EC
                CORP
                LU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                BROTHER INDUSTRIES LTD
                549300O5FACQ67KI6R92
                ORDINARY SHARES
                N/A
                
                    
                
                1500
                NS
                
                32148.22
                0.03858614662
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                KDDI CORP
                5299003FU7V4I45FU310
                ORDINARY SHARES
                N/A
                
                    
                
                4200
                NS
                
                143358.67
                0.172067338715
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                DAITO TRUST CONSTRUCTION CO LTD
                353800QQ4DRI3KXS3038
                ORDINARY SHARES
                J11151107
                
                    
                
                200
                NS
                
                21869.17
                0.026248638341
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ARISTOCRAT LEISURE LTD
                529900TE2HO3OZKYKC27
                ORDINARY SHARES
                N/A
                
                    
                
                2127
                NS
                
                68720.01
                0.082481716922
                Long
                EC
                CORP
                AU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                GENTING INTL PUBLIC LTD CO
                254900Y2N3AK93K1O866
                ORDINARY SHARES
                N/A
                
                    
                
                37700
                NS
                
                24088.09
                0.02891191402
                Long
                EC
                CORP
                SG
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ISRAEL DISCOUNT BANK LTD
                549300XWZ7BG5G23OF51
                ORDINARY SHARES
                N/A
                
                    
                
                8098
                NS
                
                41499.45
                0.049810031857
                Long
                EC
                CORP
                IL
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                KOITO MANUFACTURING CO LTD
                N/A
                ORDINARY SHARES
                N/A
                
                    
                
                1100
                NS
                
                72909.36
                0.08751001626
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                LASERTEC CORP
                N/A
                ORDINARY SHARES
                N/A
                
                    
                
                200
                NS
                
                35434.97
                0.042531093413
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NIPPON MEAT PACKERS
                353800NLDBIOUQILWU82
                ORDINARY SHARES
                J54752142
                
                    
                
                700
                NS
                
                28328.86
                0.034001930606
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NITORI HOLDINGS CO LTD
                N/A
                ORDINARY SHARES
                N/A
                
                    
                
                600
                NS
                
                104037.87
                0.124872248163
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ONO PHARMACEUTICAL CO LTD
                N/A
                ORDINARY SHARES
                N/A
                
                    
                
                2700
                NS
                
                61763.1
                0.074131632554
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                RYOHIN KEIKAKU CO LTD
                549300PMNF56J66BY371
                ORDINARY SHARES
                N/A
                
                    
                
                900
                NS
                
                17363.32
                0.02084045746
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SONIC HEALTHCARE LTD
                549300NQQ5L2NONWR862
                ORDINARY SHARES
                N/A
                
                    
                
                2179
                NS
                
                58490.33
                0.070203465362
                Long
                EC
                CORP
                AU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SCSK CORP
                529900SNGFXMSUBB7864
                ORDINARY SHARES
                N/A
                
                    
                
                400
                NS
                
                23926.8
                0.028718324465
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SUMITOMO REALTY  AND  DEVELOPMENT CO LTD
                N/A
                ORDINARY SHARES
                N/A
                
                    
                
                500
                NS
                
                17084.72
                0.020506065682
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                TABCORP HOLDINGS LTD
                213800OCCFUN67NEY278
                ORDINARY SHARES
                N/A
                
                    
                
                7887
                NS
                
                31434.06
                0.037728970625
                Long
                EC
                CORP
                AU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                EQUINOR ASA
                OW6OFBNCKXC4US5C7523
                ORDINARY SHARES
                N/A
                
                    
                
                5378
                NS
                
                116833.08
                0.140229796702
                Long
                EC
                CORP
                NO
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NOMURA RESEARCH INSTITUTE
                5299005F1HCVF4M4QN79
                ORDINARY SHARES
                N/A
                
                    
                
                2600
                NS
                
                83088.27
                0.099727330739
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SUMITOMO MITSUI TRUST HOLDINGS INC
                353800P843RLCDBLNT17
                ORDINARY SHARES
                J7772M102
                
                    
                
                1400
                NS
                
                49073.61
                0.058900975252
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                BOC HONG KONG HOLDINGS LTD
                N/A
                ORDINARY SHARES
                Y0920U103
                
                    
                
                14000
                NS
                
                51591.95
                0.061923632074
                Long
                EC
                CORP
                HK
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SUMITOMO MITSUI FINANCIAL GROUP INC
                35380028MYWPB6AUO129
                ORDINARY SHARES
                J7771X109
                
                    
                
                3700
                NS
                
                135657.12
                0.162823494499
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                HARGREAVES LANSDOWN PLC
                2138008ZCE93ZDSESG90
                ORDINARY SHARES
                N/A
                
                    
                
                852
                NS
                
                20035.05
                0.024047221801
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                GLOW ENERGY PCL
                N/A
                ORDINARY SHARES
                N/A
                
                    
                
                400
                NS
                
                0.13
                0.000000156033
                Long
                EC
                CORP
                TH
                N
                
                3
                
                    N
                    N
                    N
                
            
            
                PANDORA A/S
                5299007OWYZ6I1E46843
                ORDINARY SHARES
                N/A
                
                    
                
                478
                NS
                
                64760.68
                0.077729500846
                Long
                EC
                CORP
                DK
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                GJENSIDIGE FORSIKRING ASA
                5967007LIEEXZX6FAO47
                ORDINARY SHARES
                N/A
                
                    
                
                1026
                NS
                
                23107.39
                0.027734821354
                Long
                EC
                CORP
                NO
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                DIRECT LINE INSURANCE GROUP PLC
                213800FF2R23ALJQOP04
                ORDINARY SHARES
                N/A
                
                    
                
                10721
                NS
                
                45233.33
                0.054291649848
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                COCA-COLA HBC AG
                549300EFP3TNG7JGVE49
                ORDINARY SHARES
                N/A
                
                    
                
                1385
                NS
                
                50494.29
                0.060606157274
                Long
                EC
                CORP
                CH
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                CNH INDUSTRIAL NV
                549300WGC2HZ5J67V817
                ORDINARY SHARES
                N/A
                
                    
                
                6212
                NS
                
                106772.75
                0.128154808773
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NN GROUP NV
                724500OHYNDT9OY6Q215
                ORDINARY SHARES
                N/A
                
                    
                
                216
                NS
                
                10983.83
                0.013183425858
                Long
                EC
                CORP
                NL
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                WH GROUP LTD
                254900A4AYEDRWYSE928
                ORDINARY SHARES
                N/A
                
                    
                
                74000
                NS
                
                63788.99
                0.076563222501
                Long
                EC
                CORP
                HK
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                AUTO TRADER GROUP PLC
                213800QLK9BZILB1DI86
                ORDINARY SHARES
                N/A
                
                    
                
                3445
                NS
                
                27456.47
                0.032954837844
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                CK HUTCHISON HOLDINGS LTD
                254900Z8HM1VEPOQ2G79
                ORDINARY SHARES
                N/A
                
                    
                
                5500
                NS
                
                43796.47
                0.052567047658
                Long
                EC
                CORP
                HK
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                EVOLUTION AB
                549300SUH6ZR1RF6TA88
                ORDINARY SHARES
                N/A
                
                    
                
                503
                NS
                
                93850.45
                0.112644719491
                Long
                EC
                CORP
                SE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                CK ASSET HOLDINGS LTD
                5299006GJZSGP78B8S35
                ORDINARY SHARES
                N/A
                
                    
                
                15000
                NS
                
                102050.02
                0.122486316016
                Long
                EC
                CORP
                HK
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                POSTE ITALIANE SPA
                815600354DEDBD0BA991
                ORDINARY SHARES
                N/A
                
                    
                
                2042
                NS
                
                28648.79
                0.034385929032
                Long
                EC
                CORP
                IT
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                COVESTRO AG
                3912005AWHKLQ1CPLV11
                ORDINARY SHARES
                N/A
                
                    
                
                1509
                NS
                
                105440.57
                0.126555849552
                Long
                EC
                CORP
                DE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                COCA-COLA EUROPACIFIC PARTNERS PLC
                549300LTH67W4GWMRF57
                ORDINARY SHARES
                G25839104
                
                    
                
                271
                NS
                USD
                16400.92
                0.019685329509
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                KNORR-BREMSE AG
                5299001GRRO0Z25YZT52
                ORDINARY SHARES
                N/A
                
                    
                
                499
                NS
                
                62067.55
                0.074497050992
                Long
                EC
                CORP
                DE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                COLES GROUP LTD
                549300OHQRG2HN8LZ793
                ORDINARY SHARES
                N/A
                
                    
                
                2433
                NS
                
                31153.71
                0.037392478396
                Long
                EC
                CORP
                AU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                LA FRANCAISE DES JEUX SAEM
                969500R4CLSQFTYYI535
                ORDINARY SHARES
                N/A
                
                    
                
                409
                NS
                
                23092.35
                0.027716769479
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                STELLANTIS NV
                549300LKT9PW7ZIBDF31
                ORDINARY SHARES
                N/A
                
                    
                
                7164
                NS
                
                140459.62
                0.168587731808
                Long
                EC
                CORP
                NL
                
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SAGE GROUP PLC/THE
                2138005RN5XYLTF8G138
                ORDINARY SHARES
                N/A
                
                    
                
                5482
                NS
                
                51082.05
                0.061311620704
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                DAIWA HOUSE INDUSTRY CO LTD
                N/A
                ORDINARY SHARES
                N/A
                
                    
                
                2200
                NS
                
                64436.65
                0.077340581363
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                PUBLICIS GROUPE SA
                2138004KW8BV57III342
                ORDINARY SHARES
                N/A
                
                    
                
                512
                NS
                
                34651.88
                0.041591183659
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                HENDERSON LAND DEVELOPMENT CO LTD
                529900SYQB7IVR9QGN76
                ORDINARY SHARES
                N/A
                
                    
                
                7600
                NS
                
                36624.62
                0.043958979913
                Long
                EC
                CORP
                HK
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                VOLVO AB
                549300HGV012CNC8JD22
                ORDINARY SHARES
                N/A
                
                    
                
                4638
                NS
                
                122398.76
                0.146910046635
                Long
                EC
                CORP
                SE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SEB SA
                969500WP61NBK098AC47
                ORDINARY SHARES
                N/A
                
                    
                
                131
                NS
                
                24601.18
                0.029527754212
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NOVO NORDISK A/S
                549300DAQ1CVT6CXN342
                ORDINARY SHARES
                N/A
                
                    
                
                2228
                NS
                
                176337.97
                0.211650995453
                Long
                EC
                CORP
                DK
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NOMURA HOLDINGS INC
                549300B3CEAHYG7K8164
                ORDINARY SHARES
                J59009159
                
                    
                
                19800
                NS
                
                109153.73
                0.131012598205
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                BANK LEUMI LE-ISRAEL BM
                7JDSZWRGUQY2DSTWCR57
                ORDINARY SHARES
                N/A
                
                    
                
                8528
                NS
                
                68428.73
                0.082132105877
                Long
                EC
                CORP
                IL
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                KONINKLIJKE AHOLD DELHAIZE NV
                724500C9GNBV20UYRX36
                ORDINARY SHARES
                N0139V100
                
                    
                
                2927
                NS
                
                85074.97
                0.102111882589
                Long
                EC
                CORP
                NL
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                BHP GROUP LTD
                WZE1WSENV6JSZFK0JC28
                ORDINARY SHARES
                Q1498M100
                
                    
                
                438
                NS
                
                16261.43
                0.019517905571
                Long
                EC
                CORP
                AU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NOVARTIS AG
                5493007HIVTX6SY6XD66
                ORDINARY SHARES
                H5820Q150
                
                    
                
                2531
                NS
                
                223977.32
                0.268830489185
                Long
                EC
                CORP
                CH
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                COMMONWEALTH BANK OF AUSTRALIA
                MSFSBD3QN1GSN7Q6C537
                ORDINARY SHARES
                N/A
                
                    
                
                1379
                NS
                
                106902.44
                0.128310470186
                Long
                EC
                CORP
                AU
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                RSA INSURANCE GROUP LTD
                549300HOGQ7E0TY86138
                ORDINARY SHARES
                N/A
                
                    
                
                7847
                NS
                
                76193
                0.091451230252
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                FERGUSON PLC
                213800DU1LGY3R2S2X42
                ORDINARY SHARES
                N/A
                
                    
                
                950
                NS
                
                129210.8
                0.155086249679
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                YAMATO HOLDINGS CO LTD
                N/A
                ORDINARY SHARES
                N/A
                
                    
                
                1300
                NS
                
                35626.17
                0.042760582674
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ALLIANZ SE
                529900K9B0N5BT694847
                ORDINARY SHARES
                D03080112
                
                    
                
                662
                NS
                
                175784.29
                0.210986436804
                Long
                EC
                CORP
                DE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                BT GROUP PLC
                213800LRO7NS5CYQMN21
                ORDINARY SHARES
                G16612106
                
                    
                
                14190
                NS
                
                35210.85
                0.042262091671
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                CAPGEMINI SE
                96950077L0TN7BAROX36
                ORDINARY SHARES
                N/A
                
                    
                
                497
                NS
                
                93061.51
                0.11169778823
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                CLP HOLDINGS LTD
                25490002BUTSMP94GO68
                ORDINARY SHARES
                N/A
                
                    
                
                9500
                NS
                
                97987.99
                0.117610833481
                Long
                EC
                CORP
                HK
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                FUJIFILM HOLDINGS CORP
                529900UBKMFM0ST6H474
                ORDINARY SHARES
                J14208102
                
                    
                
                200
                NS
                
                13824.37
                0.01659280569
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                RIO TINTO PLC
                213800YOEO5OQ72G2R82
                ORDINARY SHARES
                G75754104
                
                    
                
                1910
                NS
                
                164369.39
                0.197285615886
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SHIN-ETSU CHEMICAL CO LTD
                353800PX8Q64N86H5W41
                ORDINARY SHARES
                N/A
                
                    
                
                400
                NS
                
                69759.18
                0.083728988652
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SONY GROUP CORP
                529900R5WX9N2OI2N910
                ORDINARY SHARES
                N/A
                
                    
                
                1600
                NS
                
                159803.34
                0.191805179496
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                SUN HUNG KAI PROPERTIES LTD
                529900LUMD393RD3S874
                ORDINARY SHARES
                N/A
                
                    
                
                3000
                NS
                
                46850.24
                0.056232358426
                Long
                EC
                CORP
                HK
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                TOKYO ELECTRON LIMITED
                549300H5LSF8DP3RIJ34
                ORDINARY SHARES
                J86957115
                
                    
                
                200
                NS
                
                87931.9
                0.105540934644
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ITOCHU CORP
                J48DJYXDTLHM30UMYI18
                ORDINARY SHARES
                N/A
                
                    
                
                4100
                NS
                
                124155.32
                0.149018371193
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NIPPON TELEGRAPH  AND  TELEPHONE CORP
                353800VHQU5VIXVUA841
                ORDINARY SHARES
                J59396101
                
                    
                
                2400
                NS
                
                64897.35
                0.077893540057
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                E.ON SE
                Q9MAIUP40P25UFBFG033
                ORDINARY SHARES
                N/A
                
                    
                
                2076
                NS
                
                25265.14
                0.030324677273
                Long
                EC
                CORP
                DE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NITTO DENKO CORP
                3538009GX5P09USH2J25
                ORDINARY SHARES
                J58472119
                
                    
                
                1000
                NS
                
                79300.77
                0.095181354933
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                ASML HOLDING NV
                724500Y6DUVHQD6OXN27
                ORDINARY SHARES
                N/A
                
                    
                
                97
                NS
                
                65329.7
                0.078412471447
                Long
                EC
                CORP
                NL
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                STORA ENSO OYJ
                7437000ZP669LKUTZ738
                ORDINARY SHARES
                N/A
                
                    
                
                351
                NS
                
                6255.62
                0.007508355689
                Long
                EC
                CORP
                FI
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                HOYA CORP
                353800X4VR3BHEUCJB42
                ORDINARY SHARES
                N/A
                
                    
                
                1000
                NS
                
                132061.73
                0.158508100189
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                UNITED OVERSEAS BANK LTD
                IO66REGK3RCBAMA8HR66
                ORDINARY SHARES
                N/A
                
                    
                
                3100
                NS
                
                61601.51
                0.073937682922
                Long
                EC
                CORP
                SG
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                CIE GENERALE DES ETABLISSEMENTS MICHELIN SCA
                549300SOSI58J6VIW052
                ORDINARY SHARES
                N/A
                
                    
                
                234
                NS
                
                35840.12
                0.043017377795
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                EIFFAGE SA
                969500OQXKE5WDM9M994
                ORDINARY SHARES
                N/A
                
                    
                
                465
                NS
                
                51362.86
                0.061648665051
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                MERCK KGAA
                529900OAREIS0MOPTW25
                ORDINARY SHARES
                N/A
                
                    
                
                617
                NS
                
                111054.31
                0.133293783868
                Long
                EC
                CORP
                DE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                BP PLC
                213800LH1BZH3DI6G760
                ORDINARY SHARES
                N/A
                
                    
                
                23990
                NS
                
                104230.05
                0.125102913676
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                3I GROUP PLC
                35GDVHRBMFE7NWATNM84
                ORDINARY SHARES
                G88473114
                
                    
                
                3937
                NS
                
                69448.83
                0.083356488694
                Long
                EC
                CORP
                GB
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                BHP GROUP PLC
                549300C116EOWV835768
                ORDINARY SHARES
                N/A
                
                    
                
                2233
                NS
                
                67277.08
                0.080749829167
                Long
                EC
                CORP
                AU
                
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                CRH PLC
                549300MIDJNNTH068E74
                ORDINARY SHARES
                N/A
                
                    
                
                1618
                NS
                
                84743.34
                0.101713841149
                Long
                EC
                CORP
                IE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                DAIKIN INDUSTRIES LTD
                549300Y7FWSTSHMW5Y57
                ORDINARY SHARES
                N/A
                
                    
                
                400
                NS
                
                80429.74
                0.096536409799
                Long
                EC
                CORP
                JP
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                TOTAL S.A.
                529900S21EQ1BO4ESM68
                ORDINARY SHARES
                N/A
                
                    
                
                623
                NS
                
                28979.42
                0.034782770215
                Long
                EC
                CORP
                FR
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                NESTLE SA
                KY37LUS27QQX7BB93L28
                ORDINARY SHARES
                H57312466
                
                    
                
                1584
                NS
                
                195679.91
                0.234866306682
                Long
                EC
                CORP
                CH
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                FIFTH THIRD BANCORP
                THRNG6BD57P9QWTQLG42
                PERPETUAL BONDS
                316773CM0
                
                    
                
                12000
                PA
                USD
                12240
                0.014691153495
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2023-06-30
                    Variable
                    5.1
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WELLS FARGO  AND  CO
                PBLD0EJDB5FWOLXP3B76
                PERPETUAL BONDS
                949746RN3
                
                    
                
                22000
                PA
                USD
                24447.5
                0.029343298618
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2025-06-15
                    Variable
                    5.875
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BANK OF AMERICA CORP
                9DJT3UXIJIZJI4WXO774
                PERPETUAL BONDS
                060505EN0
                
                    
                
                49000
                PA
                USD
                55063.75
                0.066090686543
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2049-12-29
                    Variable
                    6.1
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                ENERGY TRANSFER LP
                MTLVN9N7JE8MIBIJ1H73
                PERPETUAL BONDS
                29273VAJ9
                
                    
                
                36000
                PA
                USD
                34830
                0.04180497355
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-02-15
                    Variable
                    6.625
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMORGAN CHASE  AND  CO
                8I5DZWZKVSZI1NUHU748
                PERPETUAL BONDS
                48126HAC4
                
                    
                
                5000
                PA
                USD
                5425
                0.006511397689
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2024-10-01
                    Variable
                    6.1
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                TRUIST FINANCIAL CORP
                549300DRQQI75D2JP341
                PERPETUAL BONDS
                89832QAD1
                
                    
                
                20000
                PA
                USD
                21275
                0.025535481259
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2024-09-01
                    Variable
                    4.8
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMORGAN CHASE  AND  CO
                8I5DZWZKVSZI1NUHU748
                PERPETUAL BONDS
                48128BAN1
                
                    
                
                5000
                PA
                USD
                4967.5
                0.005962279819
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2026-06-01
                    Variable
                    3.65
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMORGAN CHASE  AND  CO
                8I5DZWZKVSZI1NUHU748
                PERPETUAL BONDS
                48128BAG6
                
                    
                
                25000
                PA
                USD
                25500
                0.030606569782
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2025-02-01
                    Variable
                    4.6
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                WELLS FARGO  AND  CO
                PBLD0EJDB5FWOLXP3B76
                PERPETUAL BONDS
                949746TD3
                
                    
                
                15000
                PA
                USD
                15375.75
                0.018454861385
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2026-03-15
                    Variable
                    3.9
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP INC
                6SHGI4ZSSLCXXQSBB395
                PERPETUAL BONDS
                172967MV0
                
                    
                
                35000
                PA
                USD
                35245
                0.04230308047
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2051-02-18
                    Variable
                    3.875
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                VOLKSWAGEN AG
                529900NNUPAGGOMPXZ31
                PREFERRED
                N/A
                
                    
                
                114
                NS
                
                31438.76
                0.037734611836
                Long
                EP
                CORP
                DE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                PORSCHE AUTOMOBIL HOLDING SE
                52990053Z17ZYM1KFV27
                PREFERRED
                N/A
                
                    
                
                742
                NS
                
                82665.42
                0.099219801796
                Long
                EP
                CORP
                DE
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                State Street Institutional U.S. Government Money Market Fund, Premier Class
                N/A
                SHORT TERM INV FUND
                N/A
                
                    
                
                841000
                NS
                USD
                841000
                1.009416673994
                Long
                STIV
                RF
                US
                N
                
                1
                
                    N
                    N
                    N
                
            
            
                PUTNAM SHORT TERM INVESTMENT FUND
                5493003MK0Q7JP8CPP42
                SHORT TERM INV FUND
                74676P664
                
                    
                
                19944551.23
                NS
                USD
                19944551.23
                23.938599960637
                Long
                STIV
                PF
                US
                N
                
                2
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC
                G5GSEF7VJP5I7OUK5573
                Total Return Swap
                99AK419I3
                
                    
                
                710970.5
                NC
                USD
                117199.04
                0.140669042987
                N/A
                DIR
                CORP
                US
                
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC
                            G5GSEF7VJP5I7OUK5573
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2041-01-12
                        0
                        USD
                        0
                        USD
                        118198.85
                        USD
                        494.69
                    
                
                
                    N
                    N
                    N
                
            
            
                BANK OF AMERICA N.A.
                B4TYDEB6GKMZO031MB27
                Total Return Swap
                N/A
                
                    
                
                331
                NC
                USD
                4651483.42
                5.582978505299
                N/A
                DE
                CORP
                US
                N
                
                2
                
                    
                        
                            BANK OF AMERICA N.A.
                            B4TYDEB6GKMZO031MB27
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2023-06-20
                        0
                        USD
                        0
                        USD
                        4573566.68
                        USD
                        -77698.89
                    
                
                
                    N
                    N
                    N
                
            
            
                J.P. MORGAN SECURITIES
                ZBUT11V806EZRVTWT807
                Total Return Swap
                99FK749E8
                
                    
                
                710970.5
                NC
                USD
                117199.04
                0.140669042987
                N/A
                DIR
                CORP
                US
                N
                
                2
                
                    
                        
                            J.P. MORGAN SECURITIES
                            ZBUT11V806EZRVTWT807
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2041-01-12
                        0
                        USD
                        0
                        USD
                        118198.85
                        USD
                        -494.69
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Total Return Swap
                N/A
                
                    
                
                14785
                NC
                USD
                1712677.55
                2.055654311707
                N/A
                DE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        
                            
GSGLPHCL
GSGLPHCL
A BASKET -GSGLPHCL OF COMMON STOCK

    
        ABBVIE INC
        
            
        
        396.672125
        44903.28
        USD
    
    
        AGILENT TECHNOLOGIES INC
        
            
        
        551.623763
        76195.79
        USD
    
    
        ALEXION PHARMACEUTICALS INC
        
            
        
        340.634263
        60138.98
        USD
    
    
        AMGEN INC
        
            
        
        109.787426
        26122.82
        USD
    
    
        ASTELLAS PHARMA INC
        
            
        
        614.797723
        9841.79
        JPY
    
    
        ASTRAZENECA PLC
        
            
        
        285.350692
        32552.87
        GBP
    
    
        BAYER AG-REG
        
            
        
        598.542336
        38088.93
        EUR
    
    
        BIOGEN INC
        
            
        
        120.771254
        32303.9
        USD
    
    
        BRISTOL-MYERS SQUIBB CO
        
            
        
        516.79079
        33963.49
        USD
    
    
        CSL LTD
        
            
        
        138.857279
        30950.88
        AUD
    
    
        DAIICHI SANKYO CO LTD
        
            
        
        127.661572
        2939.21
        JPY
    
    
        EISAI CO LTD
        
            
        
        211.803117
        14242.18
        JPY
    
    
        ELI LILLY & CO
        
            
        
        106.736363
        21319.52
        USD
    
    
        EUROFINS SCIENTIFIC
        
            
        
        66.106371
        7076.75
        EUR
    
    
        GALAPAGOS NV
        
            
        
        169.05433
        12932.63
        EUR
    
    
        GILEAD SCIENCES INC
        
            
        
        380.331986
        25143.75
        USD
    
    
        GLAXOSMITHKLINE PLC
        
            
        
        2348.51357
        44759.71
        GBP
    
    
        GRIFOLS SA
        
            
        
        241.822189
        6731.05
        EUR
    
    
        H LUNDBECK A/S
        
            
        
        325.955259
        10414.27
        DKK
    
    
        HIKMA PHARMACEUTICALS PLC
        
            
        
        383.535602
        13290.37
        JOD
    
    
        HISAMITSU PHARMACEUTICAL CO
        
            
        
        369.687165
        20539.11
        JPY
    
    
        ILLUMINA INC
        
            
        
        134.195932
        54435.24
        USD
    
    
        INCYTE CORP
        
            
        
        88.862218
        7444.88
        USD
    
    
        IPSEN
        
            
        
        589.6095
        61523.82
        EUR
    
    
        IQVIA HOLDINGS INC
        
            
        
        351.346885
        84379.47
        USD
    
    
        JOHNSON & JOHNSON
        
            
        
        295.046293
        49936.59
        USD
    
    
        MERCK & CO. INC.
        
            
        
        638.596016
        48463.05
        USD
    
    
        MERCK KGAA
        
            
        
        423.733361
        76186.81
        EUR
    
    
        METTLER-TOLEDO INTERNATIONAL
        
            
        
        61.71623
        80289.73
        USD
    
    
        NOVARTIS AG-REG
        
            
        
        46.825346
        4141.21
        CHF
    
    
        ORION OYJ-CLASS B
        
            
        
        38.070489
        1680.19
        EUR
    
    
        PERKINELMER INC
        
            
        
        496.458844
        72021.28
        USD
    
    
        PERRIGO CO PLC
        
            
        
        870.129342
        40147.77
        EUR
    
    
        PFIZER INC
        
            
        
        1502.860536
        58205.79
        USD
    
    
        RECORDATI INDUSTRIA CHIMICA
        
            
        
        36.765312
        2050.74
        EUR
    
    
        REGENERON PHARMACEUTICALS
        
            
        
        8.466701
        4253.92
        USD
    
    
        SANOFI
        
            
        
        423.835063
        45413.28
        EUR
    
    
        SARTORIUS STEDIM BIOTECH
        
            
        
        80.081935
        34708.93
        EUR
    
    
        SHIONOGI & CO LTD
        
            
        
        251.941549
        12877.14
        JPY
    
    
        SUMITOMO DAINIPPON PHARMA CO
        
            
        
        2277.652626
        43865.14
        JPY
    
    
        TAISHO PHARMACEUTICAL HOLDIN
        
            
        
        545.767416
        31215.07
        JPY
    
    
        TAKEDA PHARMACEUTICAL CO LTD
        
            
        
        525.282917
        17978.31
        JPY
    
    
        TEVA PHARMACEUTICAL-SP ADR
        
            
        
        2680.655707
        27878.82
        ILS
    
    
        THERMO FISHER SCIENTIFIC INC
        
            
        
        138.018237
        64799.56
        USD
    
    
        UCB SA
        
            
        
        83.124524
        7809.03
        EUR
    
    
        VERTEX PHARMACEUTICALS INC
        
            
        
        6.50046
        1356.19
        USD
    
    
        VIATRIS INC
        
            
        
        2827.448367
        43090.31
        USD
    
    
        VIFOR PHARMA AG
        
            
        
        155.078765
        22648.86
        CHF
    
    
        WATERS CORP
        
            
        
        265.391653
        85522.46
        USD
    
    
        ZOETIS INC
        
            
        
        356.593019
        63002.85
        USD
    

                            
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2025-12-15
                        0
                        USD
                        0
                        USD
                        1697170.15
                        USD
                        16511.61
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                Total Return Swap
                99KV239N5
                
                    
                
                2098
                NC
                USD
                18333943.78
                22.005456066119
                N/A
                DE
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2022-01-13
                        0
                        USD
                        0
                        USD
                        17919827.83
                        USD
                        410749.41
                    
                
                
                    N
                    N
                    N
                
            
            
                GOLDMAN SACHS INTERNATIONAL
                W22LROWP2IHZNBB6K528
                Total Return Swap
                N/A
                
                    
                
                314
                NC
                USD
                2743979.05
                3.293481814698
                N/A
                DE
                CORP
                US
                N
                
                2
                
                    
                        
                            GOLDMAN SACHS INTERNATIONAL
                            W22LROWP2IHZNBB6K528
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2022-01-11
                        0
                        USD
                        0
                        USD
                        2706987.41
                        USD
                        36268.72
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                Total Return Swap
                N/A
                
                    
                
                72
                NC
                USD
                840330.81
                1.008613473585
                N/A
                DE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2022-02-05
                        0
                        USD
                        0
                        USD
                        829367.28
                        USD
                        10701.11
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                Total Return Swap
                N/A
                
                    
                
                174
                NC
                USD
                1328824.08
                1.594931252268
                N/A
                DE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2022-02-05
                        0
                        USD
                        0
                        USD
                        1290313.01
                        USD
                        38192.41
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                Total Return Swap
                N/A
                
                    
                
                1012
                NC
                USD
                8843637.37
                10.614643305633
                N/A
                DE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2022-02-05
                        0
                        USD
                        0
                        USD
                        8753838.46
                        USD
                        -88244.92
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                Total Return Swap
                N/A
                
                    
                
                77
                NC
                USD
                1236288.9
                1.483865195641
                N/A
                DE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2022-02-05
                        0
                        USD
                        0
                        USD
                        1218625.1
                        USD
                        17278.22
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                Total Return Swap
                N/A
                
                    
                
                1484
                NC
                USD
                3252471.82
                3.903804146022
                N/A
                DE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2022-02-05
                        0
                        USD
                        0
                        USD
                        3213364.56
                        USD
                        38090.52
                    
                
                
                    N
                    N
                    N
                
            
            
                JP MORGANCHASE BANK
                7H6GLXDRUGQFU57RNE97
                Total Return Swap
                N/A
                
                    
                
                3016
                NC
                USD
                1995958.64
                2.395664603828
                N/A
                DE
                CORP
                US
                N
                
                2
                
                    
                        
                            JP MORGANCHASE BANK
                            7H6GLXDRUGQFU57RNE97
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2022-02-05
                        0
                        USD
                        0
                        USD
                        1952292.99
                        USD
                        42912.35
                    
                
                
                    N
                    N
                    N
                
            
            
                CITIBANK N.A.
                E57ODZWZ7FF32TWEFA76
                Total Return Swap
                99MB659M0
                
                    
                
                64
                NC
                USD
                559281.41
                0.671281784434
                N/A
                DE
                CORP
                US
                N
                
                2
                
                    
                        
                            CITIBANK N.A.
                            E57ODZWZ7FF32TWEFA76
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2022-07-05
                        0
                        USD
                        0
                        USD
                        553602.43
                        USD
                        5492.28
                    
                
                
                    N
                    N
                    N
                
            
            
                BANK OF AMERICA N.A.
                B4TYDEB6GKMZO031MB27
                Total Return Swap
                N/A
                
                    
                
                15970
                NC
                USD
                4680765.48
                5.618124521485
                N/A
                DE
                CORP
                US
                N
                
                2
                
                    
                        
                            BANK OF AMERICA N.A.
                            B4TYDEB6GKMZO031MB27
                        
                        
                            
MLFCF15
MLFCF15
A BASKET -MLFCF15 OF COMMON STOCK

    
        10X GENOMICS INC-CLASS A
        
            
        
        105.114075
        18920.53
        USD
    
    
        ABBOTT LABORATORIES
        
            
        
        338.688557
        39508.02
        USD
    
    
        ABBVIE INC
        
            
        
        174.689847
        19774.89
        USD
    
    
        ABIOMED INC
        
            
        
        44.3395
        12618.13
        USD
    
    
        ACCENTURE PLC-CL A
        
            
        
        260.552464
        73517.48
        EUR
    
    
        ACTIVISION BLIZZARD INC
        
            
        
        350.695241
        34105.11
        USD
    
    
        ADOBE INC
        
            
        
        158.773579
        80113.97
        USD
    
    
        ADVANCED MICRO DEVICES
        
            
        
        45.877393
        3673.86
        USD
    
    
        AES CORP
        
            
        
        89.735143
        2280.17
        USD
    
    
        AFLAC INC
        
            
        
        459.163036
        26025.36
        USD
    
    
        AGCO CORP
        
            
        
        85.17705
        11785.95
        USD
    
    
        ALEXION PHARMACEUTICALS INC
        
            
        
        14.118972
        2492.7
        USD
    
    
        ALIGN TECHNOLOGY INC
        
            
        
        78.284324
        46199.49
        USD
    
    
        ALKERMES PLC
        
            
        
        180.433786
        4090.43
        EUR
    
    
        ALLEGION PLC
        
            
        
        103.668826
        14563.4
        EUR
    
    
        ALLIANCE DATA SYSTEMS CORP
        
            
        
        134.093172
        16231.98
        USD
    
    
        ALLISON TRANSMISSION HOLDING
        
            
        
        138.0954
        5842.82
        USD
    
    
        ALLSTATE CORP
        
            
        
        113.915272
        15561.97
        USD
    
    
        ALLY FINANCIAL INC
        
            
        
        499.500307
        27327.66
        USD
    
    
        ALPHABET INC-CL A
        
            
        
        100.222463
        236209.31
        USD
    
    
        ALTICE USA INC- A
        
            
        
        168.352986
        6070.81
        USD
    
    
        ALTRIA GROUP INC
        
            
        
        727.293793
        35797.4
        USD
    
    
        AMAZON.COM INC
        
            
        
        61.997479
        199822.21
        USD
    
    
        AMDOCS LTD
        
            
        
        96.664927
        7549.53
        USD
    
    
        AMERICAN ELECTRIC POWER
        
            
        
        255.53115
        21975.68
        USD
    
    
        AMERICAN FINANCIAL GROUP INC
        
            
        
        18.065613
        2403.81
        USD
    
    
        AMERIPRISE FINANCIAL INC
        
            
        
        106.837257
        27760.59
        USD
    
    
        AMERISOURCEBERGEN CORP
        
            
        
        117.936029
        13531.98
        USD
    
    
        AMETEK INC
        
            
        
        105.8367
        14298.54
        USD
    
    
        APA CORP
        
            
        
        194.645401
        4048.62
        USD
    
    
        APPLE INC
        
            
        
        2124.849627
        264777.51
        USD
    
    
        APPLIED MATERIALS INC
        
            
        
        101.315664
        13994.73
        USD
    
    
        ARROW ELECTRONICS INC
        
            
        
        39.89258
        4800.27
        USD
    
    
        AT&T INC
        
            
        
        221.790143
        6527.28
        USD
    
    
        AUTODESK INC
        
            
        
        157.272743
        44957.99
        USD
    
    
        AVALONBAY COMMUNITIES INC
        
            
        
        42.857193
        8868.87
        USD
    
    
        AXALTA COATING SYSTEMS LTD
        
            
        
        303.817291
        9855.83
        USD
    
    
        BERKSHIRE HATHAWAY INC-CL B
        
            
        
        25.940368
        7508.18
        USD
    
    
        BEST BUY CO INC
        
            
        
        267.1302
        31051.21
        USD
    
    
        BIOGEN INC
        
            
        
        125.718139
        33627.09
        USD
    
    
        BOOZ ALLEN HAMILTON HOLDINGS
        
            
        
        194.534228
        16521.79
        USD
    
    
        BOSTON PROPERTIES INC
        
            
        
        46.377672
        5452.16
        USD
    
    
        BRISTOL-MYERS SQUIBB CO
        
            
        
        1335.947461
        87798.47
        USD
    
    
        BRUNSWICK CORP
        
            
        
        103.316778
        10562.07
        USD
    
    
        CABOT CORP
        
            
        
        42.616318
        2709.55
        USD
    
    
        CADENCE DESIGN SYS INC
        
            
        
        200.593157
        25473.33
        USD
    
    
        CAMPBELL SOUP CO
        
            
        
        48.397314
        2355.5
        USD
    
    
        CAPITAL ONE FINANCIAL CORP
        
            
        
        32.240171
        5183.57
        USD
    
    
        CARDINAL HEALTH INC
        
            
        
        262.108886
        14696.45
        USD
    
    
        CBRE GROUP INC - A
        
            
        
        198.073236
        17386.87
        USD
    
    
        CELANESE CORP
        
            
        
        33.778064
        5588.58
        USD
    
    
        CHEMOURS CO/THE
        
            
        
        133.055557
        4780.69
        USD
    
    
        CHEVRON CORP
        
            
        
        207.671172
        21554.19
        USD
    
    
        CIMAREX ENERGY CO
        
            
        
        113.915272
        7717.76
        USD
    
    
        CISCO SYSTEMS INC
        
            
        
        1277.174
        67562.5
        USD
    
    
        CITIGROUP INC
        
            
        
        1124.626109
        88519.32
        USD
    
    
        COCA-COLA CO/THE
        
            
        
        550.899293
        30459.22
        USD
    
    
        COGNIZANT TECH SOLUTIONS-A
        
            
        
        255.53115
        18285.81
        USD
    
    
        COLGATE-PALMOLIVE CO
        
            
        
        88.956932
        7452.81
        USD
    
    
        COMCAST CORP-CLASS A
        
            
        
        793.830836
        45518.26
        USD
    
    
        CONSTELLATION BRANDS INC-A
        
            
        
        22.419889
        5374.5
        USD
    
    
        COSTCO WHOLESALE CORP
        
            
        
        53.418628
        20206.66
        USD
    
    
        CROWN HOLDINGS INC
        
            
        
        73.077721
        7544.54
        USD
    
    
        CSX CORP
        
            
        
        44.858307
        4491.21
        USD
    
    
        CUMMINS INC
        
            
        
        126.514879
        32549.75
        USD
    
    
        DARDEN RESTAURANTS INC
        
            
        
        30.220528
        4328.49
        USD
    
    
        DEERE & CO
        
            
        
        77.117007
        27846.95
        USD
    
    
        DEVON ENERGY CORP
        
            
        
        224.773285
        5969.98
        USD
    
    
        DISCOVER FINANCIAL SERVICES
        
            
        
        48.323199
        5666.38
        USD
    
    
        DISCOVERY INC - A
        
            
        
        63.09068
        2025.84
        USD
    
    
        DOCUSIGN INC
        
            
        
        12.618136
        2544.07
        USD
    
    
        DOVER CORP
        
            
        
        32.758979
        4930.23
        USD
    
    
        DOW INC
        
            
        
        70.5578
        4827.56
        USD
    
    
        DUKE REALTY CORP
        
            
        
        109.357178
        5080.73
        USD
    
    
        DUPONT DE NEMOURS INC
        
            
        
        606.837843
        51332.41
        USD
    
    
        DXC TECHNOLOGY CO
        
            
        
        232.851857
        8829.74
        USD
    
    
        EASTMAN CHEMICAL CO
        
            
        
        113.396464
        14219.92
        USD
    
    
        EBAY INC
        
            
        
        299.759477
        18249.36
        USD
    
    
        EDWARDS LIFESCIENCES CORP
        
            
        
        381.026943
        36540.48
        USD
    
    
        ELI LILLY & CO
        
            
        
        251.436278
        50221.88
        USD
    
    
        ENTERGY CORP
        
            
        
        92.218007
        9706.87
        USD
    
    
        EQUINIX INC
        
            
        
        27.237386
        20066.33
        USD
    
    
        EQUITABLE HOLDINGS INC
        
            
        
        387.011756
        12287.62
        USD
    
    
        EQUITY LIFESTYLE PROPERTIES
        
            
        
        67.05585
        4751.58
        USD
    
    
        EXELON CORP
        
            
        
        547.842035
        24718.63
        USD
    
    
        FACEBOOK INC-CLASS A
        
            
        
        77.117007
        25350.67
        USD
    
    
        FEDEX CORP
        
            
        
        7.46712
        2350.72
        USD
    
    
        FIDELITY NATIONAL FINANCIAL
        
            
        
        101.797414
        4783.46
        USD
    
    
        FIDELITY NATIONAL INFO SERV
        
            
        
        29.72025
        4427.72
        USD
    
    
        FIRST INDUSTRIAL REALTY TR
        
            
        
        143.413175
        7262.44
        USD
    
    
        FLEETCOR TECHNOLOGIES INC
        
            
        
        15.601278
        4281.61
        USD
    
    
        FMC CORP
        
            
        
        21.178457
        2471.31
        USD
    
    
        FORD MOTOR CO
        
            
        
        5886.925557
        85537.03
        USD
    
    
        FORTINET INC
        
            
        
        180.952593
        39545.38
        USD
    
    
        GAMING AND LEISURE PROPERTIE
        
            
        
        181.990208
        8437.07
        USD
    
    
        GARMIN LTD
        
            
        
        53.752147
        7645.71
        CHF
    
    
        GARTNER INC
        
            
        
        73.09625
        16946.63
        USD
    
    
        GENTEX CORP
        
            
        
        200.593157
        7121.06
        USD
    
    
        GODADDY INC - CLASS A
        
            
        
        231.962473
        18779.68
        USD
    
    
        GOLDMAN SACHS GROUP INC
        
            
        
        143.153772
        53256.07
        USD
    
    
        HALLIBURTON CO
        
            
        
        1445.008178
        32440.43
        USD
    
    
        HCA HEALTHCARE INC
        
            
        
        23.698379
        5090.17
        USD
    
    
        HILTON WORLDWIDE HOLDINGS IN
        
            
        
        176.413029
        22099.26
        USD
    
    
        HONEYWELL INTERNATIONAL INC
        
            
        
        223.27245
        51555.84
        USD
    
    
        HUMANA INC
        
            
        
        65.017679
        28458.24
        USD
    
    
        INTL BUSINESS MACHINES CORP
        
            
        
        31.758422
        4564.96
        USD
    
    
        INTUIT INC
        
            
        
        184.97335
        81219.95
        USD
    
    
        INVITATION HOMES INC
        
            
        
        137.595121
        4990.58
        USD
    
    
        JAZZ PHARMACEUTICALS PLC
        
            
        
        13.118414
        2336.78
        EUR
    
    
        JEFFERIES FINANCIAL GROUP IN
        
            
        
        309.968864
        9959.3
        USD
    
    
        JOHNSON & JOHNSON
        
            
        
        175.171597
        29647.79
        USD
    
    
        JOHNSON CONTROLS INTERNATION
        
            
        
        378.52555
        25187.09
        USD
    
    
        JONES LANG LASALLE INC
        
            
        
        28.219414
        5707.38
        USD
    
    
        JPMORGAN CHASE & CO
        
            
        
        779.30423
        127992.93
        USD
    
    
        KINDER MORGAN INC
        
            
        
        826.089536
        15150.48
        USD
    
    
        LABORATORY CRP OF AMER HLDGS
        
            
        
        56.957636
        15633.73
        USD
    
    
        LAMAR ADVERTISING CO-A
        
            
        
        70.5578
        7395.87
        USD
    
    
        LEIDOS HOLDINGS INC
        
            
        
        130.535636
        13412.54
        USD
    
    
        LINCOLN NATIONAL CORP
        
            
        
        54.771233
        3822.48
        USD
    
    
        LOCKHEED MARTIN CORP
        
            
        
        174.411915
        66660.23
        USD
    
    
        LOWE'S COS INC
        
            
        
        123.994957
        24157.94
        USD
    
    
        MANHATTAN ASSOCIATES INC
        
            
        
        49.212583
        6691.93
        USD
    
    
        MANPOWERGROUP INC
        
            
        
        61.997479
        7501.07
        USD
    
    
        MARRIOTT INTERNATIONAL -CL A
        
            
        
        260.77481
        37442.05
        USD
    
    
        MCDONALD'S CORP
        
            
        
        179.4147
        41963.3
        USD
    
    
        MCKESSON CORP
        
            
        
        128.515993
        24725.19
        USD
    
    
        MEDICAL PROPERTIES TRUST INC
        
            
        
        370.446978
        7842.36
        USD
    
    
        MEDTRONIC PLC
        
            
        
        234.352693
        29666.71
        EUR
    
    
        MERCK & CO. INC.
        
            
        
        463.7026
        35190.39
        USD
    
    
        METLIFE INC
        
            
        
        829.591485
        54222.1
        USD
    
    
        MGIC INVESTMENT CORP
        
            
        
        210.506083
        3098.65
        USD
    
    
        MICROSOFT CORP
        
            
        
        597.425195
        149165.12
        USD
    
    
        MONDELEZ INTERNATIONAL INC-A
        
            
        
        370.965786
        23567.46
        USD
    
    
        MORGAN STANLEY
        
            
        
        474.264035
        43134.31
        USD
    
    
        NORDSON CORP
        
            
        
        30.239057
        6703.7
        USD
    
    
        NORFOLK SOUTHERN CORP
        
            
        
        17.139171
        4814.39
        USD
    
    
        NRG ENERGY INC
        
            
        
        376.487378
        12104.07
        USD
    
    
        NVIDIA CORP
        
            
        
        190.569058
        123827.96
        USD
    
    
        O'REILLY AUTOMOTIVE INC
        
            
        
        47.285584
        25303.46
        USD
    
    
        OLD DOMINION FREIGHT LINE
        
            
        
        113.915272
        30238.81
        USD
    
    
        OSHKOSH CORP
        
            
        
        56.364713
        7408.58
        USD
    
    
        PALO ALTO NETWORKS INC
        
            
        
        12.618136
        4583.54
        USD
    
    
        PAYPAL HOLDINGS INC
        
            
        
        101.297136
        26339.28
        USD
    
    
        PEPSICO INC
        
            
        
        313.507872
        46380.35
        USD
    
    
        PINTEREST INC- CLASS A
        
            
        
        752.493007
        49137.79
        USD
    
    
        POLARIS INC
        
            
        
        105.8367
        13887.89
        USD
    
    
        PRINCIPAL FINANCIAL GROUP
        
            
        
        186.974464
        12226.26
        USD
    
    
        PROCTER & GAMBLE CO/THE
        
            
        
        594.719985
        80197.99
        USD
    
    
        PUBLIC SERVICE ENTERPRISE GP
        
            
        
        226.29265
        14057.3
        USD
    
    
        PULTEGROUP INC
        
            
        
        100.296579
        5796.14
        USD
    
    
        QUALCOMM INC
        
            
        
        669.113254
        90022.5
        USD
    
    
        RELIANCE STEEL & ALUMINUM
        
            
        
        40.83755
        6863.57
        USD
    
    
        REPUBLIC SERVICES INC
        
            
        
        86.196136
        9410.89
        USD
    
    
        ROKU INC
        
            
        
        116.453722
        40375.67
        USD
    
    
        RYDER SYSTEM INC
        
            
        
        69.056964
        5648.17
        USD
    
    
        SCHLUMBERGER LTD
        
            
        
        754.19766
        23629.01
        USD
    
    
        SEI INVESTMENTS COMPANY
        
            
        
        66.537043
        4221.11
        USD
    
    
        SERVICENOW INC
        
            
        
        8.560321
        4056.57
        USD
    
    
        SHERWIN-WILLIAMS CO/THE
        
            
        
        18.139729
        5143.16
        USD
    
    
        SIMON PROPERTY GROUP INC
        
            
        
        18.195315
        2337.92
        USD
    
    
        SLM CORP
        
            
        
        534.2604
        10818.77
        USD
    
    
        SOUTHERN CO/THE
        
            
        
        545.340643
        34858.17
        USD
    
    
        SPECTRUM BRANDS HOLDINGS INC
        
            
        
        24.30983
        2160.9
        USD
    
    
        SYNCHRONY FINANCIAL
        
            
        
        663.2952
        31446.83
        USD
    
    
        SYNOPSYS INC
        
            
        
        70.038993
        17813.72
        USD
    
    
        SYSCO CORP
        
            
        
        67.05585
        5431.52
        USD
    
    
        TAKE-TWO INTERACTIVE SOFTWRE
        
            
        
        13.655751
        2533.96
        USD
    
    
        TARGA RESOURCES CORP
        
            
        
        241.412178
        9381.28
        USD
    
    
        TARGET CORP
        
            
        
        148.193614
        33628.09
        USD
    
    
        TEMPUR SEALY INTERNATIONAL I
        
            
        
        238.410507
        9178.8
        USD
    
    
        TORO CO
        
            
        
        21.178457
        2352.71
        USD
    
    
        TRANSUNION
        
            
        
        25.699493
        2749.85
        USD
    
    
        UBER TECHNOLOGIES INC
        
            
        
        78.617843
        3996.14
        USD
    
    
        UNION PACIFIC CORP
        
            
        
        72.558914
        16306.16
        USD
    
    
        UNITED PARCEL SERVICE-CL B
        
            
        
        46.859421
        10056.03
        USD
    
    
        UNUM GROUP
        
            
        
        225.792371
        6992.79
        USD
    
    
        VEEVA SYSTEMS INC-CLASS A
        
            
        
        73.578
        21436.21
        USD
    
    
        VERIZON COMMUNICATIONS INC
        
            
        
        1346.286551
        76051.73
        USD
    
    
        VERTEX PHARMACEUTICALS INC
        
            
        
        67.5376
        14090.37
        USD
    
    
        WALMART INC
        
            
        
        77.135536
        10955.56
        USD
    
    
        WASTE MANAGEMENT INC
        
            
        
        131.054443
        18436.74
        USD
    
    
        WEYERHAEUSER CO
        
            
        
        563.4989
        21390.42
        USD
    
    
        WILLIAMS COS INC
        
            
        
        191.532557
        5044.97
        USD
    
    
        YUM! BRANDS INC
        
            
        
        36.779736
        4412.46
        USD
    
    
        ZIMMER BIOMET HOLDINGS INC
        
            
        
        27.756193
        4672.2
        USD
    

                            
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2023-06-20
                        0
                        USD
                        0
                        USD
                        4575567.89
                        USD
                        109016.37
                    
                
                
                    N
                    N
                    N
                
            
            
                BARCLAYS BANK PLC
                G5GSEF7VJP5I7OUK5573
                Total Return Swap
                99DZ059T8
                
                    
                
                25976.78
                NC
                USD
                4148.17
                0.004978872728
                N/A
                DIR
                CORP
                US
                
                N
                
                2
                
                    
                        
                            BARCLAYS BANK PLC
                            G5GSEF7VJP5I7OUK5573
                        
                        Y
                        
                            

                            
                        
                        
                            

                            
                        
                        2043-01-12
                        0
                        USD
                        0
                        USD
                        4156.28
                        USD
                        39.64
                    
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                9127964B2
                
                    
                
                2000000
                PA
                USD
                1999945
                2.400449262868
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-08-12
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796G52
                
                    
                
                1000000
                PA
                USD
                999934.37
                1.200178865611
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-10-14
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                9127964L0
                
                    
                
                1000000
                PA
                USD
                999965.28
                1.200215965573
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-09-09
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                9127964V8
                
                    
                
                1000000
                PA
                USD
                999942.21
                1.20018827563
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-10-07
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796B24
                
                    
                
                1000000
                PA
                USD
                999999.99
                1.200257626516
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-06-10
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796B40
                
                    
                
                1000000
                PA
                USD
                999991.67
                1.200247640372
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-07-01
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796G86
                
                    
                
                1200000
                PA
                USD
                1199998.86
                1.440307797928
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-06-08
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796C64
                
                    
                
                1000000
                PA
                USD
                999977.43
                1.200230548703
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-08-05
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796H93
                
                    
                
                1000000
                PA
                USD
                999994.17
                1.200250641016
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-07-13
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796D48
                
                    
                
                1000000
                PA
                USD
                999978.06
                1.200231304866
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-08-19
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796J26
                
                    
                
                1000000
                PA
                USD
                999993.19
                1.200249464764
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-07-20
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796D55
                
                    
                
                1000000
                PA
                USD
                999970.15
                1.200221810828
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-08-26
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796F46
                
                    
                
                1000000
                PA
                USD
                999970.29
                1.200221978864
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-09-16
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796J34
                
                    
                
                1000000
                PA
                USD
                999980.56
                1.20023430551
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-07-27
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796D63
                
                    
                
                1000000
                PA
                USD
                999967.97
                1.200219194267
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-09-02
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796F53
                
                    
                
                1000000
                PA
                USD
                999952.5
                1.200200626281
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-09-23
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796J83
                
                    
                
                1000000
                PA
                USD
                999973.75
                1.200226131755
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-08-03
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796F61
                
                    
                
                1000000
                PA
                USD
                999941.17
                1.200187027362
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-09-30
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796J91
                
                    
                
                1000000
                PA
                USD
                999970.82
                1.200222615001
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-08-10
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T BILLS
                912796K24
                
                    
                
                1000000
                PA
                USD
                999978.61
                1.200231965008
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2021-08-17
                    Fixed
                    0
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                UNITED STATES OF AMERICA
                254900HROIFWPRGM1V77
                U.S. T. NOTE
                912828J27
                
                    
                
                117000
                PA
                USD
                124217.73
                0.149093279272
                Long
                DBT
                UST
                US
                N
                
                2
                
                    2025-02-15
                    Fixed
                    2
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                AMERICAN INTERNATIONAL GROUP INC
                ODVCVCQG2BP6VHV36M30
                VAR.RT. CORP. BONDS
                026874BS5
                
                    
                
                1000
                PA
                USD
                1465.15
                0.001758557479
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2058-05-15
                    Variable
                    8.175
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                TORONTO-DOMINION BANK/THE
                PT3QB789TSUIDF371261
                VAR.RT. CORP. BONDS
                891160MJ9
                
                    
                
                2000
                PA
                USD
                2223.53
                0.002668808867
                Long
                DBT
                CORP
                CA
                N
                
                2
                
                    2031-09-15
                    Variable
                    3.625
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                TRANSCANADA TRUST
                549300Y0MFCAXLBWUV51
                VAR.RT. CORP. BONDS
                89356BAC2
                
                    
                
                25000
                PA
                USD
                26375
                0.031656795216
                Long
                DBT
                CORP
                CA
                N
                
                2
                
                    2077-03-15
                    Variable
                    5.3
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMORGAN CHASE  AND  CO
                8I5DZWZKVSZI1NUHU748
                VAR.RT. CORP. BONDS
                46647PBP0
                
                    
                
                11000
                PA
                USD
                11402.82
                0.013686321806
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2031-05-13
                    Variable
                    2.956
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMORGAN CHASE  AND  CO
                8I5DZWZKVSZI1NUHU748
                VAR.RT. CORP. BONDS
                46647PAL0
                
                    
                
                14000
                PA
                USD
                15702.96
                0.018847597687
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2048-11-15
                    Variable
                    3.964
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                BANK OF MONTREAL
                NQQ6HPCNCCU6TUTQYE16
                VAR.RT. CORP. BONDS
                06368BGS1
                
                    
                
                4000
                PA
                USD
                4424.55
                0.005310599935
                Long
                DBT
                CORP
                CA
                N
                
                2
                
                    2032-12-15
                    Variable
                    3.803
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                JPMORGAN CHASE  AND  CO
                8I5DZWZKVSZI1NUHU748
                VAR.RT. CORP. BONDS
                48123UAB0
                
                    
                
                20000
                PA
                USD
                16850
                0.020224341209
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2047-05-15
                    Floating
                    1.156
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
            
                CITIGROUP INC
                6SHGI4ZSSLCXXQSBB395
                VAR.RT. CORP. BONDS
                172967LP4
                
                    
                
                1000
                PA
                USD
                1105.18
                0.001326500737
                Long
                DBT
                CORP
                US
                N
                
                2
                
                    2028-07-24
                    Variable
                    3.668
                    N
                    N
                    N
                
                
                    N
                    N
                    N
                
            
        
        
            2021-07-27
            Putnam Investments Inc
            Janet C. Smith
            NPORT
            Principal Financial Officer
        
    
    XXXX
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