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Form NPORT-P RUSSELL INVESTMENT CO For: Apr 30

June 29, 2022 11:53 AM EDT

  
    NPORT-P
    false
    
      
      
        
          0000351601
          XXXXXXXX
        
      
      
      
      
        S000055522
        C000174739
        C000174738
        C000174743
        C000174742
        C000178443
      
      
      
    
  
  
    
      RUSSELL INVESTMENT CO
      811-03153
      0000351601
      549300J63VJ9OS4TCK93
      1301 SECOND AVENUE
      18TH FLOOR
      SEATTLE
      
      98101
      800-787-7354
      Multi-Asset Growth Strategy Fund
      S000055522
      549300X1VBO22V2H1F97
      2022-10-31
      2022-04-30
      N
    
    
      1734735784.76
      890306821.00
      844428963.76
      0.00000000
      76.66000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      183204435.78000000
      0.00000000
      0.00000000
      54068149.57000000
      
        
          AUD
          
          
        
        
          CAD
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          USD
          
          
        
      
      
      
      
        
        
        
        
        
        
        
        
      
      N
      
        
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        LondonMetric Property PLC
        213800OCERWWPQDURL87
        LondonMetric Property PLC
        000000000
        
          
        
        109571.00000000
        NS
        
        368378.66000000
        0.043624588427
        Long
        EC
        
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Cathay Pacific Airways Ltd
        EQNZNT235RBOJ6LJQZ02
        Cathay Pacific Airways Ltd
        000000000
        
          
        
        478000.00000000
        NS
        
        477409.98000000
        0.056536428816
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        TELEFONICA EUROPE BV
        7245007FZS0M65WUGP67
        Telefonica Europe BV
        000000000
        
          
        
        200000.00000000
        PA
        
        173432.55000000
        0.020538441650
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2029-02-12
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617LEPL2
        
          
        
        30276.11000000
        PA
        USD
        29678.83000000
        0.003514662721
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HelloFresh SE
        391200ZAF4V6XD2M9G57
        HelloFresh SE
        000000000
        
          
        
        9140.00000000
        NS
        
        390882.42000000
        0.046289556229
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH539P5 IRS USD R V 00MSOFR 99NH539P5_FLO CCPVANILLA / Short: B9NH539P5 IRS USD P F  2.53100 99NH539P5_FIX CCPVANILLA
        000000000
        
          
        
        56842000.00000000
        OU
        Notional Amount
        USD
        562246.96000000
        0.066583097469
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-12
            0.00000000
            USD
            0.00000000
            USD
            56842000.00000000
            USD
            562246.96000000
          
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        SPI 200 FUTURES JUN22
        000000000
        
          
        
        49.00000000
        NC
        
        300215.57000000
        0.035552495577
        N/A
        DE
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                SFE S&P ASX Share Price Index 200 Future
                XPM2 INDEX
              
            
            2022-06-16
            8651121.50000000
            AUD
            300215.57000000
          
        
        
          N
          N
          N
        
      
      
        Zijin Mining Group Co Ltd
        529900ABI5CBFXD01Q05
        Zijin Mining Group Co Ltd
        000000000
        
          
        
        366000.00000000
        NS
        
        538195.09000000
        0.063734797490
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Orient Overseas International Ltd
        529900DQ426GJO276W95
        Orient Overseas International Ltd
        000000000
        
          
        
        31500.00000000
        NS
        
        868249.43000000
        0.102820896400
        Long
        EC
        CORP
        BM
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Dongfeng Motor Group Co Ltd
        3003002JNYOYPX54GE50
        Dongfeng Motor Group Co Ltd
        000000000
        
          
        
        1002000.00000000
        NS
        
        730679.93000000
        0.086529472739
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RE85
        
          
        
        5071904.24000000
        PA
        USD
        324340.16000000
        0.038409407294
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-11-20
          Variable
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NA469K5 IRS USD R V 03MSOFR 99NA469K5_FLO CCPVANILLA / Short: B9NA469K5 IRS USD P F  1.28500 99NA469K5_FLO CCPVANILLA
        000000000
        
          
        
        836000.00000000
        OU
        Notional Amount
        USD
        100555.89000000
        0.011908152646
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-12-23
            0.00000000
            USD
            -108.09000000
            USD
            836000.00000000
            USD
            100663.98000000
          
        
        
          N
          N
          N
        
      
      
        KARYOPHARM THERAPEUTICS
        549300J1VANRCNTYST87
        Karyopharm Therapeutics Inc
        48576UAA4
        
          
        
        443000.00000000
        PA
        USD
        353358.88000000
        0.041845897661
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          3.00000000
          N
          N
          N
          N
          Y
          
            
              Karyopharm Therapeutics Inc
              Karyopharm Therapeutics Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        HUNTSMAN INTERNATIONAL L
        3YTEJFW18LGIUQ2N5J61
        Huntsman International LLC
        000000000
        
          
        
        280000.00000000
        PA
        
        306103.86000000
        0.036249805861
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH919L4 IRS USD R F  2.61200 99NH919L4_FIX CCPVANILLA / Short: S9NH919L4 IRS USD P V 00MSOFR 99NH919L4_FLO CCPVANILLA
        000000000
        
          
        
        2227000.00000000
        OU
        Notional Amount
        USD
        -13666.21000000
        -0.00161839664
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-21
            0.00000000
            USD
            0.00000000
            USD
            2227000.00000000
            USD
            -13666.21000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH539X8 IRS USD R V 00MSOFR 99NH539X8_FLO CCPVANILLA / Short: B9NH539X8 IRS USD P F  2.59850 99NH539X8_FIX CCPVANILLA
        000000000
        
          
        
        862000.00000000
        OU
        Notional Amount
        USD
        5831.09000000
        0.000690536474
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-13
            0.00000000
            USD
            0.00000000
            USD
            862000.00000000
            USD
            5831.09000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137F9B75
        
          
        
        6639612.55000000
        PA
        USD
        1058747.97000000
        0.125380347600
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE Futures Europe
        549300UF4R84F48NCH34
        FTSE 100 IDX FUT JUN22
        000000000
        
          
        
        114.00000000
        NC
        
        608243.84000000
        0.072030196275
        N/A
        DE
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe
              549300UF4R84F48NCH34
            
            Long
            
              
                ICF FTSE 100 Index Future
                Z M2 INDEX
              
            
            2022-06-17
            8081108.00000000
            GBP
            608243.84000000
          
        
        
          N
          N
          N
        
      
      
        Cary Group AB
        636700A4ZHX09U7HG322
        Cary Group AB
        000000000
        
          
        
        45867.00000000
        NS
        
        340472.13000000
        0.040319807184
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        EPAM Systems Inc
        549300XCR4R530HJP604
        EPAM Systems Inc
        29414B104
        
          
        
        286.00000000
        NS
        USD
        75787.14000000
        0.008974957427
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -127576.22000000
        -0.01510798722
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            11363133.60000000
            BRL
            2170815.47000000
            USD
            2022-05-03
            -127576.22000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ADQT9
        
          
        
        170269.83000000
        PA
        USD
        4120.43000000
        0.000487954603
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LVMH Moet Hennessy Louis Vuitton SE
        IOG4E947OATN0KJYSD45
        LVMH Moet Hennessy Louis Vuitton SE
        000000000
        
          
        
        430.00000000
        NS
        
        275155.16000000
        0.032584761040
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RPA8
        
          
        
        11488853.39000000
        PA
        USD
        1034554.01000000
        0.122515220865
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-01-20
          Variable
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hong Kong Futures Exchange Ltd.
        213800YTVSXYQN17BW16
        HANG SENG IDX FUT MAY22
        000000000
        
          
        
        3.00000000
        NC
        
        21330.64000000
        0.002526043150
        N/A
        DE
        
        HK
        N
        
        1
        
          
            
              Hong Kong Futures Exchange Ltd.
              213800YTVSXYQN17BW16
            
            Long
            
              
                HKG Hang Seng Index Future
                HIK2 INDEX
              
            
            2022-05-30
            2983068.48000000
            HKD
            21330.64000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUND FUTURE JUN22
        000000000
        
          
        
        -219.00000000
        NC
        
        2699779.62000000
        0.319716605643
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                EUX 10 Year Euro BUND Future
                RXM2 COMDTY
              
            
            2022-06-08
            -36195363.50000000
            EUR
            2699779.62000000
          
        
        
          N
          N
          N
        
      
      
        BOC Hong Kong Holdings Ltd
        N/A
        BOC Hong Kong Holdings Ltd
        000000000
        
          
        
        236500.00000000
        NS
        
        853114.45000000
        0.101028563279
        Long
        EC
        CORP
        HK
        
        N
        
        2
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F040651
        
          
        
        72000000.00000000
        PA
        USD
        71589374.64000000
        8.477844521252
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        International Tower Hill Mines Ltd
        529900QWPB33AJTGMU33
        International Tower Hill Mines Ltd
        46050R102
        
          
        
        104920.00000000
        NS
        USD
        96526.40000000
        0.011430967451
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          
        
      
      
        Cisco Systems Inc
        549300LKFJ962MZ46593
        Cisco Systems Inc
        17275R102
        
          
        
        39068.00000000
        NS
        USD
        1913550.64000000
        0.226608835334
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B5R23
        
          
        
        2258540.66000000
        PA
        USD
        317236.88000000
        0.037568213978
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        99P081CB8 SWAPTION
        000000000
        
          
        
        -38274900.00000000
        OU
        Notional Amount
        USD
        -1354572.44000000
        -0.16041283496
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    38274900.00000000
                    OU
                    Notional Amount
                    N/A
                    -1354572.44000000
                    -0.16000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-03-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  38274900.00000000
                  USD
                
              
            
            1.00000000
            1.23500000
            USD
            2025-03-19
            XXXX
            -910583.60000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        
        111399.08000000
        0.013192238161
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            4641751.37000000
            PLN
            1156113.98000000
            USD
            2022-05-24
            111399.08000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6125199  CDS USD R F  5.00000 26125199_FEE CCPCORPORATE / Short: S6125199  CDS USD P V 03MEVENT 26125199_PRO CCPCORPORATE
        000000000
        
          
        
        393000.00000000
        OU
        Notional Amount
        USD
        6348.01000000
        0.000751751807
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CALPINE CORP
                CALPINE CORP
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            6581.79000000
            USD
            0.00000000
            USD
            393000.00000000
            USD
            -233.78000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
        2425.00000000
        NC
        USD
        -17265008.23000000
        -2.04457793028
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            306218914.48000000
            USD
            -17265008.23000000
          
        
        
          N
          N
          N
        
      
      
        Wacoal Holdings Corp
        3538002U6NJ8QTW6VR34
        Wacoal Holdings Corp
        000000000
        
          
        
        19400.00000000
        NS
        
        275980.89000000
        0.032682546649
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BUM2
        
          
        
        11172062.67000000
        PA
        USD
        386558.95000000
        0.045777556975
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2062-08-20
          Variable
          1.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NJ759F6 IRS USD R V 00MSOFR 99NJ759F6_FLO CCPVANILLA / Short: B9NJ759F6 IRS USD P F  2.55300 99NJ759F6_FIX CCPVANILLA
        000000000
        
          
        
        106000.00000000
        OU
        Notional Amount
        USD
        358.85000000
        0.000042496173
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-04-28
            0.00000000
            USD
            0.00000000
            USD
            106000.00000000
            USD
            358.85000000
          
        
        
          N
          N
          N
        
      
      
        Gold Fields Ltd
        5299003KXIBJQYCBBD72
        Gold Fields Ltd
        000000000
        
          
        
        26437.00000000
        NS
        
        356952.84000000
        0.042271505990
        Long
        EC
        CORP
        ZA
        N
        
        2
        
          N
          N
          N
        
      
      
        CCR SA
        N/A
        CCR SA
        000000000
        
          
        
        55900.00000000
        NS
        
        140316.75000000
        0.016616761861
        Long
        EC
        CORP
        BR
        N
        
        1
        
          N
          N
          N
        
      
      
        BJ's Restaurants Inc
        5299000EOW66I1OJNQ23
        BJ's Restaurants Inc
        09180C106
        
          
        
        29595.00000000
        NS
        USD
        822445.05000000
        0.097396594064
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        NASDAQ 100 E-MINI JUN22
        000000000
        
          
        
        -1.00000000
        NC
        USD
        8725.96000000
        0.001033356312
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                CME E-Mini NASDAQ 100 Index Future
                NQM2 INDEX
              
            
            2022-06-17
            -265765.96000000
            USD
            8725.96000000
          
        
        
          N
          N
          N
        
      
      
        Salesforce Inc
        RCGZFPDMRW58VJ54VR07
        Salesforce Inc
        79466L302
        
          
        
        349.00000000
        NS
        USD
        61403.06000000
        0.007271548304
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intuit Inc
        VI90HBPH7XSFMB9E4M29
        Intuit Inc
        461202103
        
          
        
        454.00000000
        NS
        USD
        190112.50000000
        0.022513735098
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6029333  CDS EUR R F  5.00000 26029333_FEE CCPCORPORATE / Short: S6029333  CDS EUR P V 03MEVENT 26029333_PRO CCPCORPORATE
        000000000
        
          
        
        250000.00000000
        OU
        Notional Amount
        
        46907.99000000
        0.005554995388
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Nokia OYJ
                Nokia OYJ
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            43233.45000000
            EUR
            0.00000000
            EUR
            250000.00000000
            EUR
            -363.56000000
          
        
        
          N
          N
          N
        
      
      
        INTERCEPT PHARMAS
        254900JMB8TX5P688V24
        Intercept Pharmaceuticals Inc
        45845PAA6
        
          
        
        889000.00000000
        PA
        USD
        853440.00000000
        0.101067115959
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-01
          Fixed
          3.25000000
          N
          N
          N
          N
          Y
          
            
              Intercept Pharmaceuticals Inc
              Intercept Pharmaceuticals Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Takashimaya Co Ltd
        353800IFO566STDN4V78
        Takashimaya Co Ltd
        000000000
        
          
        
        28300.00000000
        NS
        
        257005.96000000
        0.030435474270
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        BlackRock Inc
        549300LRIF3NWCU26A80
        BlackRock Inc
        09247X101
        
          
        
        400.00000000
        NS
        USD
        249872.00000000
        0.029590647730
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hargreaves Lansdown PLC
        2138008ZCE93ZDSESG90
        Hargreaves Lansdown PLC
        000000000
        
          
        
        4880.00000000
        NS
        
        55494.20000000
        0.006571802055
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UQ86
        
          
        
        12497731.21000000
        PA
        USD
        695067.57000000
        0.082312142267
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-10-20
          Variable
          1.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kone Oyj
        2138001CNF45JP5XZK38
        Kone Oyj
        000000000
        
          
        
        2018.00000000
        NS
        
        96833.28000000
        0.011467309170
        Long
        EC
        CORP
        FI
        N
        
        2
        
          N
          N
          N
        
      
      
        Castellum AB
        549300GU5OHTR1T5IY68
        Castellum AB
        000000000
        
          
        
        7237.00000000
        NS
        
        142249.72000000
        0.016845670400
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38383DW38
        
          
        
        6843056.56000000
        PA
        USD
        937292.77000000
        0.110997231291
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-11-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Capital Power Corp
        549300QRKTEXGXYVPO80
        Capital Power Corp
        14042M102
        
          
        
        8736.00000000
        NS
        
        287108.49000000
        0.034000312912
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NG289M6 IRS USD R F  1.99150 99NG289M6_FIX CCPVANILLA / Short: S9NG289M6 IRS USD P V 00MSOFR 99NG289M6_FLO CCPVANILLA
        000000000
        
          
        
        17119000.00000000
        OU
        Notional Amount
        USD
        -1053912.58000000
        -0.12480772512
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-22
            0.00000000
            USD
            0.00000000
            USD
            17119000.00000000
            USD
            -1053912.58000000
          
        
        
          N
          N
          N
        
      
      
        East Money Information Co Ltd
        836800ZFB0ZEK3KKW487
        East Money Information Co Ltd
        000000000
        
          
        
        167880.00000000
        NS
        
        570354.63000000
        0.067543233886
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        JAZZ INVESTMENTS I LTD
        N/A
        Jazz Investments I Ltd
        472145AD3
        
          
        
        443000.00000000
        PA
        USD
        450475.63000000
        0.053346776263
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2024-08-15
          Fixed
          1.50000000
          N
          N
          N
          N
          Y
          
            
              Jazz Pharmaceuticals PLC
              Jazz Pharmaceuticals PLC
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Dollar General Corp
        OPX52SQVOZI8IVSWYU66
        Dollar General Corp
        256677105
        
          
        
        1141.00000000
        NS
        USD
        271021.73000000
        0.032095266935
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SUZANO AUSTRIA GMBH
        254900287ZNSGVP1R341
        Suzano Austria GmbH
        86964WAH5
        
          
        
        200000.00000000
        PA
        USD
        188752.00000000
        0.022352620303
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2030-01-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6477385  CDS USD R F  5.00000 26477385_FEE CCPCORPORATE / Short: S6477385  CDS USD P V 03MEVENT 26477385_PRO CCPCORPORATE
        000000000
        
          
        
        84000.00000000
        OU
        Notional Amount
        USD
        6400.62000000
        0.000757982053
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Tenet Healthcare Corp
                Tenet Healthcare Corp
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            8222.38000000
            USD
            0.00000000
            USD
            84000.00000000
            USD
            -1821.76000000
          
        
        
          N
          N
          N
        
      
      
        LENDINGTREE INC
        549300ISY5YHUJZTON08
        LendingTree Inc
        52603BAA5
        
          
        
        1627000.00000000
        PA
        USD
        1612763.75000000
        0.190988682199
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          0.63000000
          N
          N
          N
          N
          Y
          
            
              LendingTree Inc
              LendingTree Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Seiko Epson Corp
        549300NIOFQDR749W206
        Seiko Epson Corp
        000000000
        
          
        
        65100.00000000
        NS
        
        909043.05000000
        0.107651808383
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796J42
        
          
        
        847000.00000000
        PA
        USD
        846540.94000000
        0.100250107034
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Accenture PLC
        N/A
        Accenture PLC
        000000000
        
          
        
        1344.00000000
        NS
        USD
        403683.84000000
        0.047805541652
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380F5R3
        
          
        
        702881.56000000
        PA
        USD
        84566.77000000
        0.010014669513
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FVL83
        
          
        
        3206101.99000000
        PA
        USD
        601063.65000000
        0.071179895029
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L'Oreal SA
        529900JI1GG6F7RKVI53
        L'Oreal SA
        000000000
        
          
        
        884.00000000
        NS
        
        321599.79000000
        0.038084883844
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Bank of New York Mellon
        HPFHU0OQ28E4N0NFVK49
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        429.80000000
        0.000050898301
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of New York Mellon
              HPFHU0OQ28E4N0NFVK49
            
            333774.90000000
            NZD
            215910.64000000
            USD
            2022-06-09
            429.80000000
          
        
        
          N
          N
          N
        
      
      
        Komeri Co Ltd
        N/A
        Komeri Co Ltd
        000000000
        
          
        
        29000.00000000
        NS
        
        611778.50000000
        0.072448782106
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        AMETEK Inc
        549300WZDEF9KKE40E98
        AMETEK Inc
        031100100
        
          
        
        1198.00000000
        NS
        USD
        151259.48000000
        0.017912635223
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH919E0 IRS USD R V 00MSOFR 99NH919E0_FLO CCPVANILLA / Short: B9NH919E0 IRS USD P F  2.58500 99NH919E0_FIX CCPVANILLA
        000000000
        
          
        
        4893000.00000000
        OU
        Notional Amount
        USD
        52139.32000000
        0.006174506351
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-20
            0.00000000
            USD
            0.00000000
            USD
            4893000.00000000
            USD
            52139.32000000
          
        
        
          N
          N
          N
        
      
      
        TeamViewer AG
        3912000FZ0R0KEK9JS42
        TeamViewer AG
        000000000
        
          
        
        29082.00000000
        NS
        
        352757.96000000
        0.041774734778
        Long
        EC
        CORP
        DE
        Y
        
        2
        
          N
          N
          N
        
      
      
        Fidelity National Financial Inc
        549300CAZYIH39SYQ287
        Fidelity National Financial Inc
        31620R303
        
          
        
        2293.00000000
        NS
        USD
        91307.26000000
        0.010812900068
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796Q36
        
          
        
        2705000.00000000
        PA
        USD
        2704412.84000000
        0.320265286491
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-26
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Derwent London PLC
        213800BXKQ9KZNUR1M61
        Derwent London PLC
        000000000
        
          
        
        1485.00000000
        NS
        
        56212.02000000
        0.006656808614
        Long
        EC
        
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Hokuetsu Corp
        549300CBTMD053ZJ7C79
        Hokuetsu Corp
        000000000
        
          
        
        69300.00000000
        NS
        
        354960.15000000
        0.042035525216
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UZV5
        
          
        
        3492619.89000000
        PA
        USD
        176998.99000000
        0.020960790971
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-04-20
          Variable
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NG049X3 IRS USD R F  2.01300 99NG049X3_FIX CCPVANILLA / Short: S9NG049X3 IRS USD P V 00MSOFR 99NG049X3_FLO CCPVANILLA
        000000000
        
          
        
        9481000.00000000
        OU
        Notional Amount
        USD
        -571249.21000000
        -0.06764917293
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-21
            0.00000000
            USD
            0.00000000
            USD
            9481000.00000000
            USD
            -571249.21000000
          
        
        
          N
          N
          N
        
      
      
        Cogeco Communications Inc
        549300XHH6LJM6IAXV57
        Cogeco Communications Inc
        19239C106
        
          
        
        1027.00000000
        NS
        
        84340.87000000
        0.009987917707
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378TEW6
        
          
        
        3872325.57000000
        PA
        USD
        515422.41000000
        0.061037983314
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045V100
        
          
        
        25002.00000000
        NS
        USD
        947825.82000000
        0.112244589027
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        RADIUS HEALTH INC
        549300EV6I2M6E0YVT27
        Radius Health Inc
        750469AA6
        
          
        
        508000.00000000
        PA
        USD
        491172.50000000
        0.058166230799
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-01
          Fixed
          3.00000000
          N
          N
          N
          N
          Y
          
            
              Radius Health Inc
              Radius Health Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Steelcase Inc
        GIE4CCPBJDI8SMV1OX95
        Steelcase Inc
        858155203
        
          
        
        66687.00000000
        NS
        USD
        782238.51000000
        0.092635205987
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        195186.64000000
        0.023114631114
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            3410981.37000000
            EUR
            3800685.96000000
            USD
            2022-06-15
            195186.64000000
          
        
        
          N
          N
          N
        
      
      
        MS&AD Insurance Group Holdings Inc
        529900CXROT5S2HMMP26
        MS&AD Insurance Group Holdings Inc
        000000000
        
          
        
        21100.00000000
        NS
        
        630558.37000000
        0.074672754851
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382RPZ5
        
          
        
        2966917.79000000
        PA
        USD
        350876.30000000
        0.041551902535
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-04-20
          Floating
          5.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Arrows Ltd
        N/A
        United Arrows Ltd
        000000000
        
          
        
        16500.00000000
        NS
        
        222506.03000000
        0.026349881345
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        685160.24000000
        0.081138884311
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            719200013.00000000
            JPY
            6234802.13000000
            USD
            2022-06-15
            685160.24000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99P178CD8 SWAPTION
        000000000
        
          
        
        -62256800.00000000
        OU
        Notional Amount
        USD
        -1216542.07000000
        -0.14406683358
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    62256800.00000000
                    OU
                    Notional Amount
                    N/A
                    -1216542.07000000
                    -0.14000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2028-03-31
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  62256800.00000000
                  USD
                
              
            
            1.00000000
            0.92750000
            USD
            2027-03-25
            XXXX
            -817320.34000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032666
        
          
        
        27000000.00000000
        PA
        USD
        26116337.79000000
        3.092780910037
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-13
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hirogin Holdings Inc
        N/A
        Hirogin Holdings Inc
        000000000
        
          
        
        43300.00000000
        NS
        
        213771.07000000
        0.025315459224
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Welltower Inc
        T6IZ0MBEG5ACZDTR7D06
        Welltower Inc
        95040Q104
        
          
        
        11267.00000000
        NS
        USD
        1023156.27000000
        0.121165463752
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Expeditors International of Washington Inc
        984500B055A804AB6E40
        Expeditors International of Washington Inc
        302130109
        
          
        
        1217.00000000
        NS
        USD
        120568.19000000
        0.014278073724
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Toronto-Dominion Bank
        PT3QB789TSUIDF371261
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        13848.73000000
        0.001640011249
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Toronto-Dominion Bank
              PT3QB789TSUIDF371261
            
            8244486.00000000
            SEK
            854442.08000000
            USD
            2022-06-15
            13848.73000000
          
        
        
          N
          N
          N
        
      
      
        LORCA TELECOM BONDCO
        9598004HFBAS82YM7X35
        Lorca Telecom Bondco SA
        000000000
        
          
        
        100000.00000000
        PA
        
        96562.76000000
        0.011435273320
        Long
        DBT
        CORP
        ES
        Y
        
        2
        
          2027-09-18
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379TFH7
        
          
        
        2657739.52000000
        PA
        USD
        521935.66000000
        0.061809303375
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toronto-Dominion Bank
        PT3QB789TSUIDF371261
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        41717.10000000
        0.004940273461
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Toronto-Dominion Bank
              PT3QB789TSUIDF371261
            
            779933.44000000
            EUR
            866127.78000000
            USD
            2022-06-15
            41717.10000000
          
        
        
          N
          N
          N
        
      
      
        HELLO GROUP INC
        549300YMGLID32W48529
        Hello Group Inc
        60879BAB3
        
          
        
        1477000.00000000
        PA
        USD
        1344141.29000000
        0.159177544552
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-07-01
          Fixed
          1.25000000
          N
          N
          N
          N
          N
          
            
              HELLO GROUP INC
              HELLO GROUP INC
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Curo Group Holdings Corp
        54930007KH8KCGJ4YE72
        Curo Group Holdings Corp
        23131L107
        
          
        
        47677.00000000
        NS
        USD
        559727.98000000
        0.066284791737
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chemometec A/S
        213800533NBKECGONO68
        Chemometec A/S
        000000000
        
          
        
        8363.00000000
        NS
        
        937819.39000000
        0.111059595329
        Long
        EC
        CORP
        DK
        N
        
        2
        
          N
          N
          N
        
      
      
        Genuine Parts Co
        549300D46DQVEU651W04
        Genuine Parts Co
        372460105
        
          
        
        1380.00000000
        NS
        USD
        179469.00000000
        0.021253297518
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hong Kong Futures Exchange Ltd.
        213800YTVSXYQN17BW16
        HANG SENG IDX FUT MAY22
        000000000
        
          
        
        -317.00000000
        NC
        
        -2437277.98000000
        -0.28863031523
        N/A
        DE
        
        HK
        N
        
        1
        
          
            
              Hong Kong Futures Exchange Ltd.
              213800YTVSXYQN17BW16
            
            Short
            
              
                HKG Hang Seng Index Future
                HIK2 INDEX
              
            
            2022-05-30
            -313772229.73000000
            HKD
            -2437277.98000000
          
        
        
          N
          N
          N
        
      
      
        SKF AB
        549300B6HWYEE57O8J84
        SKF AB
        000000000
        
          
        
        3689.00000000
        NS
        
        59867.13000000
        0.007089658523
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED PLN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -111399.08000000
        -0.01319223816
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            1156113.98000000
            USD
            4641751.37000000
            PLN
            2022-05-24
            -111399.08000000
          
        
        
          N
          N
          N
        
      
      
        Viatris Inc
        254900ZZTSW7NL773X71
        Viatris Inc
        92556V106
        
          
        
        55768.00000000
        NS
        USD
        576083.44000000
        0.068221658034
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AZ6
        
          
        
        200000.00000000
        PA
        USD
        157500.00000000
        0.018651657718
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2031-05-16
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UK25
        
          
        
        5080783.34000000
        PA
        USD
        349283.53000000
        0.041363281577
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-04-20
          Variable
          2.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vectrus Inc
        N/A
        Vectrus Inc
        92242T101
        
          
        
        12929.00000000
        NS
        USD
        466736.90000000
        0.055272488276
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: 26729367  CDS EUR R F  5.00000 CDS GS 20270620 L / Short: 26729367  CDS EUR P V 03MEVENT CDS GS 20270620 S
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        
        11884.28000000
        0.001407374747
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                CELLNEX TELECOM SA
                CELLNEX TELECOM SA
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            11754.26000000
            EUR
            0.00000000
            EUR
            100000.00000000
            EUR
            -468.83000000
          
        
        
          N
          N
          N
        
      
      
        Sight Sciences Inc
        N/A
        Sight Sciences Inc
        82657M105
        
          
        
        15012.00000000
        NS
        USD
        104783.76000000
        0.012408830641
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HORIZON GLOBAL CORP
        549300D1ZZV3IWN54G85
        Horizon Global Corp
        44052WAA2
        
          
        
        317000.00000000
        PA
        USD
        304161.50000000
        0.036019785328
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          2.75000000
          N
          N
          N
          N
          Y
          
            
              Horizon Global Corp
              Horizon Global Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BGJ36
        
          
        
        3838378.48000000
        PA
        USD
        808904.10000000
        0.095793031115
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Progressive Corp/The
        529900TACNVLY9DCR586
        Progressive Corp/The
        743315103
        
          
        
        1600.00000000
        NS
        USD
        171776.00000000
        0.020342267659
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99P964FG1 SWAPTION
        000000000
        
          
        
        7935700.00000000
        OU
        Notional Amount
        USD
        1881271.56000000
        0.222786242625
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    7935700.00000000
                    OU
                    Notional Amount
                    N/A
                    1881271.56000000
                    0.22000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2050-06-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7935700.00000000
                  USD
                
              
            
            1.00000000
            1.32500000
            USD
            2030-06-04
            XXXX
            822252.39000000
          
        
        
          N
          N
          N
        
      
      
        ENEL SPA
        WOCMU6HCI0OJWNPRZS33
        Enel SpA
        000000000
        
          
        
        100000.00000000
        PA
        
        84264.15000000
        0.009978832277
        Long
        DBT
        CORP
        IT
        Y
        
        2
        
          2030-06-08
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Axis Bank Ltd
        549300HVNWMJPOFVNI41
        Axis Bank Ltd
        000000000
        
          
        
        55600.00000000
        NS
        
        522242.83000000
        0.061845679436
        Long
        EC
        CORP
        IN
        N
        
        2
        
          N
          N
          N
        
      
      
        Jack Henry & Associates Inc
        529900X1QS8C54W0JB21
        Jack Henry & Associates Inc
        426281101
        
          
        
        725.00000000
        NS
        USD
        137445.50000000
        0.016276739180
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Commonwealth Bank of Australia
        MSFSBD3QN1GSN7Q6C537
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -174.64000000
        -0.00002068143
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Commonwealth Bank of Australia
              MSFSBD3QN1GSN7Q6C537
            
            122945.27000000
            USD
            173645.38000000
            AUD
            2022-06-09
            -174.64000000
          
        
        
          N
          N
          N
        
      
      
        Larsen & Toubro Ltd
        3358003FR3JIC5FRXA90
        Larsen & Toubro Ltd
        000000000
        
          
        
        34724.00000000
        NS
        
        762235.78000000
        0.090266418220
        Long
        EC
        CORP
        IN
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UN55
        
          
        
        2214409.69000000
        PA
        USD
        186938.25000000
        0.022137830181
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-10-20
          Variable
          2.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382RQH4
        
          
        
        3870186.16000000
        PA
        USD
        586589.02000000
        0.069465762683
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-04-20
          Floating
          5.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APOLLO CMMRL REAL EST FI
        549300E0AN7M2AQHSY29
        Apollo Commercial Real Estate Finance Inc
        03762UAB1
        
          
        
        2504000.00000000
        PA
        USD
        2502435.00000000
        0.296346419580
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-23
          Fixed
          4.75000000
          N
          N
          N
          N
          N
          
            
              Apollo Commercial Real Estate Finance Inc
              Apollo Commercial Real Estate Finance Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380LAZ6
        
          
        
        4010089.18000000
        PA
        USD
        325815.74000000
        0.038584150234
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2068-02-20
          Variable
          1.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IQVIA INC
        549300PLWY28YB00C717
        IQVIA Inc
        000000000
        
          
        
        176000.00000000
        PA
        
        166845.67000000
        0.019758402087
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2028-01-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominion Energy Inc
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746U109
        
          
        
        26658.00000000
        NS
        USD
        2176359.12000000
        0.257731462728
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Jones Lang LaSalle Inc
        6SYKCME112RT8TQUO411
        Jones Lang LaSalle Inc
        48020Q107
        
          
        
        1541.00000000
        NS
        USD
        337062.93000000
        0.039916078730
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kweichow Moutai Co Ltd
        N/A
        Kweichow Moutai Co Ltd
        000000000
        
          
        
        3600.00000000
        NS
        
        991019.49000000
        0.117359722668
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        BASF SE
        529900PM64WH8AF1E917
        BASF SE
        000000000
        
          
        
        1250000.00000000
        PA
        USD
        1231096.46000000
        0.145790411370
        Long
        DBT
        CORP
        DE
        Y
        
        2
        
          2023-03-09
          Fixed
          0.93000000
          N
          N
          N
          N
          N
          
            
              BASF SE
              BASF SE
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        POST HOLDINGS INC
        JM1I5YUAURL6DC8N1468
        Post Holdings Inc
        737446AR5
        
          
        
        171000.00000000
        PA
        USD
        142203.60000000
        0.016840208721
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2031-09-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Johnson & Johnson
        549300G0CFPGEF6X2043
        Johnson & Johnson
        478160104
        
          
        
        6643.00000000
        NS
        USD
        1198795.78000000
        0.141965260720
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        First Resources Ltd
        5493007RRD817HUP4O49
        First Resources Ltd
        000000000
        
          
        
        270797.00000000
        NS
        
        414130.55000000
        0.049042674727
        Long
        EC
        CORP
        SG
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Highwoods Properties Inc
        ZIIGTYKL9T0X3HLTDX53
        Highwoods Properties Inc
        431284108
        
          
        
        5940.00000000
        NS
        USD
        242589.60000000
        0.028728242446
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Realty Income Corp
        549300CUWDAUZSH43859
        Realty Income Corp
        756109104
        
          
        
        11440.00000000
        NS
        USD
        793478.40000000
        0.093966269994
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Suzuken Co Ltd/Aichi Japan
        N/A
        Suzuken Co Ltd/Aichi Japan
        000000000
        
          
        
        34200.00000000
        NS
        
        1012974.78000000
        0.119959738885
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        CANPACK SA/CANPACK US
        N/A
        Canpack SA / Canpack US LLC
        000000000
        
          
        
        200000.00000000
        PA
        
        183097.17000000
        0.021682957105
        Long
        DBT
        CORP
        XX
        
        Y
        
        2
        
          2027-11-01
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6168213  CDS USD R F  5.00000 26168213_FEE CCPCORPORATE / Short: S6168213  CDS USD P V 03MEVENT 26168213_PRO CCPCORPORATE
        000000000
        
          
        
        150000.00000000
        OU
        Notional Amount
        USD
        11429.67000000
        0.001353538366
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Tenet Healthcare Corp
                Tenet Healthcare Corp
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            11087.44000000
            USD
            0.00000000
            USD
            150000.00000000
            USD
            342.23000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED HKD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -21518.38000000
        -0.00254827592
        N/A
        DFE
        
        HK
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            5734690.73000000
            USD
            44790916.62000000
            HKD
            2022-06-15
            -21518.38000000
          
        
        
          N
          N
          N
        
      
      
        NexTier Oilfield Solutions Inc
        529900L27H2D4QT0IT24
        NexTier Oilfield Solutions Inc
        65290C105
        
          
        
        93182.00000000
        NS
        USD
        1027797.46000000
        0.121715088433
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379XPB0
        
          
        
        383091.46000000
        PA
        USD
        56365.66000000
        0.006675003158
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-06-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEG Energy Corp
        5493002WXPTG5ZC1T326
        MEG Energy Corp
        552704108
        
          
        
        17570.00000000
        NS
        
        263963.73000000
        0.031259435823
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        ACRES COMMERCIAL REALTY
        549300RUJWPCMY4JFR46
        ACRES Commercial Realty Corp
        76120WAC8
        
          
        
        925000.00000000
        PA
        USD
        925248.39000000
        0.109570896985
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-15
          Fixed
          4.50000000
          N
          N
          N
          N
          N
          
            
              ACRES Commercial Realty Corp
              ACRES Commercial Realty Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380FA22
        
          
        
        2956711.36000000
        PA
        USD
        701124.67000000
        0.083029443575
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-16
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toronto-Dominion Bank
        PT3QB789TSUIDF371261
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        45415.15000000
        0.005378208463
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Toronto-Dominion Bank
              PT3QB789TSUIDF371261
            
            850320.00000000
            CHF
            921446.45000000
            USD
            2022-06-15
            45415.15000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99P529IF1 SWAPTION
        000000000
        
          
        
        10587200.00000000
        OU
        Notional Amount
        USD
        1566195.20000000
        0.185473884390
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    10587200.00000000
                    OU
                    Notional Amount
                    N/A
                    1566195.20000000
                    0.19000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2049-09-28
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10587200.00000000
                  USD
                
              
            
            1.00000000
            2.05100000
            USD
            2029-09-26
            XXXX
            503769.68000000
          
        
        
          N
          N
          N
        
      
      
        Altra Industrial Motion Corp
        NQ0NIXPGW4YKG4MWM571
        Altra Industrial Motion Corp
        02208R106
        
          
        
        34485.00000000
        NS
        USD
        1344915.00000000
        0.159269169784
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -182585.62000000
        -0.02162237770
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            3913369.79000000
            USD
            34989701.49000000
            NOK
            2022-06-09
            -182585.62000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376R5K8
        
          
        
        305815.18000000
        PA
        USD
        28196.16000000
        0.003339080160
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-06-20
          Variable
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OLYMPUS WTR US HLDG CORP
        549300YU2GGVCBN3MY89
        Olympus Water US Holding Corp
        000000000
        
          
        
        110000.00000000
        PA
        
        97498.64000000
        0.011546103246
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2029-10-01
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137F86V0
        
          
        
        4566843.21000000
        PA
        USD
        876608.75000000
        0.103810834021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Zhejiang Expressway Co Ltd
        213800X1ZRKM85U9H438
        Zhejiang Expressway Co Ltd
        000000000
        
          
        
        194000.00000000
        NS
        
        159614.04000000
        0.018902009150
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Moneysupermarket.com Group PLC
        54930016B7VO33FBE722
        Moneysupermarket.com Group PLC
        000000000
        
          
        
        56067.00000000
        NS
        
        122886.74000000
        0.014552643889
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: 26225048  CDS EUR R F  5.00000 CDS GS 20270620 L / Short: 26225048  CDS EUR P V 03MEVENT CDS GS 20270620 S
        000000000
        
          
        
        176000.00000000
        OU
        Notional Amount
        
        5916.30000000
        0.000700627317
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                OI European Group BV
                OI European Group BV
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            2753.65000000
            EUR
            0.00000000
            EUR
            176000.00000000
            EUR
            2871.57000000
          
        
        
          N
          N
          N
        
      
      
        UnitedHealth Group Inc
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324P102
        
          
        
        1385.00000000
        NS
        USD
        704341.75000000
        0.083410420559
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Snam SpA
        8156002278562044AF79
        Snam SpA
        000000000
        
          
        
        30484.00000000
        NS
        
        167287.67000000
        0.019810745151
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        Exact Sciences Corp
        549300VM3X1FYD4N9Z14
        Exact Sciences Corp
        30063P105
        
          
        
        10903.00000000
        NS
        USD
        600210.15000000
        0.071078820807
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032658
        
          
        
        71000000.00000000
        PA
        USD
        68853359.02000000
        8.153836731679
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-12
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020653
        
          
        
        1000000.00000000
        PA
        USD
        882070.31000000
        0.104457609562
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-12
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aisin Corp
        3538004IOK08PDY6I723
        Aisin Corp
        000000000
        
          
        
        20600.00000000
        NS
        
        597997.44000000
        0.070816784556
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Catena AB
        549300EMLM7AH5LDLY65
        Catena AB
        000000000
        
          
        
        3047.00000000
        NS
        
        158302.08000000
        0.018746642618
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        Sirius Real Estate Ltd
        213800NURUF5W8QSK566
        Sirius Real Estate Ltd
        000000000
        
          
        
        151391.00000000
        NS
        
        228402.89000000
        0.027048206516
        Long
        EC
        CORP
        GG
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99P497FY3 PUTNAM
        000000000
        
          
        
        15995100.00000000
        OU
        Notional Amount
        USD
        669244.74000000
        0.079254119496
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    15995100.00000000
                    OU
                    Notional Amount
                    N/A
                    669244.74000000
                    0.08000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-06-29
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  15995100.00000000
                  USD
                
              
            
            1.00000000
            2.31000000
            USD
            2022-06-29
            XXXX
            326149.84000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG839D1 IRS USD R V 00MSOFR 99NG839D1_FLO CCPVANILLA / Short: B9NG839D1 IRS USD P F  2.35350 99NG839D1_FIX CCPVANILLA
        000000000
        
          
        
        4760000.00000000
        OU
        Notional Amount
        USD
        85874.21000000
        0.010169500773
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-30
            0.00000000
            USD
            0.00000000
            USD
            4760000.00000000
            USD
            85874.21000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376UGZ6
        
          
        
        1029617.24000000
        PA
        USD
        41690.33000000
        0.004937103272
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Clorox Co/The
        54930044KVSC06Z79I06
        Clorox Co/The
        189054109
        
          
        
        862.00000000
        NS
        USD
        123671.14000000
        0.014645535066
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RT30
        
          
        
        4650374.92000000
        PA
        USD
        361362.50000000
        0.042793712142
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-02-20
          Variable
          2.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Xebio Holdings Co Ltd
        N/A
        Xebio Holdings Co Ltd
        000000000
        
          
        
        21700.00000000
        NS
        
        151973.71000000
        0.017997216642
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Evotec SE
        529900F9KI6OYITO9B12
        Evotec SE
        000000000
        
          
        
        17813.00000000
        NS
        
        432648.00000000
        0.051235570849
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        BLACKROCK CAPITAL INVEST
        H88PPRS67HRMQX6CRF26
        BlackRock Capital Investment Corp
        092533AC2
        
          
        
        1163000.00000000
        PA
        USD
        1166256.40000000
        0.138111842446
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-15
          Fixed
          5.00000000
          N
          N
          N
          N
          Y
          
            
              BlackRock Capital Investment Corp
              BlackRock Capital Investment Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Goodyear Tire & Rubber Co/The
        5493002BI0S2ZQUY3437
        Goodyear Tire & Rubber Co/The
        382550101
        
          
        
        262094.00000000
        NS
        USD
        3491092.08000000
        0.413426378040
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ASML Holding NV
        724500Y6DUVHQD6OXN27
        ASML Holding NV
        000000000
        
          
        
        2388.00000000
        NS
        
        1351056.07000000
        0.159996415090
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379JHX2
        
          
        
        1586308.83000000
        PA
        USD
        283973.08000000
        0.033629007552
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Astarta Holding NV
        724500R38HLH2G58KQ51
        Astarta Holding NV
        000000000
        
          
        
        17362.00000000
        NS
        
        93061.84000000
        0.011020683088
        Long
        EC
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Fanniemae Strip
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        3136FGRS8
        
          
        
        251951.22000000
        PA
        USD
        43971.68000000
        0.005207268093
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Technoprobe SpA
        8156007154CD8334D053
        Technoprobe SpA
        000000000
        
          
        
        72350.00000000
        NS
        
        506196.45000000
        0.059945415390
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        IONIS PHARMACEUTICALS IN
        549300SI4ZGLG0BLUZ92
        Ionis Pharmaceuticals Inc
        462222AB6
        
          
        
        2686000.00000000
        PA
        USD
        2407999.00000000
        0.285163004035
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          0.13000000
          N
          N
          N
          N
          Y
          
            
              Ionis Pharmaceuticals Inc
              Ionis Pharmaceuticals Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B3UN8
        
          
        
        2116097.65000000
        PA
        USD
        257830.20000000
        0.030533083428
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-25
          Floating
          5.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG509A6 IRS USD R V 00MSOFR 99NG509A6_FLO CCPVANILLA / Short: B9NG509A6 IRS USD P F  2.18400 99NG509A6_FIX CCPVANILLA
        000000000
        
          
        
        14545000.00000000
        OU
        Notional Amount
        USD
        652585.13000000
        0.077281234776
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-24
            0.00000000
            USD
            0.00000000
            USD
            14545000.00000000
            USD
            652585.13000000
          
        
        
          N
          N
          N
        
      
      
        TILRAY BRANDS INC
        549300Y4V60733TO1478
        Tilray Brands Inc
        88688TAB6
        
          
        
        653000.00000000
        PA
        USD
        636675.00000000
        0.075397105893
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-10-01
          Fixed
          5.00000000
          N
          N
          N
          N
          Y
          
            
              Tilray Inc
              Tilray Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        43820.28000000
        0.005189338817
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            850320.00000000
            CHF
            919851.58000000
            USD
            2022-06-15
            43820.28000000
          
        
        
          N
          N
          N
        
      
      
        Nomura Real Estate Master Fund Inc
        353800TNNZOQ1CPZE086
        Nomura Real Estate Master Fund Inc
        000000000
        
          
        
        145.00000000
        NS
        
        181511.70000000
        0.021495200637
        Long
        EC
        
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380UMS9
        
          
        
        275720.75000000
        PA
        USD
        54377.92000000
        0.006439608579
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chocoladefabriken Lindt & Spruengli AG
        529900JYJNNOKKAGK736
        Chocoladefabriken Lindt & Spruengli AG
        000000000
        
          
        
        15.00000000
        NS
        
        167827.43000000
        0.019874665271
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99C483IF5 SWAPTION
        000000000
        
          
        
        19851000.00000000
        OU
        Notional Amount
        USD
        651541.58000000
        0.077157654221
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Call
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    19851000.00000000
                    OU
                    Notional Amount
                    N/A
                    651541.58000000
                    0.08000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2039-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19851000.00000000
                  USD
                
              
            
            1.00000000
            1.86500000
            USD
            2029-09-28
            XXXX
            -384092.02000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380BUS2
        
          
        
        289066.66000000
        PA
        USD
        52700.75000000
        0.006240992701
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH419S4 IRS USD R V 00MSOFR 99NH419S4_FLO CCPVANILLA / Short: B9NH419S4 IRS USD P F  2.46900 99NH419S4_FIX CCPVANILLA
        000000000
        
          
        
        7022000.00000000
        OU
        Notional Amount
        USD
        33063.79000000
        0.003915520596
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-04-07
            0.00000000
            USD
            0.00000000
            USD
            7022000.00000000
            USD
            33063.79000000
          
        
        
          N
          N
          N
        
      
      
        Valvoline Inc
        549300CMHPBEY6VPOT75
        Valvoline Inc
        92047W101
        
          
        
        18755.00000000
        NS
        USD
        566963.65000000
        0.067141663103
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        NSK Ltd
        353800FVQK6SULSPBC69
        NSK Ltd
        000000000
        
          
        
        174400.00000000
        NS
        
        963258.61000000
        0.114072189768
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        12061.06000000
        0.001428309605
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            8244486.00000000
            SEK
            852654.41000000
            USD
            2022-06-15
            12061.06000000
          
        
        
          N
          N
          N
        
      
      
        Draegerwerk AG & Co KGaA
        5493005UFVHY0PPNKD75
        Draegerwerk AG & Co KGaA
        000000000
        
          
        
        2200.00000000
        NS
        
        109674.97000000
        0.012988063496
        Long
        EP
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        Rightmove PLC
        2138001JXGCFKBXYB828
        Rightmove PLC
        000000000
        
          
        
        16520.00000000
        NS
        
        126994.86000000
        0.015039140703
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        DCP MIDSTREAM OPERATING
        549300Y6CTBSE0QIPL28
        DCP Midstream Operating LP
        23311VAH0
        
          
        
        39000.00000000
        PA
        USD
        38355.72000000
        0.004542208006
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALE OVERSEAS LIMITED
        254900BA3U6G5DNV5V04
        Vale Overseas Ltd
        91911TAQ6
        
          
        
        100000.00000000
        PA
        USD
        90375.00000000
        0.010702498833
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-07-08
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Gold Inc
        5493001NGRU6SFL04184
        Royal Gold Inc
        780287108
        
          
        
        7211.00000000
        NS
        USD
        940891.28000000
        0.111423378446
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Amphenol Corp
        549300D3L3G0R4U4VT04
        Amphenol Corp
        032095101
        
          
        
        2064.00000000
        NS
        USD
        147576.00000000
        0.017476425647
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6321052  CDS USD R F  5.00000 26321052_FEE CCPCORPORATE / Short: S6321052  CDS USD P V 03MEVENT 26321052_PRO CCPCORPORATE
        000000000
        
          
        
        97000.00000000
        OU
        Notional Amount
        USD
        1872.29000000
        0.000221722617
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GOODYEAR TIRE & RUBBER
                GOODYEAR TIRE & RUBBER
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            3486.15000000
            USD
            0.00000000
            USD
            97000.00000000
            USD
            -1613.86000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo & Co
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746101
        
          
        
        6147.00000000
        NS
        USD
        268193.61000000
        0.031760351848
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Northern Trust Corp
        549300GLF98S992BC502
        Northern Trust Corp
        665859104
        
          
        
        1397.00000000
        NS
        USD
        143960.85000000
        0.017048307930
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DEUTSCHE POSTBK FUND III
        529900JUYWPVJ3EAX160
        Deutsche Postbank Funding Trust III
        000000000
        
          
        
        253000.00000000
        PA
        
        230480.91000000
        0.027294292343
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-06-07
          Floating
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030660
        
          
        
        10000000.00000000
        PA
        USD
        9408223.80000000
        1.114152190861
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-13
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        14660.19000000
        0.001736106958
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            846895.42000000
            USD
            3422434545.00000000
            COP
            2022-05-24
            14660.19000000
          
        
        
          N
          N
          N
        
      
      
        ZIGGO BOND CO BV
        213800JYI4P7V5QDOG59
        Ziggo Bond Co BV
        000000000
        
          
        
        50000.00000000
        PA
        
        43954.92000000
        0.005205283320
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2030-02-28
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH539U4 IRS USD R V 00MSOFR 99NH539U4_FLO CCPVANILLA / Short: B9NH539U4 IRS USD P F  2.33350 99NH539U4_FIX CCPVANILLA
        000000000
        
          
        
        3922000.00000000
        OU
        Notional Amount
        USD
        117143.47000000
        0.013872507342
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-04-13
            0.00000000
            USD
            0.00000000
            USD
            3922000.00000000
            USD
            117143.47000000
          
        
        
          N
          N
          N
        
      
      
        Persimmon PLC
        213800XI72Y57UWN6F31
        Persimmon PLC
        000000000
        
          
        
        2179.00000000
        NS
        
        56829.46000000
        0.006729927849
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Mitsubishi UFJ Financial Group Inc
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        000000000
        
          
        
        180200.00000000
        NS
        
        1047296.46000000
        0.124024222870
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380LJF1
        
          
        
        7571988.62000000
        PA
        USD
        895516.38000000
        0.106049936517
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2068-08-20
          Variable
          2.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Electrocomponents PLC
        549300KVXDURRKVW7R37
        Electrocomponents PLC
        000000000
        
          
        
        10747.00000000
        NS
        
        140167.76000000
        0.016599117985
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Bank of New York Mellon
        HPFHU0OQ28E4N0NFVK49
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -401356.38000000
        -0.04752991633
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Bank of New York Mellon
              HPFHU0OQ28E4N0NFVK49
            
            8544701.04000000
            USD
            12613854.97000000
            NZD
            2022-06-09
            -401356.38000000
          
        
        
          N
          N
          N
        
      
      
        Straumann Holding AG
        50670046ML5FVIM60Z37
        Straumann Holding AG
        000000000
        
          
        
        4700.00000000
        NS
        
        554209.76000000
        0.065631306336
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Singapore Telecommunications Ltd
        2549003XJKIQO8YDYD89
        Singapore Telecommunications Ltd
        000000000
        
          
        
        455619.00000000
        NS
        
        905607.30000000
        0.107244935792
        Long
        EC
        CORP
        SG
        N
        
        2
        
          N
          N
          N
        
      
      
        Partners Group Holding AG
        549300I3IVVWZWDHI788
        Partners Group Holding AG
        000000000
        
          
        
        666.00000000
        NS
        
        705717.59000000
        0.083573351967
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        NextEra Energy Inc
        N/A
        NextEra Energy Inc
        65339F101
        
          
        
        10982.00000000
        NS
        USD
        779941.64000000
        0.092363203238
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Pacira BioSciences Inc
        N/A
        Pacira BioSciences Inc
        695127100
        
          
        
        10157.00000000
        NS
        USD
        757407.49000000
        0.089694636553
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99C485IF0 SWAPTION
        000000000
        
          
        
        13234000.00000000
        OU
        Notional Amount
        USD
        450850.62000000
        0.053391183787
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Call
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    13234000.00000000
                    OU
                    Notional Amount
                    N/A
                    450850.62000000
                    0.05000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2039-09-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  13234000.00000000
                  USD
                
              
            
            1.00000000
            1.92000000
            USD
            2029-09-20
            XXXX
            -264974.83000000
          
        
        
          N
          N
          N
        
      
      
        Stora Enso OYJ
        7437000ZP669LKUTZ738
        Stora Enso OYJ
        86210MAC0
        
          
        
        200000.00000000
        PA
        USD
        233881.76000000
        0.027697031963
        Long
        DBT
        CORP
        FI
        Y
        
        2
        
          2036-04-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UDR Inc
        P3CH2EG5X6Z1XWU1OO74
        UDR Inc
        902653104
        
          
        
        16647.00000000
        NS
        USD
        885786.87000000
        0.104897736578
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH919C4 IRS USD R F  2.53500 99NH919C4_FIX CCPVANILLA / Short: S9NH919C4 IRS USD P V 00MSOFR 99NH919C4_FLO CCPVANILLA
        000000000
        
          
        
        18693000.00000000
        OU
        Notional Amount
        USD
        -181652.97000000
        -0.02151193028
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-19
            0.00000000
            USD
            0.00000000
            USD
            18693000.00000000
            USD
            -181652.97000000
          
        
        
          N
          N
          N
        
      
      
        Guangshen Railway Co Ltd
        529900YIR2NSEPF1UU41
        Guangshen Railway Co Ltd
        000000000
        
          
        
        1214000.00000000
        NS
        
        202039.18000000
        0.023926130991
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        H.U. Group Holdings Inc
        N/A
        H.U. Group Holdings Inc
        000000000
        
          
        
        11600.00000000
        NS
        
        259090.27000000
        0.030682304979
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        DR Horton Inc
        529900ZIUEYVSB8QDD25
        DR Horton Inc
        23331A109
        
          
        
        1801.00000000
        NS
        USD
        125331.59000000
        0.014842170908
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SM Prime Holdings Inc
        254900SZK83MIAB8CU32
        SM Prime Holdings Inc
        000000000
        
          
        
        172600.00000000
        NS
        
        115368.35000000
        0.013662291909
        Long
        EC
        CORP
        PH
        N
        
        2
        
          N
          N
          N
        
      
      
        Paychex Inc
        529900K900DW6SUBM174
        Paychex Inc
        704326107
        
          
        
        2224.00000000
        NS
        USD
        281847.52000000
        0.033377291885
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99P071DH5 SWAPTION
        000000000
        
          
        
        -114807900.00000000
        OU
        Notional Amount
        USD
        -9211156.07000000
        -1.09081479500
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    114807900.00000000
                    OU
                    Notional Amount
                    N/A
                    -9211156.07000000
                    -1.09000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2041-04-17
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  114807900.00000000
                  USD
                
              
            
            1.00000000
            2.48250000
            USD
            2031-04-15
            XXXX
            -2047143.11000000
          
        
        
          N
          N
          N
        
      
      
        MarketAxess Holdings Inc
        5493002U1CA1XJOVID83
        MarketAxess Holdings Inc
        57060D108
        
          
        
        210.00000000
        NS
        USD
        55358.10000000
        0.006555684655
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382WSG3
        
          
        
        3890347.06000000
        PA
        USD
        507572.80000000
        0.060108407193
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-09-20
          Floating
          5.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Riyue Heavy Industry Co Ltd
        N/A
        Riyue Heavy Industry Co Ltd
        000000000
        
          
        
        57500.00000000
        NS
        
        140644.46000000
        0.016655570336
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        GREENLIGHT CAPITAL RE
        549300Q9HRIFA2BGHJ51
        Greenlight Capital Re Ltd
        395366AB3
        
          
        
        480000.00000000
        PA
        USD
        451440.00000000
        0.053460980067
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-08-01
          Fixed
          4.00000000
          N
          N
          N
          N
          Y
          
            
              Greenlight Capital Re Ltd
              Greenlight Capital Re Ltd
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        LX Holdings Corp
        N/A
        LX Holdings Corp
        000000000
        
          
        
        1012.00000000
        NS
        
        7937.34000000
        0.000939965389
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Continental AG
        529900A7YD9C0LLXM621
        Continental AG
        000000000
        
          
        
        25783.00000000
        NS
        
        1795163.95000000
        0.212589101871
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38383MH27
        
          
        
        6715823.60000000
        PA
        USD
        721496.38000000
        0.085441927144
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-20
          Floating
          5.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -1020.20000000
        -0.00012081537
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            3422434558.34000000
            COP
            860535.42000000
            USD
            2022-05-24
            -1020.20000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NG839G4 IRS USD R F  2.33650 99NG839G4_FIX CCPVANILLA / Short: S9NG839G4 IRS USD P V 00MSOFR 99NG839G4_FLO CCPVANILLA
        000000000
        
          
        
        6312500.00000000
        OU
        Notional Amount
        USD
        -118863.11000000
        -0.01407615265
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-31
            0.00000000
            USD
            0.00000000
            USD
            6312500.00000000
            USD
            -118863.11000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NJ659D2 IRS USD R V 00MSOFR 99NJ659D2_FLO CCPVANILLA / Short: B9NJ659D2 IRS USD P F  2.68900 99NJ659D2_FIX CCPVANILLA
        000000000
        
          
        
        4751700.00000000
        OU
        Notional Amount
        USD
        7414.55000000
        0.000878054912
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-26
            0.00000000
            USD
            0.00000000
            USD
            4751700.00000000
            USD
            7414.55000000
          
        
        
          N
          N
          N
        
      
      
        Otsuka Corp
        529900RG9DJ58J3UIE72
        Otsuka Corp
        000000000
        
          
        
        19200.00000000
        NS
        
        630319.37000000
        0.074644451700
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WYN2
        
          
        
        1812784.89000000
        PA
        USD
        201062.86000000
        0.023810512029
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          5.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IQVIA INC
        549300PLWY28YB00C717
        IQVIA Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        92118.68000000
        0.010908991040
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2029-03-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRY GARDEN HLDGS
        549300MGHLPT1EFHGF84
        Country Garden Holdings Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        127000.00000000
        0.015039749398
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2030-01-14
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BGH53
        
          
        
        4764080.79000000
        PA
        USD
        728803.84000000
        0.086307300113
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bellway PLC
        213800CY4L3HST4FGZ98
        Bellway PLC
        000000000
        
          
        
        5601.00000000
        NS
        
        169375.88000000
        0.020058037711
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        STORA ENSO OYJ
        7437000ZP669LKUTZ738
        Stora Enso OYJ
        000000000
        
          
        
        150000.00000000
        PA
        USD
        175411.32000000
        0.020772773972
        Long
        DBT
        CORP
        FI
        Y
        
        2
        
          2036-04-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287Y109
        
          
        
        3719.00000000
        NS
        USD
        546246.72000000
        0.064688297470
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of New York Mellon
        HPFHU0OQ28E4N0NFVK49
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -18669.06000000
        -0.00221085026
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Bank of New York Mellon
              HPFHU0OQ28E4N0NFVK49
            
            413063.47000000
            USD
            313646.83000000
            GBP
            2022-06-09
            -18669.06000000
          
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        197677AH0
        
          
        
        221000.00000000
        PA
        USD
        256083.75000000
        0.030326263189
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2095-11-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tractor Supply Co
        549300OJ9VZHZRO6I137
        Tractor Supply Co
        892356106
        
          
        
        1009.00000000
        NS
        USD
        203263.05000000
        0.024071065622
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Universal Health Services Inc
        549300YGMGQDO0NMJD09
        Universal Health Services Inc
        913903100
        
          
        
        1003.00000000
        NS
        USD
        122897.59000000
        0.014553928781
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        55342UAL8
        
          
        
        397000.00000000
        PA
        
        467016.89000000
        0.055305645595
        Long
        DBT
        
        US
        N
        
        2
        
          2028-06-05
          Fixed
          3.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH919J9 IRS USD R F  2.62200 99NH919J9_FIX CCPVANILLA / Short: S9NH919J9 IRS USD P V 00MSOFR 99NH919J9_FLO CCPVANILLA
        000000000
        
          
        
        5937000.00000000
        OU
        Notional Amount
        USD
        -40582.07000000
        -0.00480585955
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-20
            0.00000000
            USD
            0.00000000
            USD
            5937000.00000000
            USD
            -40582.07000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AWLG0
        
          
        
        3304762.74000000
        PA
        USD
        594043.33000000
        0.070348526103
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fukuda Corp
        N/A
        Fukuda Corp
        000000000
        
          
        
        2600.00000000
        NS
        
        91936.02000000
        0.010887359854
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Commonwealth Bank of Australia
        MSFSBD3QN1GSN7Q6C537
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        162368.34000000
        0.019228182235
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Commonwealth Bank of Australia
              MSFSBD3QN1GSN7Q6C537
            
            6354994.41000000
            AUD
            4655471.90000000
            USD
            2022-06-09
            162368.34000000
          
        
        
          N
          N
          N
        
      
      
        MILLICOM INTL CELLULAR
        549300CTHC1CP86P2G96
        Millicom International Cellular SA
        000000000
        
          
        
        200000.00000000
        PA
        USD
        173105.00000000
        0.020499652123
        Long
        DBT
        CORP
        LU
        
        Y
        
        2
        
          2031-04-27
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        nVent Electric PLC
        N/A
        nVent Electric PLC
        000000000
        
          
        
        34446.00000000
        NS
        USD
        1163585.88000000
        0.137795590859
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Barclays Bank PLC
        06738C828
        
          
        
        120000.00000000
        PA
        USD
        148500.00000000
        0.017585848706
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2034-12-15
          Fixed
          6.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BFUH4
        
          
        
        1544087.38000000
        PA
        USD
        315493.18000000
        0.037361719403
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH849G0 IRS USD R F  2.44800 99NH849G0_FIX CCPVANILLA / Short: S9NH849G0 IRS USD P V 00MSOFR 99NH849G0_FLO CCPVANILLA
        000000000
        
          
        
        28767000.00000000
        OU
        Notional Amount
        USD
        -650971.32000000
        -0.07709012219
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-18
            0.00000000
            USD
            0.00000000
            USD
            28767000.00000000
            USD
            -650971.32000000
          
        
        
          N
          N
          N
        
      
      
        NEW MOUNTAIN FINANCE COR
        549300L1MPTT1H7SES77
        New Mountain Finance Corp
        647551AC4
        
          
        
        2390000.00000000
        PA
        USD
        2449750.00000000
        0.290107292044
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-15
          Fixed
          5.75000000
          N
          N
          N
          N
          N
          
            
              New Mountain Finance Corp
              New Mountain Finance Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Ventas Inc
        ORQTRC074CWLT3DKHT41
        Ventas Inc
        92276F100
        
          
        
        3128.00000000
        NS
        USD
        173760.40000000
        0.020577266704
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        AngloGold Ashanti Ltd
        378900EF3BA9A5F42A59
        AngloGold Ashanti Ltd
        035128206
        
          
        
        43260.00000000
        NS
        USD
        883369.20000000
        0.104611428303
        Long
        EC
        CORP
        ZA
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EFD4
        
          
        
        5341638.20000000
        PA
        USD
        690222.98000000
        0.081738430302
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-05-20
          Floating
          5.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        China Communications Services Corp Ltd
        529900JCDRVQE6YZKT86
        China Communications Services Corp Ltd
        000000000
        
          
        
        1628886.00000000
        NS
        
        737977.94000000
        0.087393726609
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UD49
        
          
        
        6441949.49000000
        PA
        USD
        420743.05000000
        0.049825748293
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-08-20
          Variable
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Daiwa House REIT Investment Corp
        3538001FWU534P8JMO05
        Daiwa House REIT Investment Corp
        000000000
        
          
        
        68.00000000
        NS
        
        164966.93000000
        0.019535915640
        Long
        EC
        
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Venator Materials PLC
        549300WFXC4YL5IHX316
        Venator Materials PLC
        000000000
        
          
        
        211891.00000000
        NS
        USD
        394117.26000000
        0.046672636410
        Long
        EC
        CORP
        GB
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RQ66
        
          
        
        1602294.71000000
        PA
        USD
        139686.45000000
        0.016542119703
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-12-20
          Variable
          2.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAP SE
        529900D6BF99LW9R2E68
        SAP SE
        000000000
        
          
        
        2522.00000000
        NS
        
        260126.77000000
        0.030805050651
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        CHEGG INC
        549300AKX7O8JG0O3G77
        Chegg Inc
        163092AF6
        
          
        
        1857000.00000000
        PA
        USD
        1441032.00000000
        0.170651654768
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          None
          0.00000000
          N
          N
          N
          N
          Y
          
            
              Chegg Inc
              Chegg Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381XTX4
        
          
        
        157306.62000000
        PA
        USD
        16403.95000000
        0.001942608638
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        10932.46000000
        0.001294657155
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            8259101.24000000
            USD
            81129159.77000000
            SEK
            2022-06-09
            10932.46000000
          
        
        
          N
          N
          N
        
      
      
        GRAPHIC PACKAGING INTERN
        SO75N4VY5NXGQSK8YQ65
        Graphic Packaging International LLC
        000000000
        
          
        
        100000.00000000
        PA
        
        95710.02000000
        0.011334289100
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2029-02-01
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FVQ47
        
          
        
        4799033.85000000
        PA
        USD
        853140.56000000
        0.101031655309
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378TNU0
        
          
        
        360893.44000000
        PA
        USD
        63366.68000000
        0.007504086515
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAJ0
        
          
        
        5665700.00000000
        PA
        USD
        5185443.43000000
        0.614076926839
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-08-31
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RC87
        
          
        
        4655559.80000000
        PA
        USD
        204202.16000000
        0.024182278055
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-10-20
          Variable
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        000000000
        
          
        
        200000.00000000
        PA
        USD
        160500.00000000
        0.019006927389
        Long
        DBT
        CORP
        CH
        Y
        
        2
        
          2030-09-03
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Thermo Fisher Scientific Inc
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556102
        
          
        
        409.00000000
        NS
        USD
        226144.28000000
        0.026780734639
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Costco Wholesale Corp
        29DX7H14B9S6O3FD6V18
        Costco Wholesale Corp
        22160K105
        
          
        
        1052.00000000
        NS
        USD
        559369.44000000
        0.066242332274
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99P142AH7 SWAPTION
        000000000
        
          
        
        -4761900.00000000
        OU
        Notional Amount
        USD
        -855250.10000000
        -0.10128147383
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    4761900.00000000
                    OU
                    Notional Amount
                    N/A
                    -855250.10000000
                    -0.10000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2051-01-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4761900.00000000
                  USD
                
              
            
            1.00000000
            1.91800000
            USD
            2031-01-22
            XXXX
            -285726.86000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A2R62
        
          
        
        1525348.55000000
        PA
        USD
        100970.75000000
        0.011957281705
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-25
          Floating
          5.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RK62
        
          
        
        6902991.62000000
        PA
        USD
        520776.18000000
        0.061671994016
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-12-20
          Variable
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBR1
        
          
        
        717000.00000000
        PA
        USD
        685323.16000000
        0.081158177823
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-03-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ferguson PLC
        213800DU1LGY3R2S2X42
        Ferguson PLC
        000000000
        
          
        
        1410.00000000
        NS
        
        177820.02000000
        0.021058019991
        Long
        EC
        CORP
        JE
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B5ZL2
        
          
        
        2578596.29000000
        PA
        USD
        317635.10000000
        0.037615372474
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        681136.12000000
        0.080662335049
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            719200012.00000000
            JPY
            6230778.00000000
            USD
            2022-06-15
            681136.12000000
          
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        AUST 10Y BOND FUT JUN22
        000000000
        
          
        
        438.00000000
        NC
        
        -2323469.61000000
        -0.27515276118
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                SFE 10 Year Australian Bond Future
                XMM2 COMDTY
              
            
            2022-06-15
            57661690.86000000
            AUD
            -2323469.61000000
          
        
        
          N
          N
          N
        
      
      
        Donaldson Co Inc
        OZE6KXY9QQPR8EJ8WL20
        Donaldson Co Inc
        257651109
        
          
        
        1575.00000000
        NS
        USD
        77238.00000000
        0.009146772945
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382QS92
        
          
        
        3388211.11000000
        PA
        USD
        449794.51000000
        0.053266115837
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Uber Technologies, Inc.
        549300B2FTG34FILDR98
        Uber Technologies Inc
        90353T100
        
          
        
        59878.00000000
        NS
        USD
        1884959.44000000
        0.223222973263
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Aeroports de Paris
        969500PJMBSFHYC37989
        Aeroports de Paris
        000000000
        
          
        
        2016.00000000
        NS
        
        285023.91000000
        0.033753450228
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        CLP Holdings Ltd
        25490002BUTSMP94GO68
        CLP Holdings Ltd
        000000000
        
          
        
        22500.00000000
        NS
        
        219028.46000000
        0.025938056296
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        SOLVAY SA
        549300MMVL80RTBP3O28
        Solvay SA
        000000000
        
          
        
        300000.00000000
        PA
        
        291166.27000000
        0.034480848300
        Long
        DBT
        CORP
        BE
        Y
        
        2
        
          2025-12-02
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        99P757GY9 PUTNAM
        000000000
        
          
        
        130000000.00000000
        OU
        Notional Amount
        USD
        1078187.50000000
        0.127682439408
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Purchased
            
              
                
                  
                    Barclays Bank PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    Barclays Bank PLC
                    G5GSEF7VJP5I7OUK5573
                    IRS Swap
                    N/A
                    
                      
                    
                    130000000.00000000
                    OU
                    Notional Amount
                    N/A
                    1078187.50000000
                    0.13000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2024-07-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  130000000.00000000
                  USD
                
              
            
            1.00000000
            2.65000000
            USD
            2022-07-07
            XXXX
            442920.84000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376UEA3
        
          
        
        193012.83000000
        PA
        USD
        13082.49000000
        0.001549270638
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Green Plains Inc
        VJ5WLTHARBSDR14KIZ98
        Green Plains Inc
        393222104
        
          
        
        5495.00000000
        NS
        USD
        154244.65000000
        0.018266148677
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hyundai Mobis Co Ltd
        988400HJA9E0ZVDHRS65
        Hyundai Mobis Co Ltd
        000000000
        
          
        
        444.00000000
        NS
        
        72524.28000000
        0.008588559027
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        KT&G Corp
        988400ZJV6ISYBLQX875
        KT&G Corp
        000000000
        
          
        
        2178.00000000
        NS
        
        142991.50000000
        0.016933514379
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Cognizant Technology Solutions Corp
        5493006IEVQEFQO40L83
        Cognizant Technology Solutions Corp
        192446102
        
          
        
        2834.00000000
        NS
        USD
        229270.60000000
        0.027150963531
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG839C3 IRS USD R V 00MSOFR 99NG839C3_FLO CCPVANILLA / Short: B9NG839C3 IRS USD P F  2.26135 99NG839C3_FIX CCPVANILLA
        000000000
        
          
        
        7498000.00000000
        OU
        Notional Amount
        USD
        286405.60000000
        0.033917074412
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-30
            0.00000000
            USD
            0.00000000
            USD
            7498000.00000000
            USD
            286405.60000000
          
        
        
          N
          N
          N
        
      
      
        AddTech AB
        549300QZ5U2IDRHPWL60
        AddTech AB
        000000000
        
          
        
        26274.00000000
        NS
        
        463341.12000000
        0.054870349062
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BH6Q5
        
          
        
        1625586.98000000
        PA
        USD
        266710.38000000
        0.031584702970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        28370TAF6
        
          
        
        290000.00000000
        PA
        USD
        259355.05000000
        0.030713661081
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-11-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MHP SE
        213800D7DXFXGA292757
        MHP SE
        55302T204
        
          
        
        69777.00000000
        NS
        USD
        309147.49000000
        0.036610242337
        Long
        EC
        CORP
        CY
        
        Y
        
        2
        
          N
          N
          N
        
      
      
        CLEARWAY ENERGY OP LLC
        549300Z3NFMM54NWBB87
        Clearway Energy Operating LLC
        18539UAD7
        
          
        
        61000.00000000
        PA
        USD
        52460.00000000
        0.006212482310
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2031-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Grupo Aeroportuario del Sureste SAB de CV
        5299001W7JIDXCUOUC82
        Grupo Aeroportuario del Sureste SAB de CV
        000000000
        
          
        
        20560.00000000
        NS
        
        448720.12000000
        0.053138883110
        Long
        EC
        CORP
        MX
        N
        
        1
        
          N
          N
          N
        
      
      
        Teladoc Health Inc
        549300I2PVFBC9MFAC61
        Teladoc Health Inc
        87918A105
        
          
        
        14936.00000000
        NS
        USD
        504239.36000000
        0.059713650483
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6244968  CDS USD R F  5.00000 26244968_FEE CCPCORPORATE / Short: S6244968  CDS USD P V 03MEVENT 26244968_PRO CCPCORPORATE
        000000000
        
          
        
        268000.00000000
        OU
        Notional Amount
        USD
        19645.31000000
        0.002326460939
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                KB HOME
                KB HOME
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            33280.99000000
            USD
            0.00000000
            USD
            268000.00000000
            USD
            -13635.68000000
          
        
        
          N
          N
          N
        
      
      
        Thai Beverage PCL
        529900VZFHQZ684D8L07
        Thai Beverage PCL
        000000000
        
          
        
        1435161.00000000
        NS
        
        707377.31000000
        0.083769901360
        Long
        EC
        CORP
        TH
        N
        
        2
        
          N
          N
          N
        
      
      
        Arch Capital Group Ltd
        549300AYR4P8AFKDCE43
        Arch Capital Group Ltd
        000000000
        
          
        
        3997.00000000
        NS
        USD
        182542.99000000
        0.021617329323
        Long
        EC
        CORP
        BM
        
        N
        
        1
        
          N
          N
          N
        
      
      
        3M Co
        LUZQVYP4VS22CLWDAR65
        3M Co
        88579Y101
        
          
        
        1343.00000000
        NS
        USD
        193687.46000000
        0.022937093386
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NJ659K6 IRS USD R V 00MSOFR 99NJ659K6_FLO CCPVANILLA / Short: B9NJ659K6 IRS USD P F  2.70300 99NJ659K6_FIX CCPVANILLA
        000000000
        
          
        
        11821000.00000000
        OU
        Notional Amount
        USD
        4962.46000000
        0.000587670510
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-04-25
            0.00000000
            USD
            0.00000000
            USD
            11821000.00000000
            USD
            4962.46000000
          
        
        
          N
          N
          N
        
      
      
        NIKE Inc
        787RXPR0UX0O0XUXPZ81
        NIKE Inc
        654106103
        
          
        
        2126.00000000
        NS
        USD
        265112.20000000
        0.031395441342
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Agilent Technologies Inc
        QUIX8Y7A2WP0XRMW7G29
        Agilent Technologies Inc
        00846U101
        
          
        
        1571.00000000
        NS
        USD
        187373.17000000
        0.022189334809
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BQNH6
        
          
        
        3369643.44000000
        PA
        USD
        402518.40000000
        0.047667526491
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-15
          Floating
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LORCA TELECOM BONDCO
        9598004HFBAS82YM7X35
        Lorca Telecom Bondco SA
        000000000
        
          
        
        100000.00000000
        PA
        
        96562.76000000
        0.011435273320
        Long
        DBT
        CORP
        ES
        Y
        
        2
        
          2027-09-18
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Owens Corning
        JO5M6676RDJIZ2U8X907
        Owens Corning
        690742101
        
          
        
        4634.00000000
        NS
        USD
        421369.62000000
        0.049899948732
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Seaboard Corp
        87Q3KOXT29OW9W9YPT70
        Seaboard Corp
        811543107
        
          
        
        118.00000000
        NS
        USD
        498548.82000000
        0.059039758392
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG289R5 IRS USD R V 03MLIBOR 99NG289R5_FLO CCPVANILLA / Short: B9NG289R5 IRS USD P F  2.27500 99NG289R5_FIX CCPVANILLA
        000000000
        
          
        
        5398000.00000000
        OU
        Notional Amount
        USD
        387583.31000000
        0.045898864988
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2055-03-25
            0.00000000
            USD
            0.00000000
            USD
            5398000.00000000
            USD
            387583.31000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NF319H3 IRS USD R V 00MSOFR 99NF319H3_FLO CCPVANILLA / Short: B9NF319H3 IRS USD P F  1.68600 99NF319H3_FIX CCPVANILLA
        000000000
        
          
        
        8491000.00000000
        OU
        Notional Amount
        USD
        744481.03000000
        0.088163843490
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-02
            0.00000000
            USD
            0.00000000
            USD
            8491000.00000000
            USD
            744481.03000000
          
        
        
          N
          N
          N
        
      
      
        Americold Realty Trust
        549300R7N1V5YV8MWH02
        Americold Realty Trust
        03064D108
        
          
        
        12569.00000000
        NS
        USD
        331570.22000000
        0.039265614306
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Shanghai MicroPort MedBot Group Co Ltd
        N/A
        Shanghai MicroPort MedBot Group Co Ltd
        000000000
        
          
        
        41000.00000000
        NS
        
        145137.77000000
        0.017187682591
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Micron Technology Inc
        B3DXGBC8GAIYWI2Z0172
        Micron Technology Inc
        595112103
        
          
        
        8940.00000000
        NS
        USD
        609618.60000000
        0.072192999785
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99C199EY0 PUTNAM
        000000000
        
          
        
        2537800.00000000
        OU
        Notional Amount
        USD
        8.83000000
        0.000001045677
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Call
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    2537800.00000000
                    OU
                    Notional Amount
                    N/A
                    8.83000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-05-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2537800.00000000
                  USD
                
              
            
            1.00000000
            1.76900000
            USD
            2022-05-09
            XXXX
            -39301.69000000
          
        
        
          N
          N
          N
        
      
      
        Cornerstone Building Brands Inc
        549300IW41QEWQ6T0H29
        Cornerstone Building Brands Inc
        21925D109
        
          
        
        35316.00000000
        NS
        USD
        861357.24000000
        0.102004701042
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SOUTHERN CO
        549300FC3G3YU2FBZD92
        Southern Co/The
        000000000
        
          
        
        100000.00000000
        PA
        
        89537.64000000
        0.010603335963
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2081-09-15
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        DJ US REAL ESTATE JUN22
        000000000
        
          
        
        742.00000000
        NC
        USD
        325760.71000000
        0.038577633404
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT Dow Jones US Real Estate Future
                DJEM2 INDEX
              
            
            2022-06-17
            29510059.29000000
            USD
            325760.71000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WUN6
        
          
        
        194802.77000000
        PA
        USD
        18467.54000000
        0.002186985618
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          5.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KBR Inc
        254900OFQDXZRKRCV808
        KBR Inc
        48242W106
        
          
        
        18095.00000000
        NS
        USD
        890816.85000000
        0.105493403025
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        H&R Block Inc
        549300CE3KUCWLZBG404
        H&R Block Inc
        093671105
        
          
        
        14990.00000000
        NS
        USD
        390789.30000000
        0.046278528659
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BG4J5
        
          
        
        1048473.28000000
        PA
        USD
        138156.80000000
        0.016360973619
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First American Financial Corp
        549300B6VEZK3N0A1P55
        First American Financial Corp
        31847R102
        
          
        
        2298.00000000
        NS
        USD
        133996.38000000
        0.015868283271
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Pacific Basin Shipping Ltd
        254900LNPK737X4Y3V26
        Pacific Basin Shipping Ltd
        000000000
        
          
        
        1299000.00000000
        NS
        
        598273.02000000
        0.070849419628
        Long
        EC
        CORP
        BM
        
        N
        
        2
        
          N
          N
          N
        
      
      
        NY COMMUNITY CAP TRUST V
        N/A
        New York Community Capital Trust V
        64944P307
        
          
        
        7944.00000000
        NS
        USD
        385284.00000000
        0.045626573286
        Long
        EP
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BHDN6
        
          
        
        4535338.63000000
        PA
        USD
        793343.20000000
        0.093950259174
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mitsui Fudosan Co Ltd
        353800ND4ZKNZDYKMF33
        Mitsui Fudosan Co Ltd
        000000000
        
          
        
        30000.00000000
        NS
        
        633020.17000000
        0.074964289142
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        CNA Financial Corp
        549300YX2GSZD7YG1R84
        CNA Financial Corp
        126117100
        
          
        
        3673.00000000
        NS
        USD
        174247.12000000
        0.020634905655
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375U3K4
        
          
        
        3329251.32000000
        PA
        USD
        270864.56000000
        0.032076654357
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2068-01-20
          Variable
          2.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEOLIA ENVIRONNEMENT SA
        969500LENY69X51OOT31
        Veolia Environnement SA
        000000000
        
          
        
        100000.00000000
        PA
        
        91793.33000000
        0.010870462044
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2029-01-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AutoStore Holdings Ltd
        549300KYN3M0LSM5A413
        AutoStore Holdings Ltd
        000000000
        
          
        
        167514.00000000
        NS
        
        380017.00000000
        0.045002838167
        Long
        EC
        CORP
        BM
        
        N
        
        2
        
          N
          N
          N
        
      
      
        ENLINK MIDSTREAM PARTNER
        88CPW63VL7KHJWS0NY83
        EnLink Midstream Partners LP
        29336UAG2
        
          
        
        72000.00000000
        PA
        USD
        58320.00000000
        0.006906442401
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-06-01
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        99C756GY5 PUTNAM
        000000000
        
          
        
        -130000000.00000000
        OU
        Notional Amount
        USD
        -357994.00000000
        -0.04239480351
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            Call
            Written
            
              
                
                  
                    Barclays Bank PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    Barclays Bank PLC
                    G5GSEF7VJP5I7OUK5573
                    IRS Swap
                    N/A
                    
                      
                    
                    130000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -357994.00000000
                    -0.04000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2024-07-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  130000000.00000000
                  USD
                
              
            
            1.00000000
            2.65000000
            USD
            2022-07-07
            XXXX
            270772.66000000
          
        
        
          N
          N
          N
        
      
      
        Randstad NV
        7245009EAAUUQJ0U4T57
        Randstad NV
        000000000
        
          
        
        1284.00000000
        NS
        
        67896.61000000
        0.008040535428
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        Novo Nordisk A/S
        549300DAQ1CVT6CXN342
        Novo Nordisk A/S
        000000000
        
          
        
        18346.00000000
        NS
        
        2098267.97000000
        0.248483657009
        Long
        EC
        CORP
        DK
        N
        
        2
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042665
        
          
        
        55000000.00000000
        PA
        USD
        55660765.60000000
        6.591527291077
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-13
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376R2Q8
        
          
        
        4103606.86000000
        PA
        USD
        213632.54000000
        0.025299054055
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-03-20
          Variable
          1.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617M6FK1
        
          
        
        27219.23000000
        PA
        USD
        28174.66000000
        0.003336534061
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chubb Ltd
        E0JAN6VLUDI1HITHT809
        Chubb Ltd
        000000000
        
          
        
        1286.00000000
        NS
        USD
        265494.70000000
        0.031440738225
        Long
        EC
        CORP
        CH
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ATFQ2
        
          
        
        2634673.93000000
        PA
        USD
        402836.90000000
        0.047705244287
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-25
          Floating
          5.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617K4VA2
        
          
        
        72221.84000000
        PA
        USD
        74956.26000000
        0.008876561939
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTESA SANPAOLO SPA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        000000000
        
          
        
        250000.00000000
        PA
        
        209684.55000000
        0.024831520352
        Long
        DBT
        CORP
        IT
        Y
        
        2
        
          2030-02-27
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED PLN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -199871.20000000
        -0.02366939181
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            2175561.71000000
            USD
            8778150.01000000
            PLN
            2022-05-24
            -199871.20000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380XKS5
        
          
        
        1808796.55000000
        PA
        USD
        221125.74000000
        0.026186422954
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-20
          Floating
          5.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Park24 Co Ltd
        549300LFG2WZWCWM4M68
        Park24 Co Ltd
        000000000
        
          
        
        37400.00000000
        NS
        
        533565.69000000
        0.063186569018
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        000000000
        
          
        
        200000.00000000
        PA
        USD
        169642.00000000
        0.020089552500
        Long
        DBT
        CORP
        MX
        Y
        
        2
        
          2031-07-11
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Severn Trent PLC
        213800RPBXRETY4A4C59
        Severn Trent PLC
        000000000
        
          
        
        3757.00000000
        NS
        
        147947.79000000
        0.017520454218
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380LT45
        
          
        
        14915873.92000000
        PA
        USD
        755160.86000000
        0.089428583386
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2070-01-20
          Variable
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Samsung Electronics Co Ltd
        9884007ER46L6N7EI764
        Samsung Electronics Co Ltd
        000000000
        
          
        
        46006.00000000
        NS
        
        2444488.04000000
        0.289484153778
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RJD9
        
          
        
        1037557.67000000
        PA
        USD
        47623.90000000
        0.005639775758
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2065-09-20
          Variable
          1.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        British Land Co PLC/The
        RV5B68J2GV3QGMRPW209
        British Land Co PLC/The
        000000000
        
          
        
        37359.00000000
        NS
        
        239575.26000000
        0.028371274586
        Long
        EC
        
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        VEECO INSTRUMENTS INC
        5493004201F72ADDZW04
        Veeco Instruments Inc
        922417AD2
        
          
        
        1263000.00000000
        PA
        USD
        1260867.20000000
        0.149315958370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          2.70000000
          N
          N
          N
          N
          Y
          
            
              Veeco Instruments Inc
              Veeco Instruments Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6697485  CDS USD R F  5.00000 26697485_FEE CCPCORPORATE / Short: S6697485  CDS USD P V 03MEVENT 26697485_PRO CCPCORPORATE
        000000000
        
          
        
        139000.00000000
        OU
        Notional Amount
        USD
        2682.97000000
        0.000317725956
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GOODYEAR TIRE & RUBBER
                GOODYEAR TIRE & RUBBER
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            3908.85000000
            USD
            0.00000000
            USD
            139000.00000000
            USD
            -1225.88000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -8872.93000000
        -0.00105076097
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            2061921630.00000000
            COP
            510190.37000000
            USD
            2022-05-24
            -8872.93000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F040669
        
          
        
        -17000000.00000000
        PA
        USD
        -16847929.56000000
        -1.99518612968
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-13
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hang Seng Bank Ltd
        5493009Z5F07LWZYMK62
        Hang Seng Bank Ltd
        000000000
        
          
        
        11900.00000000
        NS
        
        210123.57000000
        0.024883510516
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        TAYLOR MORRISON COMM
        549300O1Z08HI2MRK572
        Taylor Morrison Communities Inc
        87724RAA0
        
          
        
        255000.00000000
        PA
        USD
        253133.40000000
        0.029976873231
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2027-06-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        4722.74000000
        0.000559282095
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1957492.24000000
            CAD
            1528329.64000000
            USD
            2022-06-15
            4722.74000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382DPH6
        
          
        
        2704690.23000000
        PA
        USD
        453382.35000000
        0.053690999415
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-03-16
          Variable
          3.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38383AA95
        
          
        
        5911270.78000000
        PA
        USD
        807085.90000000
        0.095577714009
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Iberdrola SA
        5QK37QC7NWOJ8D7WVQ45
        Iberdrola SA
        000000000
        
          
        
        52858.00000000
        NS
        
        603940.92000000
        0.071520630617
        Long
        EC
        CORP
        ES
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377YYF1
        
          
        
        2243146.69000000
        PA
        USD
        434569.07000000
        0.051463070151
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-04-16
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sumitomo Heavy Industries Ltd
        353800VSTEIRMBC3S374
        Sumitomo Heavy Industries Ltd
        000000000
        
          
        
        19900.00000000
        NS
        
        420392.31000000
        0.049784212531
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        KLABIN AUSTRIA GMBH
        984500578YEA8DD41B09
        Klabin Austria GmbH
        000000000
        
          
        
        200000.00000000
        PA
        USD
        158702.00000000
        0.018794002433
        Long
        DBT
        CORP
        AT
        
        Y
        
        2
        
          2031-01-12
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DBS Group Holdings Ltd
        5493007FKT78NKPM5V55
        DBS Group Holdings Ltd
        000000000
        
          
        
        23530.00000000
        NS
        
        569924.31000000
        0.067492274005
        Long
        EC
        CORP
        SG
        N
        
        2
        
          N
          N
          N
        
      
      
        Xcel Energy Inc
        LGJNMI9GH8XIDG5RCM61
        Xcel Energy Inc
        98389B100
        
          
        
        5436.00000000
        NS
        USD
        398241.36000000
        0.047161025626
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Glenmark Life Sciences Ltd
        335800RYVA1DKP696G32
        Glenmark Life Sciences Ltd
        000000000
        
          
        
        11314.00000000
        NS
        
        69996.18000000
        0.008289173276
        Long
        EC
        CORP
        IN
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BF3U5
        
          
        
        2481452.10000000
        PA
        USD
        464416.42000000
        0.054997689554
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH069K4 IRS USD R V 00MSOFR 99NH069K4_FLO CCPVANILLA / Short: B9NH069K4 IRS USD P F  2.13700 99NH069K4_FIX CCPVANILLA
        000000000
        
          
        
        4696000.00000000
        OU
        Notional Amount
        USD
        230505.74000000
        0.027297232791
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-05
            0.00000000
            USD
            0.00000000
            USD
            4696000.00000000
            USD
            230505.74000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BGV99
        
          
        
        5373237.06000000
        PA
        USD
        531762.41000000
        0.062973018788
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prosperity Bancshares Inc
        N/A
        Prosperity Bancshares Inc
        743606105
        
          
        
        2638.00000000
        NS
        USD
        172472.44000000
        0.020424742329
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Japan Petroleum Exploration Co Ltd
        549300WXUNBZ356DMN17
        Japan Petroleum Exploration Co Ltd
        000000000
        
          
        
        7400.00000000
        NS
        
        146009.97000000
        0.017290971326
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AP4N9
        
          
        
        1768888.19000000
        PA
        USD
        413286.75000000
        0.048942749211
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CATALENT PHARMA SOLUTION
        549300HALRZ339MSTH85
        Catalent Pharma Solutions Inc
        000000000
        
          
        
        150000.00000000
        PA
        
        139253.43000000
        0.016490840079
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2028-03-01
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cosel Co Ltd
        N/A
        Cosel Co Ltd
        000000000
        
          
        
        12200.00000000
        NS
        
        71112.57000000
        0.008421379778
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Hyundai Department Store Co Ltd
        N/A
        Hyundai Department Store Co Ltd
        000000000
        
          
        
        1347.00000000
        NS
        
        80267.73000000
        0.009505563338
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        7378.11000000
        0.000873739570
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            150000.00000000
            EUR
            165932.16000000
            USD
            2022-06-15
            7378.11000000
          
        
        
          N
          N
          N
        
      
      
        OSI SYSTEMS INC
        DDX3MPX1Y8YD30050X33
        OSI Systems Inc
        671044AD7
        
          
        
        1439000.00000000
        PA
        USD
        1430941.60000000
        0.169456717072
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-01
          Fixed
          1.25000000
          N
          N
          N
          N
          Y
          
            
              OSI Systems Inc
              OSI Systems Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        32701.45000000
        0.003872611125
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            415966079.00000000
            CLP
            516376.08000000
            USD
            2022-06-14
            32701.45000000
          
        
        
          N
          N
          N
        
      
      
        Cheniere Energy Inc
        MIHC87W9WTYSYZWV1J40
        Cheniere Energy Inc
        16411R208
        
          
        
        4949.00000000
        NS
        USD
        672123.69000000
        0.079595054035
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BICO Group AB
        549300FE4PT8NDXXNK85
        BICO Group AB
        000000000
        
          
        
        22522.00000000
        NS
        
        226294.79000000
        0.026798558518
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          
        
      
      
        Ping An Bank Co Ltd
        549300W9MKNIVWXFM679
        Ping An Bank Co Ltd
        000000000
        
          
        
        106200.00000000
        NS
        
        244802.67000000
        0.028990321330
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Mosaic Co/The
        2YD5STGSJNMUB7H76907
        Mosaic Co/The
        61945C103
        
          
        
        8969.00000000
        NS
        USD
        559844.98000000
        0.066298647254
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379TLM9
        
          
        
        959843.31000000
        PA
        USD
        145046.91000000
        0.017176922657
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOZART DEBT MERGER SUB
        N/A
        Mozart Debt Merger Sub Inc
        62482BAA0
        
          
        
        106000.00000000
        PA
        USD
        92618.56000000
        0.010968188441
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2029-04-01
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030N101
        
          
        
        8829.00000000
        NS
        USD
        351041.04000000
        0.041571411576
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380HHH8
        
          
        
        454441.34000000
        PA
        USD
        52868.71000000
        0.006260883066
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD HKD
        000000000
        
          
        
        1.00000000
        NC
        
        6481.21000000
        0.000767525781
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            15727320.00000000
            HKD
            2012532.81000000
            USD
            2022-06-15
            6481.21000000
          
        
        
          N
          N
          N
        
      
      
        Qorvo Inc
        254900YAUJV2EUEVBR11
        Qorvo Inc
        74736K101
        
          
        
        556.00000000
        NS
        USD
        63261.68000000
        0.007491652076
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382FT95
        
          
        
        3156904.45000000
        PA
        USD
        438806.25000000
        0.051964850666
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-06-20
          Floating
          5.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BDVY1
        
          
        
        2656912.46000000
        PA
        USD
        500340.46000000
        0.059251930176
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380LDW0
        
          
        
        5930984.44000000
        PA
        USD
        464716.35000000
        0.055033208232
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2068-06-20
          Variable
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH849P0 IRS USD R V 00MSOFR 99NH849P0_FLO CCPVANILLA / Short: B9NH849P0 IRS USD P F  2.43600 99NH849P0_FIX CCPVANILLA
        000000000
        
          
        
        3400000.00000000
        OU
        Notional Amount
        USD
        48700.58000000
        0.005767279675
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-19
            0.00000000
            USD
            0.00000000
            USD
            3400000.00000000
            USD
            48700.58000000
          
        
        
          N
          N
          N
        
      
      
        Amdocs Ltd
        549300HQV672RJ7RQV66
        Amdocs Ltd
        000000000
        
          
        
        3646.00000000
        NS
        USD
        290549.74000000
        0.034407836830
        Long
        EC
        CORP
        GG
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Atlantia SpA
        8156008DEC771409C487
        Atlantia SpA
        000000000
        
          
        
        17691.00000000
        NS
        
        419977.68000000
        0.049735110710
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        Adecoagro SA
        529900Q00UR5LFELO811
        Adecoagro SA
        000000000
        
          
        
        79597.00000000
        NS
        USD
        895466.25000000
        0.106043999960
        Long
        EC
        CORP
        LU
        
        N
        
        1
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Cash Management Bill
        912796V97
        
          
        
        2393000.00000000
        PA
        USD
        2391797.10000000
        0.283244322808
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        7895.48000000
        0.000935008193
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            8244486.00000000
            SEK
            848488.83000000
            USD
            2022-06-15
            7895.48000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FGKG9
        
          
        
        1920341.44000000
        PA
        USD
        304762.99000000
        0.036091015713
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-15
          Floating
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379JUR0
        
          
        
        214293.34000000
        PA
        USD
        4719.62000000
        0.000558912614
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2037-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP HOLDINGS NV
        549300SZYINBBLJQU475
        AerCap Holdings NV
        00774YAA7
        
          
        
        300000.00000000
        PA
        USD
        281250.00000000
        0.033306531640
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2079-10-10
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dexus
        N/A
        Dexus
        000000000
        
          
        
        34769.00000000
        NS
        
        270919.64000000
        0.032083177108
        Long
        EC
        
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        United Urban Investment Corp
        353800GYZWBD7BDCN841
        United Urban Investment Corp
        000000000
        
          
        
        167.00000000
        NS
        
        182007.66000000
        0.021553933819
        Long
        EC
        
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Toray Industries Inc
        35380099TCYR5FHT0A11
        Toray Industries Inc
        000000000
        
          
        
        254800.00000000
        NS
        
        1211742.30000000
        0.143498429353
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376R7E0
        
          
        
        8888986.34000000
        PA
        USD
        790453.11000000
        0.093608005400
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-09-20
          Variable
          2.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura Real Estate Holdings Inc
        N/A
        Nomura Real Estate Holdings Inc
        000000000
        
          
        
        9200.00000000
        NS
        
        223088.77000000
        0.026418891295
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        ARDAGH PKG FIN/HLDGS USA
        N/A
        Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
        000000000
        
          
        
        484000.00000000
        PA
        
        521899.50000000
        0.061805021191
        Long
        DBT
        CORP
        XX
        
        Y
        
        2
        
          2027-07-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Seabridge Gold Inc
        9845003FEO1A66376A92
        Seabridge Gold Inc
        811916105
        
          
        
        35889.00000000
        NS
        
        634444.55000000
        0.075132968814
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Toho Holdings Co Ltd
        353800Z8BQ3ZHELA4J90
        Toho Holdings Co Ltd
        000000000
        
          
        
        25900.00000000
        NS
        
        420830.30000000
        0.049836080719
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NG579F0 IRS USD R F  2.13950 99NG579F0_FIX CCPVANILLA / Short: S9NG579F0 IRS USD P V 00MSOFR 99NG579F0_FLO CCPVANILLA
        000000000
        
          
        
        16218000.00000000
        OU
        Notional Amount
        USD
        -799633.36000000
        -0.09469516019
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-25
            0.00000000
            USD
            0.00000000
            USD
            16218000.00000000
            USD
            -799633.36000000
          
        
        
          N
          N
          N
        
      
      
        Casey's General Stores Inc
        549300CAFWSI86V66Q65
        Casey's General Stores Inc
        147528103
        
          
        
        898.00000000
        NS
        USD
        180767.40000000
        0.021407058232
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CTP NV
        3157000YTVO4TN65UM14
        CTP NV
        000000000
        
          
        
        4839.00000000
        NS
        
        68022.13000000
        0.008055399911
        Long
        EC
        CORP
        NL
        Y
        
        2
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -18331.88000000
        -0.00217092032
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            303855.39000000
            USD
            37012256.00000000
            JPY
            2022-06-09
            -18331.88000000
          
        
        
          N
          N
          N
        
      
      
        BLACKSTONE MORTGAGE TR
        549300OLDJ20R2Y2UW20
        Blackstone Mortgage Trust Inc
        09257WAB6
        
          
        
        2165000.00000000
        PA
        USD
        2165406.02000000
        0.256434361317
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-05-05
          Fixed
          4.38000000
          N
          N
          N
          N
          Y
          
            
              Blackstone Mortgage Trust Inc
              Blackstone Mortgage Trust Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Air China Ltd
        213800I9TWC9K22N4502
        Air China Ltd
        000000000
        
          
        
        392000.00000000
        NS
        
        262642.25000000
        0.031102941901
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NA469U3 IRS USD R F  1.29000 S9NA469U3 RF 1.29 / Short: S9NA469U3 IRS USD P V 00MSOFR SOFRRATE
        000000000
        
          
        
        30325000.00000000
        OU
        Notional Amount
        USD
        -3654605.24000000
        -0.43279013355
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-12-29
            0.00000000
            USD
            -5391.40000000
            USD
            30325000.00000000
            USD
            -3649213.84000000
          
        
        
          N
          N
          N
        
      
      
        Capstone Copper Corp
        549300JWFL5E2LAFKV86
        Capstone Copper Corp
        14071L108
        
          
        
        107468.00000000
        NS
        
        489384.50000000
        0.057954490075
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        PPL Corp
        9N3UAJSNOUXFKQLF3V18
        PPL Corp
        69351T106
        
          
        
        27161.00000000
        NS
        USD
        768927.91000000
        0.091058921827
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Sun Communities Inc
        549300H5GEOJYN41ZG57
        Sun Communities Inc
        866674104
        
          
        
        2889.00000000
        NS
        USD
        507221.73000000
        0.060066832352
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        KT Corp
        9884005ACF8449EANY26
        KT Corp
        000000000
        
          
        
        11603.00000000
        NS
        
        328290.98000000
        0.038877276134
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161N101
        
          
        
        5589.00000000
        NS
        USD
        261453.42000000
        0.030962156820
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ABB Ltd
        5493000LKVGOO9PELI61
        ABB Ltd
        000000000
        
          
        
        8904.00000000
        NS
        
        266721.64000000
        0.031586036415
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4433.35000000
        -0.00052501159
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            162987.40000000
            USD
            150000.00000000
            EUR
            2022-06-15
            -4433.35000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382C5A5
        
          
        
        1761024.62000000
        PA
        USD
        292517.11000000
        0.034640819127
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        39880.36000000
        0.004722760790
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            779933.44000000
            EUR
            864291.04000000
            USD
            2022-06-15
            39880.36000000
          
        
        
          N
          N
          N
        
      
      
        Lear Corp
        549300UPNBTXA1SYTQ33
        Lear Corp
        521865204
        
          
        
        13803.00000000
        NS
        USD
        1765955.82000000
        0.209130180961
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Weichai Power Co Ltd
        529900OKTPKBG85F9502
        Weichai Power Co Ltd
        000000000
        
          
        
        208000.00000000
        NS
        
        289642.13000000
        0.034300354728
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Graphic Packaging Holding Co
        N/A
        Graphic Packaging Holding Co
        388689101
        
          
        
        33608.00000000
        NS
        USD
        732654.40000000
        0.086763295841
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99P789GY2 PUTNAM
        000000000
        
          
        
        4755000.00000000
        OU
        Notional Amount
        USD
        100339.44000000
        0.011882519940
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    4755000.00000000
                    OU
                    Notional Amount
                    N/A
                    100339.44000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-07-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4755000.00000000
                  USD
                
              
            
            1.00000000
            2.73000000
            USD
            2022-07-21
            XXXX
            3337.44000000
          
        
        
          N
          N
          N
        
      
      
        CATALENT PHARMA SOLUTION
        549300HALRZ339MSTH85
        Catalent Pharma Solutions Inc
        000000000
        
          
        
        356000.00000000
        PA
        
        330494.81000000
        0.039138260787
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2028-03-01
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Reliance Industries Ltd
        5493003UOETFYRONLG31
        Reliance Industries Ltd
        000000000
        
          
        
        33490.00000000
        NS
        
        1210972.89000000
        0.143407313340
        Long
        EC
        CORP
        IN
        N
        
        2
        
          N
          N
          N
        
      
      
        Alps Alpine Co Ltd
        529900PWNU4ASLY9VI90
        Alps Alpine Co Ltd
        000000000
        
          
        
        45500.00000000
        NS
        
        400433.65000000
        0.047420643675
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Cintas Corp
        N/A
        Cintas Corp
        172908105
        
          
        
        408.00000000
        NS
        USD
        162082.08000000
        0.019194282403
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Unilever PLC
        549300MKFYEKVRWML317
        Unilever PLC
        904767704
        
          
        
        32279.00000000
        NS
        USD
        1493226.54000000
        0.176832700450
        Long
        EC
        CORP
        GB
        N
        
        1
        
          N
          N
          N
        
      
      
        California Resources Corp
        5493003Q8F0T4F4YMR48
        California Resources Corp
        13057Q305
        
          
        
        7404.00000000
        NS
        USD
        297714.84000000
        0.035256351070
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DISH NETWORK CORP
        529900U350CWHH15G169
        DISH Network Corp
        25470MAD1
        
          
        
        3277000.00000000
        PA
        USD
        3045971.50000000
        0.360713764061
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          2.38000000
          N
          N
          N
          N
          Y
          
            
              DISH Network Corp
              DISH Network Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Medtronic PLC
        549300GX3ZBSQWUXY261
        Medtronic PLC
        000000000
        
          
        
        1052.00000000
        NS
        USD
        109786.72000000
        0.013001297292
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377TWW7
        
          
        
        2156333.52000000
        PA
        USD
        293263.08000000
        0.034729159300
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-02-20
          Floating
          5.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382PZ47
        
          
        
        2647401.10000000
        PA
        USD
        414457.79000000
        0.049081427543
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-03-20
          Floating
          5.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NJ659T7 IRS USD R V 00MSOFR 99NJ659T7_FLO CCPVANILLA / Short: B9NJ659T7 IRS USD P F  2.74300 99NJ659T7_FIX CCPVANILLA
        000000000
        
          
        
        3447000.00000000
        OU
        Notional Amount
        USD
        -1208.17000000
        -0.00014307538
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-04-26
            0.00000000
            USD
            0.00000000
            USD
            3447000.00000000
            USD
            -1208.17000000
          
        
        
          N
          N
          N
        
      
      
        KONINKLIJKE KPN NV
        549300YO0JZHAL7FVP81
        Koninklijke KPN NV
        000000000
        
          
        
        100000.00000000
        PA
        
        100484.01000000
        0.011899640385
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2024-11-08
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Truist Financial Corp
        549300DRQQI75D2JP341
        Truist Financial Corp
        89832Q109
        
          
        
        23582.00000000
        NS
        USD
        1140189.70000000
        0.135024939803
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        China Overseas Land & Investment Ltd
        529900I6W35GYKRIZ151
        China Overseas Land & Investment Ltd
        000000000
        
          
        
        75500.00000000
        NS
        
        232518.03000000
        0.027535534660
        Long
        EC
        CORP
        HK
        
        N
        
        2
        
          N
          N
          N
        
      
      
        ARCELIK AS
        789000748KTQCUMJ0R25
        Arcelik AS
        000000000
        
          
        
        200000.00000000
        PA
        
        195919.03000000
        0.023201363099
        Long
        DBT
        CORP
        TR
        Y
        
        2
        
          2026-05-27
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        DAX INDEX FUTURE JUN22
        000000000
        
          
        
        3.00000000
        NC
        
        14652.46000000
        0.001735191547
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EUX DAX Index Future
                GXM2 INDEX
              
            
            2022-06-17
            1042860.76000000
            EUR
            14652.46000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99P795FY0 FNMA TBA 30 YR 4.5
        000000000
        
          
        
        -45000000.00000000
        OU
        Notional Amount
        USD
        -272565.00000000
        -0.03227802594
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                UMBS, TBA
                UMBS, TBA
                
                  
                  
                
              
            
            1.00000000
            101.10937000
            USD
            2022-06-06
            XXXX
            -272565.00000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6264924  CDS USD R F  5.00000 26264924_FEE CCPCORPORATE / Short: S6264924  CDS USD P V 03MEVENT 26264924_PRO CCPCORPORATE
        000000000
        
          
        
        329000.00000000
        OU
        Notional Amount
        USD
        35971.05000000
        0.004259807697
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Iron Mountain Inc
                Iron Mountain Inc
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            40517.09000000
            USD
            0.00000000
            USD
            329000.00000000
            USD
            -4546.04000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379YKJ6
        
          
        
        325927.06000000
        PA
        USD
        15591.86000000
        0.001846438323
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-03-20
          Floating
          5.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PepsiCo Inc
        FJSUNZKFNQ5YPJ5OT455
        PepsiCo Inc
        713448108
        
          
        
        911.00000000
        NS
        USD
        156427.81000000
        0.018524685522
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Turk Telekomunikasyon AS
        789000A2TXOI10JZLF90
        Turk Telekomunikasyon AS
        000000000
        
          
        
        230000.00000000
        PA
        USD
        219107.20000000
        0.025947380940
        Long
        DBT
        CORP
        TR
        Y
        
        2
        
          2024-06-19
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38383CCY4
        
          
        
        2659589.20000000
        PA
        USD
        454879.65000000
        0.053868314508
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-10-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380LC76
        
          
        
        5385088.88000000
        PA
        USD
        303883.26000000
        0.035986835250
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2069-09-20
          Variable
          0.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137F2AL0
        
          
        
        23746.97000000
        PA
        USD
        710.64000000
        0.000084156279
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERALLIA SA
        5299007YZU978DE0ZY32
        Verallia SA
        000000000
        
          
        
        200000.00000000
        PA
        
        180318.43000000
        0.021353889757
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2031-11-10
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banco Bradesco SA
        549300CTUU1RFXHQJE44
        Banco Bradesco SA
        059460303
        
          
        
        95539.40000000
        NS
        USD
        343941.84000000
        0.040730701427
        Long
        EC
        CORP
        BR
        N
        
        1
        
          N
          N
          
        
      
      
        Tsingtao Brewery Co Ltd
        300300OJ7D0Q1ESE8L15
        Tsingtao Brewery Co Ltd
        000000000
        
          
        
        66000.00000000
        NS
        
        535261.49000000
        0.063387391121
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379ERR5
        
          
        
        519355.70000000
        PA
        USD
        60492.16000000
        0.007163676590
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Texas Instruments Inc
        WDJNR2L6D8RWOEB8T652
        Texas Instruments Inc
        882508104
        
          
        
        1971.00000000
        NS
        USD
        335562.75000000
        0.039738422579
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Lifco AB
        549300RTLL4VDQRCTW41
        Lifco AB
        000000000
        
          
        
        22036.00000000
        NS
        
        462333.70000000
        0.054751047138
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6146615  CDS USD R F  5.00000 26146615_FEE CCPCORPORATE / Short: S6146615  CDS USD P V 03MEVENT 26146615_PRO CCPCORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        USD
        9061.57000000
        0.001073100330
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                FORD MOTOR COMPANY
                FORD MOTOR COMPANY
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            10076.37000000
            USD
            0.00000000
            USD
            100000.00000000
            USD
            -1014.80000000
          
        
        
          N
          N
          N
        
      
      
        LSR Group PJSC
        25340067LEEMJ79K8X43
        LSR Group PJSC
        000000000
        
          
        
        33861.00000000
        NS
        
        0.00000000
        0.000000
        Long
        EC
        CORP
        RU
        N
        
        3
        
          N
          N
          N
        
      
      
        MGIC Investment Corp
        254900S8483WM4M98R28
        MGIC Investment Corp
        552848103
        
          
        
        10274.00000000
        NS
        USD
        134178.44000000
        0.015889843404
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        PayPal Holdings Inc
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450Y103
        
          
        
        12449.00000000
        NS
        USD
        1094640.57000000
        0.129630864996
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Eizo Corp
        N/A
        Eizo Corp
        000000000
        
          
        
        8700.00000000
        NS
        
        228053.67000000
        0.027006850758
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Getlink SE
        9695007ZEQ7M0OE74G82
        Getlink SE
        000000000
        
          
        
        27963.00000000
        NS
        
        510789.43000000
        0.060489330887
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Lincoln Electric Holdings Inc
        BIMGBY40SIN95O01BN93
        Lincoln Electric Holdings Inc
        533900106
        
          
        
        1152.00000000
        NS
        USD
        155208.96000000
        0.018380345376
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137H4FS4
        
          
        
        2680481.43000000
        PA
        USD
        475349.61000000
        0.056292433159
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NF899X6 IRS USD R F  2.39000 99NF899X6_FIX CCPVANILLA / Short: S9NF899X6 IRS USD P V 03MLIBOR 99NF899X6_FLO CCPVANILLA
        000000000
        
          
        
        1403000.00000000
        OU
        Notional Amount
        USD
        -54839.75000000
        -0.00649429997
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2039-09-26
            0.00000000
            USD
            0.00000000
            USD
            1403000.00000000
            USD
            -54839.75000000
          
        
        
          N
          N
          N
        
      
      
        LOXAM SAS
        969500BNA2YRNE1R5K91
        Loxam SAS
        000000000
        
          
        
        100000.00000000
        PA
        
        100747.75000000
        0.011930873326
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2027-02-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carrols Restaurant Group Inc
        529900HZEMNWQSAKFJ98
        Carrols Restaurant Group Inc
        14574X104
        
          
        
        128571.00000000
        NS
        USD
        205713.60000000
        0.024361267652
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Duke Realty Corp
        254900E47KH1NFFKNF25
        Duke Realty Corp
        264411505
        
          
        
        12334.00000000
        NS
        USD
        675286.50000000
        0.079969604191
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UYG9
        
          
        
        451428.29000000
        PA
        USD
        32397.88000000
        0.003836661387
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-01-20
          Variable
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GCY4
        
          
        
        285000.00000000
        PA
        USD
        279064.88000000
        0.033047762686
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2026-01-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH539D2 IRS USD R F  2.65000 99NH539D2_FIX CCPVANILLA / Short: S9NH539D2 IRS USD P V 00MSOFR 99NH539D2_FLO CCPVANILLA
        000000000
        
          
        
        130000000.00000000
        OU
        Notional Amount
        USD
        -719264.00000000
        -0.08517756150
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-07-11
            0.00000000
            USD
            0.00000000
            USD
            130000000.00000000
            USD
            -719264.00000000
          
        
        
          N
          N
          N
        
      
      
        Alphabet Inc
        5493006MHB84DD0ZWV18
        Alphabet Inc
        02079K305
        
          
        
        981.00000000
        NS
        USD
        2238828.39000000
        0.265129275058
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ZTO Express Cayman Inc
        549300SCJPK3YZJTJR78
        ZTO Express Cayman Inc
        98980A105
        
          
        
        6012.00000000
        NS
        USD
        165390.12000000
        0.019586031164
        Long
        EC
        CORP
        KY
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Latham Group Inc
        N/A
        Latham Group Inc
        51819L107
        
          
        
        36522.00000000
        NS
        USD
        438264.00000000
        0.051900635673
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BGL82
        
          
        
        4043671.98000000
        PA
        USD
        551196.97000000
        0.065274522032
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F040651
        
          
        
        -72000000.00000000
        PA
        USD
        -71589374.64000000
        -8.47784452125
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVACARE CORP
        549300NNUTG7HCZICS76
        Invacare Corp
        461203AJ0
        
          
        
        505000.00000000
        PA
        USD
        438138.00000000
        0.051885714347
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          5.00000000
          N
          N
          N
          N
          Y
          
            
              Invacare Corp
              Invacare Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ANM20
        
          
        
        1129302.03000000
        PA
        USD
        238944.16000000
        0.028296537690
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chunghwa Telecom Co Ltd
        N/A
        Chunghwa Telecom Co Ltd
        000000000
        
          
        
        209000.00000000
        NS
        
        924278.93000000
        0.109456090407
        Long
        EC
        CORP
        TW
        N
        
        2
        
          N
          N
          N
        
      
      
        Keppel REIT
        N/A
        Keppel REIT
        000000000
        
          
        
        209600.00000000
        NS
        
        183932.85000000
        0.021781921025
        Long
        EC
        
        SG
        N
        
        2
        
          N
          N
          N
        
      
      
        SILGAN HOLDINGS INC
        KAF673KJXD92C8KSLU49
        Silgan Holdings Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        91585.51000000
        0.010845851330
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Estee Lauder Cos Inc/The
        549300VFZ8XJ9NUPU221
        Estee Lauder Cos Inc/The
        518439104
        
          
        
        738.00000000
        NS
        USD
        194876.28000000
        0.023077877283
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        America Movil SAB de CV
        5493000FNR3UCEAONM59
        America Movil SAB de CV
        000000000
        
          
        
        263700.00000000
        NS
        
        256637.93000000
        0.030391890971
        Long
        EC
        CORP
        MX
        N
        
        1
        
          N
          N
          N
        
      
      
        GREENKO POWER II LTD
        254900YYA4B6O2O4JM12
        Greenko Power II Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        176000.00000000
        0.020842487355
        Long
        DBT
        CORP
        MU
        
        Y
        
        2
        
          2028-12-13
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wuxi Lead Intelligent Equipment Co Ltd
        N/A
        Wuxi Lead Intelligent Equipment Co Ltd
        000000000
        
          
        
        99089.00000000
        NS
        
        654942.41000000
        0.077560391472
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Public Bank Bhd
        549300L2RSQCVMOHGM20
        Public Bank Bhd
        000000000
        
          
        
        185800.00000000
        NS
        
        199671.22000000
        0.023645709534
        Long
        EC
        CORP
        MY
        N
        
        2
        
          N
          N
          N
        
      
      
        Pan American Silver Corp
        549300MKTF5851TYIB83
        Pan American Silver Corp
        697900108
        
          
        
        18223.00000000
        NS
        
        451798.19000000
        0.053503398081
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        QUOTIENT TECHNOLOGY INC
        5493005ZZT58VQ9RKP56
        Quotient Technology Inc
        749119AB9
        
          
        
        1058000.00000000
        PA
        USD
        1022345.40000000
        0.121069437913
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-01
          Fixed
          1.75000000
          N
          N
          N
          N
          Y
          
            
              Quotient Technology Inc
              Quotient Technology Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Faurecia SE
        969500F0VMZLK2IULV85
        Faurecia SE
        000000000
        
          
        
        60263.00000000
        NS
        
        1298318.59000000
        0.153751072703
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD DKK
        000000000
        
          
        
        1.00000000
        NC
        
        39564.07000000
        0.004685304708
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            6387660.00000000
            DKK
            947222.32000000
            USD
            2022-06-15
            39564.07000000
          
        
        
          N
          N
          N
        
      
      
        Prologis Inc
        529900DFH19P073LZ636
        Prologis Inc
        74340W103
        
          
        
        11654.00000000
        NS
        USD
        1868019.66000000
        0.221216909908
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Henkel AG & Co KGaA
        549300VZCL1HTH4O4Y49
        Henkel AG & Co KGaA
        000000000
        
          
        
        1031.00000000
        NS
        
        66661.88000000
        0.007894314721
        Long
        EP
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B2DP4
        
          
        
        4345967.17000000
        PA
        USD
        545659.21000000
        0.064618722641
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-25
          Floating
          5.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        172521.13000000
        0.020430508355
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            4233333.33000000
            EUR
            4647268.66000000
            USD
            2022-06-15
            172521.13000000
          
        
        
          N
          N
          N
        
      
      
        Visa Inc
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826C839
        
          
        
        1451.00000000
        NS
        USD
        309251.63000000
        0.036622574931
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kemper Corp
        549300FNI1JKTRY2PV09
        Kemper Corp
        488401100
        
          
        
        10068.00000000
        NS
        USD
        464738.88000000
        0.055035876307
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Oji Holdings Corp
        529900LVC9GIIYUGE243
        Oji Holdings Corp
        000000000
        
          
        
        28200.00000000
        NS
        
        133378.96000000
        0.015795166405
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Enbridge Inc
        98TPTUM4IVMFCZBCUR27
        Enbridge Inc
        29250N105
        
          
        
        6546.00000000
        NS
        
        285656.61000000
        0.033828376602
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        72962.45000000
        0.008640448531
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            79978301.35000000
            SEK
            8225681.51000000
            USD
            2022-06-09
            72962.45000000
          
        
        
          N
          N
          N
        
      
      
        Telkom Indonesia Persero Tbk PT
        529900M5SQZAOKV1PC81
        Telkom Indonesia Persero Tbk PT
        000000000
        
          
        
        729200.00000000
        NS
        
        232364.44000000
        0.027517346037
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AGXB3
        
          
        
        2214861.09000000
        PA
        USD
        366241.01000000
        0.043371441023
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-25
          Floating
          5.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Range Resources Corp
        H3Y3WLYCX0BTO1TRW162
        Range Resources Corp
        75281A109
        
          
        
        20881.00000000
        NS
        USD
        625177.14000000
        0.074035492247
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6442618  CDS USD R F  5.00000 26442618_FEE CCPCORPORATE / Short: S6442618  CDS USD P V 03MEVENT 26442618_PRO CCPCORPORATE
        000000000
        
          
        
        65000.00000000
        OU
        Notional Amount
        USD
        1254.63000000
        0.000148577329
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GOODYEAR TIRE & RUBBER
                GOODYEAR TIRE & RUBBER
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            3613.84000000
            USD
            0.00000000
            USD
            65000.00000000
            USD
            -2359.21000000
          
        
        
          N
          N
          N
        
      
      
        Roche Holding AG
        549300U41AUUVOAAOB37
        Roche Holding AG
        000000000
        
          
        
        837.00000000
        NS
        
        309996.89000000
        0.036710831023
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Kamigumi Co Ltd
        N/A
        Kamigumi Co Ltd
        000000000
        
          
        
        15300.00000000
        NS
        
        260061.38000000
        0.030797306956
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Eastman Chemical Co
        FDPVHDGJ1IQZFK9KH630
        Eastman Chemical Co
        277432100
        
          
        
        16781.00000000
        NS
        USD
        1722905.27000000
        0.204031996051
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Siemens Healthineers AG
        529900QBVWXMWANH7H45
        Siemens Healthineers AG
        000000000
        
          
        
        16870.00000000
        NS
        
        911788.52000000
        0.107976935791
        Long
        EC
        CORP
        DE
        Y
        
        2
        
          N
          N
          N
        
      
      
        OTP Bank Nyrt
        529900W3MOO00A18X956
        OTP Bank Nyrt
        000000000
        
          
        
        13505.00000000
        NS
        
        398691.44000000
        0.047214325551
        Long
        EC
        CORP
        HU
        N
        
        2
        
          N
          N
          N
        
      
      
        ALPHA BANK AE
        5299009N55YRQC69CN08
        Alpha Services and Holdings SA
        000000000
        
          
        
        100000.00000000
        PA
        
        96021.57000000
        0.011371183855
        Long
        DBT
        CORP
        GR
        Y
        
        2
        
          2031-06-11
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Boston Scientific Corp
        Y6ZDD9FP4P8JSSJMW954
        Boston Scientific Corp
        101137107
        
          
        
        3539.00000000
        NS
        USD
        149027.29000000
        0.017648292087
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        TELECOM ITALIA CAPITAL
        549300777DJZOR5C4L39
        Telecom Italia Capital SA
        87927VAM0
        
          
        
        70000.00000000
        PA
        USD
        61142.20000000
        0.007240656422
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2034-09-30
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99P279JE5 PUTNAM
        000000000
        
          
        
        -4658800.00000000
        OU
        Notional Amount
        USD
        -967936.42000000
        -0.11462615110
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    4658800.00000000
                    OU
                    Notional Amount
                    N/A
                    -967936.42000000
                    -0.11000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2058-10-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4658800.00000000
                  USD
                
              
            
            1.00000000
            1.99100000
            USD
            2028-10-23
            XXXX
            -277502.26000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD DKK
        000000000
        
          
        
        1.00000000
        NC
        
        43404.38000000
        0.005140086598
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            6387660.00000000
            DKK
            951062.63000000
            USD
            2022-06-15
            43404.38000000
          
        
        
          N
          N
          N
        
      
      
        ResMed Inc
        529900T3QE5253CCXF22
        ResMed Inc
        761152107
        
          
        
        646.00000000
        NS
        USD
        129180.62000000
        0.015297985448
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Anthem Inc
        8MYN82XMYQH89CTMTH67
        Anthem Inc
        036752103
        
          
        
        405.00000000
        NS
        USD
        203281.65000000
        0.024073268294
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Tokyo Gas Co Ltd
        353800678EIJLOQSWZ83
        Tokyo Gas Co Ltd
        000000000
        
          
        
        109900.00000000
        NS
        
        2108365.01000000
        0.249679381035
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FBQG4
        
          
        
        874490.99000000
        PA
        USD
        140600.05000000
        0.016650311161
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-15
          Floating
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nippon Telegraph & Telephone Corp
        353800VHQU5VIXVUA841
        Nippon Telegraph & Telephone Corp
        000000000
        
          
        
        30200.00000000
        NS
        
        892142.31000000
        0.105650368271
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        ITAU UNIBANCO HLDG SA/KY
        5493002W2IVG62O3ZJ94
        Itau Unibanco Holding SA/Cayman Island
        46556L2A1
        
          
        
        200000.00000000
        PA
        USD
        179633.00000000
        0.021272718927
        Long
        DBT
        CORP
        BR
        Y
        
        2
        
          2031-04-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FTBB2
        
          
        
        4236307.04000000
        PA
        USD
        863791.90000000
        0.102293021328
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CBRE Group Inc
        52990016II9MJ2OSWA10
        CBRE Group Inc
        12504L109
        
          
        
        2297.00000000
        NS
        USD
        190742.88000000
        0.022588386730
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Q-PARK HOLDING BV
        2549003839B7HE3NDP48
        Q-Park Holding I BV
        000000000
        
          
        
        109000.00000000
        PA
        
        100472.14000000
        0.011898234702
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2027-03-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Raymond James Financial Inc
        RGUZHJ05YTITL6D76949
        Raymond James Financial Inc
        754730109
        
          
        
        1665.00000000
        NS
        USD
        162270.90000000
        0.019216643076
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        3i Group PLC
        35GDVHRBMFE7NWATNM84
        3i Group PLC
        000000000
        
          
        
        10607.00000000
        NS
        
        173077.92000000
        0.020496445222
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        GRIFOLS ESCROW ISSUER
        959800HLB3PGTGSLVV62
        Grifols Escrow Issuer SA
        000000000
        
          
        
        484000.00000000
        PA
        
        458035.18000000
        0.054242002543
        Long
        DBT
        CORP
        ES
        Y
        
        2
        
          2028-10-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042657
        
          
        
        -64000000.00000000
        PA
        USD
        -65062499.84000000
        -7.70491096732
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-12
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH699D8 IRS USD R V 00MSOFR 99NH699D8_FLO CCPVANILLA / Short: B9NH699D8 IRS USD P F  2.49450 99NH699D8_FIX CCPVANILLA
        000000000
        
          
        
        4981000.00000000
        OU
        Notional Amount
        USD
        92367.66000000
        0.010938476054
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-14
            0.00000000
            USD
            0.00000000
            USD
            4981000.00000000
            USD
            92367.66000000
          
        
        
          N
          N
          N
        
      
      
        Citizen Watch Co Ltd
        529900DUZBKERKGQ2628
        Citizen Watch Co Ltd
        000000000
        
          
        
        168900.00000000
        NS
        
        642405.73000000
        0.076075757413
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Block Inc
        549300OHIIUWSTIZME52
        Block Inc
        852234103
        
          
        
        4746.00000000
        NS
        USD
        472416.84000000
        0.055945125081
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SEAGATE HDD CAYMAN
        529900BD50TRWEG1SF63
        Seagate HDD Cayman
        81180WBE0
        
          
        
        177000.00000000
        PA
        USD
        143895.69000000
        0.017040591473
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-07-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FFA2
        
          
        
        485489.74000000
        PA
        USD
        95380.14000000
        0.011295223647
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-04-16
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Procter & Gamble Co/The
        2572IBTT8CCZW6AU4141
        Procter & Gamble Co/The
        742718109
        
          
        
        4141.00000000
        NS
        USD
        664837.55000000
        0.078732205849
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FAURECIA
        969500F0VMZLK2IULV85
        Faurecia SE
        000000000
        
          
        
        100000.00000000
        PA
        
        88877.03000000
        0.010525104397
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2027-06-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toronto-Dominion Bank
        PT3QB789TSUIDF371261
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        675042.32000000
        0.079940687609
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Toronto-Dominion Bank
              PT3QB789TSUIDF371261
            
            719200012.00000000
            JPY
            6224684.20000000
            USD
            2022-06-15
            675042.32000000
          
        
        
          N
          N
          N
        
      
      
        TotalEnergies SE
        529900S21EQ1BO4ESM68
        TotalEnergies SE
        000000000
        
          
        
        4023.00000000
        NS
        
        198219.68000000
        0.023473813488
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137H4XM7
        
          
        
        4365608.02000000
        PA
        USD
        728612.12000000
        0.086284596013
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-01-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376R5P7
        
          
        
        3068508.96000000
        PA
        USD
        197354.84000000
        0.023371396348
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-06-20
          Variable
          2.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -8584.13000000
        -0.00101656034
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            487395.00000000
            BRL
            90000.00000000
            USD
            2022-05-03
            -8584.13000000
          
        
        
          N
          N
          N
        
      
      
        MediaTek Inc
        254900UEGBK1I4DM4E14
        MediaTek Inc
        000000000
        
          
        
        13000.00000000
        NS
        
        356211.12000000
        0.042183669116
        Long
        EC
        CORP
        TW
        N
        
        2
        
          N
          N
          N
        
      
      
        PINDUODUO INC
        5493000573DS7005T657
        Pinduoduo Inc
        722304AC6
        
          
        
        886000.00000000
        PA
        USD
        780123.00000000
        0.092384680474
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-12-01
          None
          0.00000000
          N
          N
          N
          N
          Y
          
            
              Pinduoduo Inc
              Pinduoduo Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Dechra Pharmaceuticals PLC
        213800J4UVB5OWG8VX82
        Dechra Pharmaceuticals PLC
        000000000
        
          
        
        18316.00000000
        NS
        
        828614.20000000
        0.098127164694
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Canadian Tire Corp Ltd
        549300RLHDA7VQYMUB14
        Canadian Tire Corp Ltd
        136681202
        
          
        
        1043.00000000
        NS
        
        143664.69000000
        0.017013235709
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NG289Q7 IRS USD R F  2.06000 99NG289Q7_FIX CCPVANILLA / Short: S9NG289Q7 IRS USD P V 00MSOFR 99NG289Q7_FLO CCPVANILLA
        000000000
        
          
        
        3571000.00000000
        OU
        Notional Amount
        USD
        -305742.49000000
        -0.03620701126
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2052-03-23
            0.00000000
            USD
            0.00000000
            USD
            3571000.00000000
            USD
            -305742.49000000
          
        
        
          N
          N
          N
        
      
      
        DT Midstream Inc
        N/A
        DT Midstream Inc
        23345M107
        
          
        
        4372.00000000
        NS
        USD
        234995.00000000
        0.027828865432
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        000000000
        
          
        
        200000.00000000
        PA
        
        189363.57000000
        0.022425044394
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2026-12-29
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF IRELAND GROUP
        635400C8EK6DRI12LJ39
        Bank of Ireland Group PLC
        000000000
        
          
        
        200000.00000000
        PA
        
        190293.61000000
        0.022535182729
        Long
        DBT
        CORP
        IE
        Y
        
        2
        
          2031-08-11
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Itau Unibanco Holding SA
        5493002W2IVG62O3ZJ94
        Itau Unibanco Holding SA
        000000000
        
          
        
        19800.00000000
        NS
        
        95596.84000000
        0.011320885959
        Long
        EP
        CORP
        BR
        N
        
        1
        
          N
          N
          N
        
      
      
        Goodman Group
        N/A
        Goodman Group
        000000000
        
          
        
        9386.00000000
        NS
        
        156118.23000000
        0.018488024061
        Long
        EC
        
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        89771.57000000
        0.010631038708
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            46406458.86000000
            THB
            1445472.44000000
            USD
            2022-06-14
            89771.57000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137H4ZL7
        
          
        
        2405504.03000000
        PA
        USD
        374831.65000000
        0.044388772304
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-01-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG289D6 IRS USD R V 00MSOFR 99NG289D6_FLO CCPVANILLA / Short: B9NG289D6 IRS USD P F  1.80000 99NG289D6_FIX CCPVANILLA
        000000000
        
          
        
        219813000.00000000
        OU
        Notional Amount
        USD
        4618381.04000000
        0.546923570626
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-15
            3192805.47000000
            USD
            0.00000000
            USD
            219813000.00000000
            USD
            1425575.57000000
          
        
        
          N
          N
          N
        
      
      
        Lockheed Martin Corp
        DPRBOZP0K5RM2YE8UU08
        Lockheed Martin Corp
        539830109
        
          
        
        2266.00000000
        NS
        USD
        979183.92000000
        0.115958116315
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ATQK3
        
          
        
        4869324.33000000
        PA
        USD
        509465.23000000
        0.060332514854
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-25
          Floating
          5.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dolby Laboratories Inc
        549300X04FB2QPCJ5J24
        Dolby Laboratories Inc
        25659T107
        
          
        
        1887.00000000
        NS
        USD
        146185.89000000
        0.017311804340
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        REDWOOD TRUST INC
        DRBV4N1ERQLEMIF11G78
        Redwood Trust Inc
        758075AC9
        
          
        
        942000.00000000
        PA
        USD
        929576.99000000
        0.110083503751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-15
          Fixed
          4.75000000
          N
          N
          N
          N
          N
          
            
              Redwood Trust Inc
              Redwood Trust Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Sculptor Capital Management Inc
        529900V50QFEXQGSUC34
        Sculptor Capital Management Inc
        811246107
        
          
        
        60705.00000000
        NS
        USD
        634974.30000000
        0.075195703516
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BP22
        
          
        
        4793167.30000000
        PA
        USD
        259413.40000000
        0.030720571076
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-03-20
          Variable
          1.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lowe's Companies, Inc
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661107
        
          
        
        1951.00000000
        NS
        USD
        385771.23000000
        0.045684272633
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99C532IF9 SWAPTION
        000000000
        
          
        
        10587200.00000000
        OU
        Notional Amount
        USD
        705691.93000000
        0.083570313227
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    10587200.00000000
                    OU
                    Notional Amount
                    N/A
                    705691.93000000
                    0.08000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2049-09-28
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10587200.00000000
                  USD
                
              
            
            1.00000000
            2.05100000
            USD
            2029-09-26
            XXXX
            -414751.45000000
          
        
        
          N
          N
          N
        
      
      
        MFA FINANCIAL INC
        YW72IMH2RRC8Z1TGLG58
        MFA Financial Inc
        55272XAA0
        
          
        
        2003000.00000000
        PA
        USD
        1972955.00000000
        0.233643691141
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          6.25000000
          N
          N
          N
          N
          N
          
            
              MFA Financial Inc
              MFA Financial Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Old Dominion Freight Line Inc
        5299009TWK32WE417T96
        Old Dominion Freight Line Inc
        679580100
        
          
        
        657.00000000
        NS
        USD
        184038.84000000
        0.021794472702
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Netcompany Group A/S
        5299006DEGAWX1Z1X779
        Netcompany Group A/S
        000000000
        
          
        
        8003.00000000
        NS
        
        446056.41000000
        0.052823437985
        Long
        EC
        CORP
        DK
        Y
        
        2
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        000000000
        
          
        
        200000.00000000
        PA
        
        201138.92000000
        0.023819519300
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2025-01-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO BPM SPA
        815600E4E6DCD2D25E30
        Banco BPM SpA
        000000000
        
          
        
        250000.00000000
        PA
        
        255442.49000000
        0.030250323113
        Long
        DBT
        CORP
        IT
        Y
        
        2
        
          2025-02-18
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Koninklijke Philips NV
        H1FJE8H61JGM1JSGM897
        Koninklijke Philips NV
        000000000
        
          
        
        2328.00000000
        NS
        
        61072.63000000
        0.007232417719
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        000000000
        
          
        
        200000.00000000
        PA
        
        259371.78000000
        0.030715642301
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2027-07-01
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BH7G8
        
          
        
        5048130.59000000
        PA
        USD
        697457.29000000
        0.082595140613
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-06-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38383MMF2
        
          
        
        2162980.80000000
        PA
        USD
        397421.55000000
        0.047063941083
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-02-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NA919R6 IRS USD R F  1.53050 99NA919R6_FIX CCPVANILLA / Short: S9NA919R6 IRS USD P V 00MSOFR 99NA919R6_FLO CCPVANILLA
        000000000
        
          
        
        6246000.00000000
        OU
        Notional Amount
        USD
        -1228034.80000000
        -0.14542783972
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2051-12-30
            0.00000000
            USD
            0.00000000
            USD
            6246000.00000000
            USD
            -1228034.80000000
          
        
        
          N
          N
          N
        
      
      
        Finning International Inc
        549300QLDCP11KB6XW55
        Finning International Inc
        318071404
        
          
        
        6192.00000000
        NS
        
        174194.43000000
        0.020628665935
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Western Alliance Bancorp
        5493003VJXZ5JXT9S762
        Western Alliance Bancorp
        957638109
        
          
        
        11479.00000000
        NS
        USD
        873666.69000000
        0.103462425792
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FCT46
        
          
        
        2179857.39000000
        PA
        USD
        343061.16000000
        0.040626408463
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796Q44
        
          
        
        3521000.00000000
        PA
        USD
        3519957.56000000
        0.416844721233
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH849S4 IRS USD R F  2.47100 99NH849S4_FIX CCPVANILLA / Short: S9NH849S4 IRS USD P V 00MSOFR 99NH849S4_FLO CCPVANILLA
        000000000
        
          
        
        3972000.00000000
        OU
        Notional Amount
        USD
        -81894.70000000
        -0.00969823437
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-19
            0.00000000
            USD
            0.00000000
            USD
            3972000.00000000
            USD
            -81894.70000000
          
        
        
          N
          N
          N
        
      
      
        Centerra Gold Inc
        549300K0HXTMP5JJ0E62
        Centerra Gold Inc
        152006102
        
          
        
        74530.00000000
        NS
        
        689807.89000000
        0.081689274006
        Long
        EC
        CORP
        CA
        
        N
        
        1
        
          N
          N
          N
        
      
      
        HAEMONETICS CORP
        549300ZEL6TXZS6F5F95
        Haemonetics Corp
        405024AB6
        
          
        
        1605000.00000000
        PA
        USD
        1266987.00000000
        0.150040684814
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          None
          0.00000000
          N
          N
          N
          N
          Y
          
            
              Haemonetics Corp
              Haemonetics Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        WuXi AppTec Co Ltd
        254900OEPQLZSPLN9175
        WuXi AppTec Co Ltd
        000000000
        
          
        
        32600.00000000
        NS
        
        436626.69000000
        0.051706740144
        Long
        EC
        CORP
        CN
        Y
        
        2
        
          N
          N
          N
        
      
      
        Cummins Inc
        ZUNI8PYC725B6H8JU438
        Cummins Inc
        231021106
        
          
        
        1145.00000000
        NS
        USD
        216622.55000000
        0.025653140678
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ASHLAND SERVICES BV
        549300S52OPXPKGJS029
        Ashland Services BV
        000000000
        
          
        
        250000.00000000
        PA
        
        238682.49000000
        0.028265549885
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2028-01-30
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NC259R0 IRS USD R F  1.53900 99NC259R0_FIX CCPVANILLA / Short: S9NC259R0 IRS USD P V 00MSOFR 99NC259R0_FLO CCPVANILLA
        000000000
        
          
        
        17130000.00000000
        OU
        Notional Amount
        USD
        -1699050.53000000
        -0.20120704084
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-01-10
            0.00000000
            USD
            0.00000000
            USD
            17130000.00000000
            USD
            -1699050.53000000
          
        
        
          N
          N
          N
        
      
      
        Inspired Entertainment Inc
        549300ZUGYK6NBIU6D69
        Inspired Entertainment Inc
        45782N108
        
          
        
        28526.00000000
        NS
        USD
        265006.54000000
        0.031382928745
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JD Logistics Inc
        655600LWTFVMV3E2A890
        JD Logistics Inc
        000000000
        
          
        
        179700.00000000
        NS
        
        370493.88000000
        0.043875079598
        Long
        EC
        CORP
        KY
        
        Y
        
        2
        
          N
          N
          N
        
      
      
        IDEX Corp
        549300U5Y5EL6PHYLF13
        IDEX Corp
        45167R104
        
          
        
        59.00000000
        NS
        USD
        11199.38000000
        0.001326266682
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG289E4 IRS USD R V 00MSOFR 99NG289E4_FLO CCPVANILLA / Short: B9NG289E4 IRS USD P F  1.85000 99NG289E4_FIX CCPVANILLA
        000000000
        
          
        
        97007000.00000000
        OU
        Notional Amount
        USD
        4274400.04000000
        0.506188231745
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-06-15
            2272460.38000000
            USD
            0.00000000
            USD
            97007000.00000000
            USD
            2001939.66000000
          
        
        
          N
          N
          N
        
      
      
        Kao Corp
        353800HM38HFCB8RGL63
        Kao Corp
        000000000
        
          
        
        33400.00000000
        NS
        
        1343176.72000000
        0.159063317063
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Ralph Lauren Corp
        HO1QNWM0IXBZ0QSMMO20
        Ralph Lauren Corp
        751212101
        
          
        
        19145.00000000
        NS
        USD
        1997589.30000000
        0.236560964359
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED THB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -89771.56000000
        -0.01063103752
        N/A
        DFE
        
        TH
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            1445472.43000000
            USD
            46406458.86000000
            THB
            2022-06-14
            -89771.56000000
          
        
        
          N
          N
          N
        
      
      
        FirstRand Ltd
        529900XYOP8CUZU7R671
        FirstRand Ltd
        000000000
        
          
        
        50943.00000000
        NS
        
        219417.28000000
        0.025984101613
        Long
        EC
        CORP
        ZA
        N
        
        2
        
          N
          N
          N
        
      
      
        CDW Corp/DE
        9845001B052ABF0B6755
        CDW Corp/DE
        12514G108
        
          
        
        1015.00000000
        NS
        USD
        165627.70000000
        0.019614166153
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mabuchi Motor Co Ltd
        N/A
        Mabuchi Motor Co Ltd
        000000000
        
          
        
        12400.00000000
        NS
        
        331921.81000000
        0.039307250727
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        NETWORK I2I LTD
        2549003L8M1FGHLHOX45
        Network i2i Ltd
        V6703DAA2
        
          
        
        200000.00000000
        PA
        USD
        197000.00000000
        0.023329375051
        Long
        DBT
        CORP
        MU
        
        Y
        
        2
        
          2025-01-15
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tyler Technologies Inc
        25490040SMU4Z8LBCW70
        Tyler Technologies Inc
        902252105
        
          
        
        322.00000000
        NS
        USD
        127096.62000000
        0.015051191450
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Norfolk Southern Corp
        54930036C8MWP850MI84
        Norfolk Southern Corp
        655844108
        
          
        
        233.00000000
        NS
        USD
        60086.04000000
        0.007115582550
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LG Uplus Corp
        N/A
        LG Uplus Corp
        000000000
        
          
        
        94847.00000000
        NS
        
        1050015.34000000
        0.124346201405
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        SGS SA
        2138007JNS19JHNA2336
        SGS SA
        000000000
        
          
        
        30.00000000
        NS
        
        77040.43000000
        0.009123376069
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382AB20
        
          
        
        1540837.71000000
        PA
        USD
        179935.02000000
        0.021308485109
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38383RBN6
        
          
        
        4694000.00000000
        PA
        USD
        502773.40000000
        0.059540046774
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-11-20
          Floating
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Microsoft Corp
        INR2EJN1ERAN0W5ZP974
        Microsoft Corp
        594918104
        
          
        
        15560.00000000
        NS
        USD
        4318211.20000000
        0.511376490542
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fortnox AB
        549300MSNMHPC3O60W78
        Fortnox AB
        000000000
        
          
        
        85973.00000000
        NS
        
        459280.42000000
        0.054389467878
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        RusHydro PJSC
        2534005TJN9DX4YWVT97
        RusHydro PJSC
        000000000
        
          
        
        104654642.00000000
        NS
        
        0.00000000
        0.000000
        Long
        EC
        CORP
        RU
        N
        
        3
        
          N
          N
          N
        
      
      
        Nomura Holdings Inc
        549300B3CEAHYG7K8164
        Nomura Holdings Inc
        000000000
        
          
        
        108300.00000000
        NS
        
        414529.26000000
        0.049089891250
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        A O Smith Corp
        549300XG4US7UJNECY36
        A O Smith Corp
        831865209
        
          
        
        2308.00000000
        NS
        USD
        134856.44000000
        0.015970134349
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        S+P500 EMINI FUT JUN22
        000000000
        
          
        
        746.00000000
        NC
        USD
        -3068509.34000000
        -0.36338276772
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                CME E-Mini Standard & Poor's 500 Index Future
                ESM2 INDEX
              
            
            2022-06-17
            157024259.34000000
            USD
            -3068509.34000000
          
        
        
          N
          N
          N
        
      
      
        Nasdaq Stockholm AB
        549300KBQIVNEJEZVL96
        OMXS30 IND FUTURE MAY22
        000000000
        
          
        
        21.00000000
        NC
        
        -8483.31000000
        -0.00100462091
        N/A
        DE
        
        SE
        N
        
        1
        
          
            
              Nasdaq Stockholm AB
              549300KBQIVNEJEZVL96
            
            Long
            
              
                OML Stockholm OMXS30 Index Future
                QCK2 INDEX
              
            
            2022-05-20
            4402476.48000000
            SEK
            -8483.31000000
          
        
        
          N
          N
          N
        
      
      
        Targa Resources Corp
        5493003QENHHS261UR94
        Targa Resources Corp
        87612G101
        
          
        
        6333.00000000
        NS
        USD
        464905.53000000
        0.055055611537
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ARSF6
        
          
        
        3476814.28000000
        PA
        USD
        539823.40000000
        0.063927627209
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRANITE POINT MTGE TRST
        529900VX2HQZ76AYIE02
        Granite Point Mortgage Trust Inc
        38741LAB3
        
          
        
        1744000.00000000
        PA
        USD
        1715660.00000000
        0.203173987822
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2022-12-01
          Fixed
          5.63000000
          N
          N
          N
          N
          N
          
            
              Granite Point Mortgage Trust I
              Granite Point Mortgage Trust I
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617K4U88
        
          
        
        47891.93000000
        PA
        USD
        50427.01000000
        0.005971729081
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Industria de Diseno Textil SA
        549300TTCXZOGZM2EY83
        Industria de Diseno Textil SA
        000000000
        
          
        
        2588.00000000
        NS
        
        54270.25000000
        0.006426857951
        Long
        EC
        CORP
        ES
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617K4VC8
        
          
        
        24526.55000000
        PA
        USD
        25611.51000000
        0.003032997575
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ingredion Inc
        PKSTQ48QDN0XSVS7YK88
        Ingredion Inc
        457187102
        
          
        
        2299.00000000
        NS
        USD
        195667.89000000
        0.023171622291
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6146451  CDS USD R F  5.00000 26146451_FEE CCPCORPORATE / Short: S6146451  CDS USD P V 03MEVENT 26146451_PRO CCPCORPORATE
        000000000
        
          
        
        225000.00000000
        OU
        Notional Amount
        USD
        23414.71000000
        0.002772845438
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CLEVELAND-CLIFFS INC
                CLEVELAND-CLIFFS INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            22022.55000000
            USD
            0.00000000
            USD
            225000.00000000
            USD
            1392.16000000
          
        
        
          N
          N
          N
        
      
      
        ENLINK MIDSTREAM PARTNER
        88CPW63VL7KHJWS0NY83
        EnLink Midstream Partners LP
        29336UAD9
        
          
        
        103000.00000000
        PA
        USD
        79300.73000000
        0.009391048081
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-04-01
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        American Tower Corp
        03027X100
        
          
        
        1288.00000000
        NS
        USD
        310433.76000000
        0.036762566577
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137H53Z8
        
          
        
        2539710.13000000
        PA
        USD
        412734.39000000
        0.048877336959
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kering SA
        549300VGEJKB7SVUZR78
        Kering SA
        000000000
        
          
        
        1533.00000000
        NS
        
        814257.96000000
        0.096427052475
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380VPT2
        
          
        
        1924368.70000000
        PA
        USD
        165403.34000000
        0.019587596719
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2068-02-20
          Variable
          1.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746108
        
          
        
        1269.00000000
        NS
        USD
        206149.05000000
        0.024412835045
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        First Foundation Inc
        254900TQZQ6LBCK77E82
        First Foundation Inc
        32026V104
        
          
        
        39513.00000000
        NS
        USD
        877978.86000000
        0.103973086864
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        EZCORP Inc
        5493003K6PG3ZQ7TUQ63
        EZCORP Inc
        302301106
        
          
        
        133977.00000000
        NS
        USD
        937839.00000000
        0.111061917609
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ALCOA NEDERLAND HOLDING
        5493000UL1QLQLT1VQ42
        Alcoa Nederland Holding BV
        013822AG6
        
          
        
        200000.00000000
        PA
        USD
        187236.00000000
        0.022173090696
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2029-03-31
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382KZW6
        
          
        
        3298235.73000000
        PA
        USD
        507010.40000000
        0.060041805972
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Floating
          5.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank Rakyat Indonesia Persero Tbk PT
        254900HB6S4B12GBNP64
        Bank Rakyat Indonesia Persero Tbk PT
        000000000
        
          
        
        3829200.00000000
        NS
        
        1272775.62000000
        0.150726191855
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B6AS2
        
          
        
        2478799.87000000
        PA
        USD
        453838.51000000
        0.053745019353
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Novagold Resources Inc
        529900587LVZTJ2BHS60
        Novagold Resources Inc
        66987E206
        
          
        
        39070.00000000
        NS
        USD
        243015.40000000
        0.028778667055
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Workspace Group PLC
        2138003GUZRFIN3UT430
        Workspace Group PLC
        000000000
        
          
        
        13320.00000000
        NS
        
        110760.34000000
        0.013116596511
        Long
        EC
        
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        NUTANIX INC
        549300X7J6E8TKVIXW09
        Nutanix Inc
        67059NAB4
        
          
        
        1471000.00000000
        PA
        USD
        1436137.30000000
        0.170072008615
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          None
          0.00000000
          N
          N
          N
          N
          Y
          
            
              Nutanix Inc
              Nutanix Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RQ82
        
          
        
        1304280.41000000
        PA
        USD
        130020.45000000
        0.015397440824
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-01-20
          Variable
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tsakos Energy Navigation Ltd
        549300IFUTS62LRRCU54
        Tsakos Energy Navigation Ltd
        000000000
        
          
        
        18442.00000000
        NS
        USD
        222226.10000000
        0.026316731132
        Long
        EC
        CORP
        BM
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        99P479CD0 PUTNAM
        000000000
        
          
        
        13552000.00000000
        OU
        Notional Amount
        USD
        4031846.44000000
        0.477464252534
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    13552000.00000000
                    OU
                    Notional Amount
                    N/A
                    4031846.44000000
                    0.48000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2057-03-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  13552000.00000000
                  USD
                
              
            
            1.00000000
            1.14000000
            USD
            2027-03-22
            XXXX
            596414.44000000
          
        
        
          N
          N
          N
        
      
      
        CROWN EURO HOLDINGS SA
        85OKW2SW05RZFQS1W718
        Crown European Holdings SA
        000000000
        
          
        
        400000.00000000
        PA
        
        419870.20000000
        0.049722382582
        Long
        DBT
        CORP
        FR
        
        Y
        
        2
        
          2026-02-01
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dai-ichi Life Holdings Inc
        549300ZUFXI7JXZVTZ25
        Dai-ichi Life Holdings Inc
        000000000
        
          
        
        76900.00000000
        NS
        
        1543901.02000000
        0.182833735726
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Pembina Pipeline Corp
        5493002W3L9YICM6FU21
        Pembina Pipeline Corp
        706327103
        
          
        
        11777.00000000
        NS
        
        445631.08000000
        0.052773069035
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        DOCUSIGN INC
        549300Q7PVDWRZ39JG09
        DocuSign Inc
        256163AD8
        
          
        
        936000.00000000
        PA
        USD
        869076.00000000
        0.102918781484
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-15
          None
          0.00000000
          N
          N
          N
          N
          Y
          
            
              DocuSign Inc
              DocuSign Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JUGW8
        
          
        
        18134.04000000
        PA
        USD
        18540.97000000
        0.002195681436
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BAR55
        
          
        
        3408378.02000000
        PA
        USD
        676118.24000000
        0.080068101523
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allied Properties Real Estate Investment Trust
        549300AMZMPKVHA0MY77
        Allied Properties Real Estate Investment Trust
        019456102
        
          
        
        14776.00000000
        NS
        
        479977.02000000
        0.056840425968
        Long
        EC
        
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AFRQ7
        
          
        
        1719997.48000000
        PA
        USD
        281560.66000000
        0.033343320999
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-15
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6263303  CDS EUR R F  5.00000 26263303_FEE CCPCORPORATE / Short: S6263303  CDS EUR P V 03MEVENT 26263303_PRO CCPCORPORATE
        000000000
        
          
        
        508000.00000000
        OU
        Notional Amount
        
        82260.39000000
        0.009741540559
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                STELLANTIS NV
                STELLANTIS NV
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            85809.74000000
            EUR
            0.00000000
            EUR
            508000.00000000
            EUR
            -12418.26000000
          
        
        
          N
          N
          N
        
      
      
        Orion Oyj
        74370029VAHCXDR7B745
        Orion Oyj
        000000000
        
          
        
        1902.00000000
        NS
        
        74412.36000000
        0.008812151547
        Long
        EC
        CORP
        FI
        N
        
        2
        
          N
          N
          N
        
      
      
        Constellation Energy Corp
        549300F8Y20RYGNGV346
        Constellation Energy Corp
        21037T109
        
          
        
        1863.00000000
        NS
        USD
        110308.23000000
        0.013063056187
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376UZH5
        
          
        
        1706155.73000000
        PA
        USD
        299908.22000000
        0.035516098200
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-05-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376MVG9
        
          
        
        908719.66000000
        PA
        USD
        185390.26000000
        0.021954512215
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-03-16
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stryker Corp
        5493002F0SC4JTBU5137
        Stryker Corp
        863667101
        
          
        
        1057.00000000
        NS
        USD
        255011.82000000
        0.030199321783
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B6048148  CDS EUR R V 03MEVENT 26048148_PRO CCPCORPORATE / Short: B6048148  CDS EUR P F  1.00000 26048148_FEE CCPCORPORATE
        000000000
        
          
        
        250000.00000000
        OU
        Notional Amount
        
        4716.90000000
        0.000558590503
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Nokia OYJ
                Nokia OYJ
                
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            5320.12000000
            EUR
            0.00000000
            EUR
            250000.00000000
            EUR
            -1171.18000000
          
        
        
          N
          N
          N
        
      
      
        Rheinmetall AG
        5299001OU9CSE29O6S05
        Rheinmetall AG
        000000000
        
          
        
        15114.00000000
        NS
        
        3416265.48000000
        0.404565170856
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        LIGAND PHARMACEUTICALS I
        5493008K7TB0IKP37H79
        Ligand Pharmaceuticals Inc
        53220KAF5
        
          
        
        3011000.00000000
        PA
        USD
        2896205.63000000
        0.342978006948
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          0.75000000
          N
          N
          N
          N
          Y
          
            
              Ligand Pharmaceuticals Inc
              Ligand Pharmaceuticals Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Trane Technologies PLC
        549300BURLR9SLYY2705
        Trane Technologies PLC
        000000000
        
          
        
        882.00000000
        NS
        USD
        123382.98000000
        0.014611410230
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Crane Co
        549300X1RO9ID7AUCA83
        Crane Co
        224399105
        
          
        
        1069.00000000
        NS
        USD
        102869.87000000
        0.012182181617
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Petronas Chemicals Group Bhd
        N/A
        Petronas Chemicals Group Bhd
        000000000
        
          
        
        350066.00000000
        NS
        
        821756.52000000
        0.097315056122
        Long
        EC
        CORP
        MY
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH539Q3 IRS USD R F  2.28450 99NH539Q3_FIX CCPVANILLA / Short: S9NH539Q3 IRS USD P V 00MSOFR 99NH539Q3_FLO CCPVANILLA
        000000000
        
          
        
        9882000.00000000
        OU
        Notional Amount
        USD
        -383474.47000000
        -0.04541228291
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2052-04-12
            0.00000000
            USD
            0.00000000
            USD
            9882000.00000000
            USD
            -383474.47000000
          
        
        
          N
          N
          N
        
      
      
        Kuraray Co Ltd
        549300W9JPTOE739QZ31
        Kuraray Co Ltd
        000000000
        
          
        
        73100.00000000
        NS
        
        585282.95000000
        0.069311093664
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG839Q2 IRS USD R V 00MSOFR 99NG839Q2_FLO CCPVANILLA / Short: B9NG839Q2 IRS USD P F  2.24700 99NG839Q2_FIX CCPVANILLA
        000000000
        
          
        
        6861000.00000000
        OU
        Notional Amount
        USD
        157543.65000000
        0.018656826892
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-01
            0.00000000
            USD
            0.00000000
            USD
            6861000.00000000
            USD
            157543.65000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NJ759H2 IRS USD R V 00MSOFR 99NJ759H2_FLO CCPVANILLA / Short: B9NJ759H2 IRS USD P F  2.54250 99NJ759H2_FIX CCPVANILLA
        000000000
        
          
        
        14652000.00000000
        OU
        Notional Amount
        USD
        140604.55000000
        0.016650844065
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-28
            0.00000000
            USD
            0.00000000
            USD
            14652000.00000000
            USD
            140604.55000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH069F5 IRS USD R V 00MSOFR 99NH069F5_FLO CCPVANILLA / Short: B9NH069F5 IRS USD P F  2.34850 99NH069F5_FIX CCPVANILLA
        000000000
        
          
        
        3899000.00000000
        OU
        Notional Amount
        USD
        71382.89000000
        0.008453391944
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-05
            0.00000000
            USD
            0.00000000
            USD
            3899000.00000000
            USD
            71382.89000000
          
        
        
          N
          N
          N
        
      
      
        Adyen NV
        724500973ODKK3IFQ447
        Adyen NV
        000000000
        
          
        
        149.00000000
        NS
        
        249196.27000000
        0.029510625605
        Long
        EC
        CORP
        NL
        Y
        
        2
        
          N
          N
          N
        
      
      
        Aecon Group Inc
        549300VROCXVWXFR8B83
        Aecon Group Inc
        00762V109
        
          
        
        14604.00000000
        NS
        
        170180.11000000
        0.020153277220
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Pinnacle West Capital Corp
        TWSEY0NEDUDCKS27AH81
        Pinnacle West Capital Corp
        723484101
        
          
        
        1571.00000000
        NS
        USD
        111855.20000000
        0.013246253361
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99C698CR8 FPPSWAPTION
        000000000
        
          
        
        11043700.00000000
        OU
        Notional Amount
        USD
        1001310.19000000
        0.118578380535
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    11043700.00000000
                    OU
                    Notional Amount
                    N/A
                    1001310.19000000
                    0.12000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2051-03-20
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  11043700.00000000
                  USD
                
              
            
            1.00000000
            2.21500000
            USD
            2041-03-18
            XXXX
            44373.58000000
          
        
        
          N
          N
          N
        
      
      
        Capitaland Investment Ltd/Singapore
        254900AT4UQDU7SNXX49
        Capitaland Investment Ltd/Singapore
        000000000
        
          
        
        104400.00000000
        NS
        
        317059.47000000
        0.037547204514
        Long
        EC
        CORP
        SG
        N
        
        2
        
          N
          N
          N
        
      
      
        UNITED GROUP BV
        213800PC85O8BJ7DU398
        United Group BV
        000000000
        
          
        
        210000.00000000
        PA
        
        192372.10000000
        0.022781324215
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2028-02-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NVIDIA Corp
        549300S4KLFTLO7GSQ80
        NVIDIA Corp
        67066G104
        
          
        
        4583.00000000
        NS
        USD
        850009.01000000
        0.100660807063
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH919O8 IRS USD R F  2.67300 99NH919O8_FIX CCPVANILLA / Short: S9NH919O8 IRS USD P V 00MSOFR 99NH919O8_FLO CCPVANILLA
        000000000
        
          
        
        4774000.00000000
        OU
        Notional Amount
        USD
        -15720.30000000
        -0.00186164860
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-22
            0.00000000
            USD
            0.00000000
            USD
            4774000.00000000
            USD
            -15720.30000000
          
        
        
          N
          N
          N
        
      
      
        Best Buy Co Inc
        HL5XPTVRV0O8TUN5LL90
        Best Buy Co Inc
        086516101
        
          
        
        823.00000000
        NS
        USD
        74012.39000000
        0.008764785811
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chevron Corp
        N/A
        Chevron Corp
        166764100
        
          
        
        5457.00000000
        NS
        USD
        854948.19000000
        0.101245720681
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Russell Investments Trust Company Commingled Employee Benefit Funds Trust-U.S. Cash Collateral Fund
        B4DCP86PGS7VRJXJTE28
        U.S. Cash Collateral Fund
        000000000
        
          
        
        3030848.40000000
        NS
        USD
        3030848.40000000
        0.358922837807
        Long
        STIV
        PF
        US
        N
        
        N/A
        
          
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH919G5 IRS USD R F  2.42800 99NH919G5_FIX CCPVANILLA / Short: S9NH919G5 IRS USD P V 00MSOFR 99NH919G5_FLO CCPVANILLA
        000000000
        
          
        
        12586000.00000000
        OU
        Notional Amount
        USD
        -71979.33000000
        -0.00852402429
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-04-20
            0.00000000
            USD
            0.00000000
            USD
            12586000.00000000
            USD
            -71979.33000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376MSQ1
        
          
        
        3120703.33000000
        PA
        USD
        617187.74000000
        0.073089361744
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UL81
        
          
        
        5554288.80000000
        PA
        USD
        499069.51000000
        0.059101420180
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-10-20
          Variable
          2.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adobe Inc
        FU4LY2G4933NH2E1CP29
        Adobe Inc
        00724F101
        
          
        
        3139.00000000
        NS
        USD
        1242887.05000000
        0.147186691046
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382AYS8
        
          
        
        2288419.21000000
        PA
        USD
        369690.23000000
        0.043779908774
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Power Assets Holdings Ltd
        254900JOWYUW1ZX4DF47
        Power Assets Holdings Ltd
        000000000
        
          
        
        26000.00000000
        NS
        
        174692.81000000
        0.020687685702
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        S+P/TSX 60 IX FUT JUN22
        000000000
        
          
        
        -2.00000000
        NC
        
        12016.49000000
        0.001423031482
        N/A
        DE
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Short
            
              
                MSE S&P/TSX 60 Index Future
                PTM2 INDEX
              
            
            2022-06-16
            -516236.98000000
            CAD
            12016.49000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382AJU0
        
          
        
        3170400.01000000
        PA
        USD
        323864.92000000
        0.038353127841
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Floating
          5.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BXH62
        
          
        
        655788.93000000
        PA
        USD
        116438.34000000
        0.013789003574
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-04-15
          Floating
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORBIA ADVANCE CORP SAB
        549300MVHZ20SBIOEQ79
        Orbia Advance Corp SAB de CV
        000000000
        
          
        
        200000.00000000
        PA
        USD
        179000.00000000
        0.021197757026
        Long
        DBT
        CORP
        MX
        Y
        
        2
        
          2026-05-11
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B0VD5
        
          
        
        458191.43000000
        PA
        USD
        64167.69000000
        0.007598944701
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sino Land Co Ltd
        529900G5P51053HJVZ92
        Sino Land Co Ltd
        000000000
        
          
        
        62000.00000000
        NS
        
        81709.05000000
        0.009676249099
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        LIBERTY MEDIA CORP
        549300ZKUTPIBZLWLL89
        Liberty Media Corp
        531229AG7
        
          
        
        1183000.00000000
        PA
        USD
        1139229.00000000
        0.134911170612
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2048-03-31
          Fixed
          2.13000000
          N
          N
          N
          N
          N
          
            
              Liberty Media Corp
              Liberty Media Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Infosys Ltd
        335800TYLGG93MM7PR89
        Infosys Ltd
        456788108
        
          
        
        73541.00000000
        NS
        USD
        1461259.67000000
        0.173047080655
        Long
        EC
        CORP
        IN
        N
        
        1
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Trust Holdings Inc
        353800P843RLCDBLNT17
        Sumitomo Mitsui Trust Holdings Inc
        000000000
        
          
        
        48000.00000000
        NS
        
        1486988.27000000
        0.176093944406
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NG289F1 IRS USD R F  1.95000 99NG289F1_FIX CCPVANILLA / Short: S9NG289F1 IRS USD P V 00MSOFR 99NG289F1_FLO CCPVANILLA
        000000000
        
          
        
        17461000.00000000
        OU
        Notional Amount
        USD
        -1198479.39000000
        -0.14192779279
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-06-15
            0.00000000
            USD
            -463139.75000000
            USD
            17461000.00000000
            USD
            -735339.64000000
          
        
        
          N
          N
          N
        
      
      
        SUPERNUS PHARMACEUTICALS
        549300GRM36VBKISYJ58
        Supernus Pharmaceuticals Inc
        868459AD0
        
          
        
        2671000.00000000
        PA
        USD
        2585861.88000000
        0.306226099645
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-01
          Fixed
          0.63000000
          N
          N
          N
          N
          Y
          
            
              Supernus Pharmaceuticals Inc
              Supernus Pharmaceuticals Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382DBF5
        
          
        
        4169010.06000000
        PA
        USD
        664385.95000000
        0.078678725921
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Entergy Corp
        4XM3TW50JULSLG8BNC79
        Entergy Corp
        29364G103
        
          
        
        1516.00000000
        NS
        USD
        180176.60000000
        0.021337093791
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Elisa Oyj
        743700TU2S3DXWGU7H32
        Elisa Oyj
        000000000
        
          
        
        2552.00000000
        NS
        
        149157.55000000
        0.017663717897
        Long
        EC
        CORP
        FI
        N
        
        2
        
          N
          N
          N
        
      
      
        Toronto-Dominion Bank
        PT3QB789TSUIDF371261
        PURCHASED USD / SOLD DKK
        000000000
        
          
        
        1.00000000
        NC
        
        45668.35000000
        0.005408193224
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Toronto-Dominion Bank
              PT3QB789TSUIDF371261
            
            6387660.00000000
            DKK
            953326.60000000
            USD
            2022-06-15
            45668.35000000
          
        
        
          N
          N
          N
        
      
      
        Atos SE
        5493001EZOOA66PTBR68
        Atos SE
        000000000
        
          
        
        209195.00000000
        NS
        
        5061319.46000000
        0.599377766184
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Rotork PLC
        213800AH5RZIHGWRJ718
        Rotork PLC
        000000000
        
          
        
        32788.00000000
        NS
        
        118791.18000000
        0.014067634472
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        BankUnited Inc
        96OVUWEW5D4YX6PFXD91
        BankUnited Inc
        06652K103
        
          
        
        21910.00000000
        NS
        USD
        822501.40000000
        0.097403267213
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FTYA9
        
          
        
        1491837.95000000
        PA
        USD
        232312.74000000
        0.027511223556
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ANAR6
        
          
        
        756002.07000000
        PA
        USD
        128372.02000000
        0.015202228430
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-15
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B8BC2
        
          
        
        3146437.53000000
        PA
        USD
        532711.38000000
        0.063085398874
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-25
          Floating
          5.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F040669
        
          
        
        40000000.00000000
        PA
        USD
        39642187.20000000
        4.694555599263
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-13
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IRONWOOD PHARMACEUTICALS
        549300PC8MR6QHH6P296
        Ironwood Pharmaceuticals Inc
        46333XAD0
        
          
        
        109000.00000000
        PA
        USD
        108455.00000000
        0.012843590716
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-15
          Fixed
          2.25000000
          N
          N
          N
          N
          Y
          
            
              Ironwood Pharmaceuticals Inc
              Ironwood Pharmaceuticals Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Safestore Holdings PLC
        213800WGA3YSJC1YOH73
        Safestore Holdings PLC
        000000000
        
          
        
        13536.00000000
        NS
        
        212830.41000000
        0.025204063234
        Long
        EC
        
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Hubbell Inc
        54930088VDQ6840Y6597
        Hubbell Inc
        443510607
        
          
        
        947.00000000
        NS
        USD
        185005.92000000
        0.021908997433
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of New York Mellon
        HPFHU0OQ28E4N0NFVK49
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        14176.78000000
        0.001678859988
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of New York Mellon
              HPFHU0OQ28E4N0NFVK49
            
            268186.19000000
            NZD
            187314.38000000
            USD
            2022-06-09
            14176.78000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6187704  CDS USD R F  5.00000 26187704_FEE CCPCORPORATE / Short: S6187704  CDS USD P V 03MEVENT 26187704_PRO CCPCORPORATE
        000000000
        
          
        
        843000.00000000
        OU
        Notional Amount
        USD
        120727.41000000
        0.014296929070
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                ALLY FINANCIAL INC
                ALLY FINANCIAL INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            136902.85000000
            USD
            0.00000000
            USD
            843000.00000000
            USD
            -16175.44000000
          
        
        
          N
          N
          N
        
      
      
        Alphabet Inc
        5493006MHB84DD0ZWV18
        Alphabet Inc
        02079K107
        
          
        
        745.00000000
        NS
        USD
        1713000.85000000
        0.202859082707
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FMZA3
        
          
        
        3341510.45000000
        PA
        USD
        399322.19000000
        0.047289020999
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOODYEAR EUROPE BV
        529900AJU331P2QORU39
        Goodyear Europe BV
        000000000
        
          
        
        122000.00000000
        PA
        
        110202.22000000
        0.013050502141
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2028-08-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bangkok Dusit Medical Services PCL
        N/A
        Bangkok Dusit Medical Services PCL
        000000000
        
          
        
        952500.00000000
        NS
        
        712942.88000000
        0.084428994100
        Long
        EC
        CORP
        TH
        N
        
        2
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAS0
        
          
        
        35000.00000000
        PA
        USD
        33779.04000000
        0.004000222807
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2026-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICF International Inc
        5493003KYFDDC5B3WY64
        ICF International Inc
        44925C103
        
          
        
        6877.00000000
        NS
        USD
        679516.37000000
        0.080470519032
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cigna Corp
        549300VIWYMSIGT1U456
        Cigna Corp
        125523100
        
          
        
        624.00000000
        NS
        USD
        153990.72000000
        0.018236077468
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99C184AG5 SWAPTION
        000000000
        
          
        
        4513100.00000000
        OU
        Notional Amount
        USD
        397997.02000000
        0.047132090096
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    4513100.00000000
                    OU
                    Notional Amount
                    N/A
                    397997.02000000
                    0.05000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2050-01-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4513100.00000000
                  USD
                
              
            
            1.00000000
            2.02750000
            USD
            2030-01-22
            XXXX
            -125296.93000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -563.93000000
        -0.00006678240
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            2061921630.00000000
            COP
            518499.37000000
            USD
            2022-05-24
            -563.93000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        6321.29000000
        0.000748587539
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            635142.37000000
            NOK
            74043.48000000
            USD
            2022-06-09
            6321.29000000
          
        
        
          N
          N
          N
        
      
      
        Cie Financiere Richemont SA
        549300YIPGJ6UX2QPS51
        Cie Financiere Richemont SA
        000000000
        
          
        
        5055.00000000
        NS
        
        587608.00000000
        0.069586433580
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        44338.01000000
        0.005250650072
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            850320.00000000
            CHF
            920369.31000000
            USD
            2022-06-15
            44338.01000000
          
        
        
          N
          N
          N
        
      
      
        EUROFINS SCIENTIFIC SE
        529900JEHFM47DYY3S57
        Eurofins Scientific SE
        000000000
        
          
        
        100000.00000000
        PA
        
        101623.36000000
        0.012034565885
        Long
        DBT
        CORP
        LU
        Y
        
        2
        
          2025-11-13
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR REAL ESTATE FIN
        549300K23AYZDZ2REL62
        KKR Real Estate Finance Trust Inc
        48251KAB6
        
          
        
        2269000.00000000
        PA
        USD
        2276090.63000000
        0.269541989638
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          6.13000000
          N
          N
          N
          N
          Y
          
            
              KKR Real Estate Finance Trust Inc
              KKR Real Estate Finance Trust Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        M&T Bank Corp
        549300WYXDDBYRASEG81
        M&T Bank Corp
        55261F104
        
          
        
        1310.00000000
        NS
        USD
        218298.40000000
        0.025851600237
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        383155.24000000
        0.045374478664
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            2013820.58000000
            USD
            11850528.60000000
            BRL
            2022-05-03
            383155.24000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377Y2F6
        
          
        
        249487.55000000
        PA
        USD
        16635.51000000
        0.001970030720
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381RRQ4
        
          
        
        2637471.76000000
        PA
        USD
        362631.53000000
        0.042943994766
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Floating
          5.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B5SA2
        
          
        
        1881802.82000000
        PA
        USD
        224480.45000000
        0.026583698526
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-15
          Floating
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESR Cayman Ltd
        549300C81AR42BZUFZ09
        ESR Cayman Ltd
        000000000
        
          
        
        43600.00000000
        NS
        
        132244.00000000
        0.015660760783
        Long
        EC
        CORP
        KY
        
        Y
        
        2
        
          N
          N
          N
        
      
      
        Alimentation Couche-Tard Inc
        549300OSW32RVX8CCZ87
        Alimentation Couche-Tard Inc
        01626P304
        
          
        
        4142.00000000
        NS
        
        184393.40000000
        0.021836460840
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Sempra Energy
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851109
        
          
        
        3419.00000000
        NS
        USD
        551689.84000000
        0.065332889286
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99P830AI5 PUTNAM
        000000000
        
          
        
        7310000.00000000
        OU
        Notional Amount
        USD
        1273707.19000000
        0.150836511377
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    7310000.00000000
                    OU
                    Notional Amount
                    N/A
                    1273707.19000000
                    0.15000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-01-05
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7310000.00000000
                  USD
                
              
            
            1.00000000
            1.67100000
            USD
            2032-01-05
            XXXX
            404548.19000000
          
        
        
          N
          N
          N
        
      
      
        O'Reilly Automotive Inc
        549300K2RLMQL149Q332
        O'Reilly Automotive Inc
        67103H107
        
          
        
        251.00000000
        NS
        USD
        152244.05000000
        0.018029231176
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6127548  CDS EUR R F  1.00000 26127548_FEE CCPCORPORATE / Short: S6127548  CDS EUR P V 03MEVENT 26127548_PRO CCPCORPORATE
        000000000
        
          
        
        550000.00000000
        OU
        Notional Amount
        
        -39715.94000000
        -0.00470328964
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                thyssenkrupp AG
                thyssenkrupp AG
                
                  
                
              
            
            Y
            
            sell protection
            2025-06-20
            0.00000000
            EUR
            -22947.27000000
            EUR
            550000.00000000
            EUR
            -14677.01000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382LYL9
        
          
        
        4678838.63000000
        PA
        USD
        711333.66000000
        0.084238425081
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-12-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sawai Group Holdings Co Ltd
        N/A
        Sawai Group Holdings Co Ltd
        000000000
        
          
        
        14800.00000000
        NS
        
        496285.62000000
        0.058771742952
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Wuxi Biologics Cayman Inc
        5493001TD2TH6VDTJU11
        Wuxi Biologics Cayman Inc
        000000000
        
          
        
        91500.00000000
        NS
        
        664005.25000000
        0.078633642200
        Long
        EC
        CORP
        KY
        
        Y
        
        2
        
          N
          N
          N
        
      
      
        Bank Central Asia Tbk PT
        254900BR956G2OHVOM21
        Bank Central Asia Tbk PT
        000000000
        
          
        
        1885395.00000000
        NS
        
        1054500.50000000
        0.124877348510
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Tokyu Fudosan Holdings Corp
        N/A
        Tokyu Fudosan Holdings Corp
        000000000
        
          
        
        17300.00000000
        NS
        
        89940.08000000
        0.010650994205
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650100
        
          
        
        1926.00000000
        NS
        USD
        185146.38000000
        0.021925631159
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Parkway Life Real Estate Investment Trust
        549300I4DKVD2OF5LW91
        Parkway Life Real Estate Investment Trust
        000000000
        
          
        
        47200.00000000
        NS
        
        164254.74000000
        0.019451575804
        Long
        EC
        
        SG
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378GHA9
        
          
        
        952312.13000000
        PA
        USD
        142419.61000000
        0.016865789321
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLP J-Reit
        353800E27V9KA51K2I90
        GLP J-Reit
        000000000
        
          
        
        196.00000000
        NS
        
        263253.67000000
        0.031175348229
        Long
        EC
        
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        DuPont de Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26614N102
        
          
        
        14961.00000000
        NS
        USD
        986378.73000000
        0.116810148909
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kasikornbank PCL
        5493004COSQ54937AW41
        Kasikornbank PCL
        000000000
        
          
        
        212000.00000000
        NS
        
        925772.62000000
        0.109632977992
        Long
        EC
        CORP
        TH
        N
        
        2
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        673372.65000000
        0.079742959905
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            719200012.00000000
            JPY
            6223014.53000000
            USD
            2022-06-15
            673372.65000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378U8K6
        
          
        
        726033.07000000
        PA
        USD
        32544.87000000
        0.003854068417
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2064-12-20
          Variable
          1.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        adidas AG
        549300JSX0Z4CW0V5023
        adidas AG
        000000000
        
          
        
        330.00000000
        NS
        
        67213.83000000
        0.007959678419
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -14660.19000000
        -0.00173610695
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            3422434545.00000000
            COP
            846895.42000000
            USD
            2022-05-24
            -14660.19000000
          
        
        
          N
          N
          N
        
      
      
        Brixmor Property Group Inc
        5299007UXW6Y0W2EGZ95
        Brixmor Property Group Inc
        11120U105
        
          
        
        6460.00000000
        NS
        USD
        163954.80000000
        0.019416055942
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Wharf Real Estate Investment Co Ltd
        529900QLPKS8U9QOPB59
        Wharf Real Estate Investment Co Ltd
        000000000
        
          
        
        29000.00000000
        NS
        
        135993.23000000
        0.016104756686
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Worldline SA/France
        549300CJMQNCA0U4TS33
        Worldline SA/France
        000000000
        
          
        
        20183.00000000
        NS
        
        791083.91000000
        0.093682706769
        Long
        EC
        CORP
        FR
        Y
        
        2
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBR3
        
          
        
        713000.00000000
        PA
        USD
        638995.18000000
        0.075671869088
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2078-02-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FXV62
        
          
        
        4151457.75000000
        PA
        USD
        795731.91000000
        0.094233137913
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-04-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illumina Inc
        SQ95QG8SR5Q56LSNF682
        Illumina Inc
        452327109
        
          
        
        2623.00000000
        NS
        USD
        778112.95000000
        0.092146643873
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BANCO BTG PACTUAL/CAYMAN
        ZXLTQRYIK6IJH3R0IK66
        Banco BTG Pactual SA/Cayman Islands
        05971BAG4
        
          
        
        200000.00000000
        PA
        USD
        182250.00000000
        0.021582632503
        Long
        DBT
        CORP
        BR
        Y
        
        2
        
          2026-01-11
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Walt Disney Co/The
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687106
        
          
        
        13030.00000000
        NS
        USD
        1454538.90000000
        0.172251185407
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RCL8
        
          
        
        1670308.91000000
        PA
        USD
        81737.23000000
        0.009679586265
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2065-06-20
          Variable
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BBWL2
        
          
        
        3657455.35000000
        PA
        USD
        736122.51000000
        0.087174000607
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Garmin Ltd
        2549001E0HIPIJQ0W046
        Garmin Ltd
        000000000
        
          
        
        1216.00000000
        NS
        USD
        133443.84000000
        0.015802849703
        Long
        EC
        CORP
        CH
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Avia Avian Tbk PT
        2549006YBXNWWWTP2773
        Avia Avian Tbk PT
        000000000
        
          
        
        9629958.00000000
        NS
        
        544718.68000000
        0.064507342047
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042665
        
          
        
        -45000000.00000000
        PA
        USD
        -45540626.40000000
        -5.39306778360
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-13
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Subaru Corp
        549300N244BVAEE6HH86
        Subaru Corp
        000000000
        
          
        
        17000.00000000
        NS
        
        255758.31000000
        0.030287723535
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Target Corp
        8WDDFXB5T1Z6J0XC1L66
        Target Corp
        87612E106
        
          
        
        1656.00000000
        NS
        USD
        378644.40000000
        0.044840290450
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Dino Polska SA
        259400H4L81SMPRTW956
        Dino Polska SA
        000000000
        
          
        
        10730.00000000
        NS
        
        692493.17000000
        0.082007273520
        Long
        EC
        CORP
        PL
        Y
        
        2
        
          N
          N
          N
        
      
      
        Sun Hung Kai Properties Ltd
        529900LUMD393RD3S874
        Sun Hung Kai Properties Ltd
        000000000
        
          
        
        53500.00000000
        NS
        
        616383.51000000
        0.072994122235
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        Principal Financial Group Inc
        CUMYEZJOAF02RYZ1JJ85
        Principal Financial Group Inc
        74251V102
        
          
        
        2364.00000000
        NS
        USD
        161082.96000000
        0.019075963392
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Walmart Inc
        Y87794H0US1R65VBXU25
        Walmart Inc
        931142103
        
          
        
        9295.00000000
        NS
        USD
        1422042.05000000
        0.168402803673
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SHIMAO GROUP HLDGS LTD
        254900WTJ6B5CU69ZD26
        Shimao Group Holdings Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        43000.00000000
        0.005092198615
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2030-07-13
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mitsui & Co Ltd
        2NRSB4GOU9DD6CNW5R48
        Mitsui & Co Ltd
        000000000
        
          
        
        21200.00000000
        NS
        
        513778.64000000
        0.060843322771
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        China Petroleum & Chemical Corp
        529900A2OB24EZ5B3J19
        China Petroleum & Chemical Corp
        000000000
        
          
        
        332000.00000000
        NS
        
        163506.76000000
        0.019362997601
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379GJA6
        
          
        
        840723.79000000
        PA
        USD
        158654.84000000
        0.018788417594
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-09-16
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B2DL3
        
          
        
        1423261.54000000
        PA
        USD
        247802.64000000
        0.029345587448
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        S+P/TSX 60 IX FUT JUN22
        000000000
        
          
        
        8.00000000
        NC
        
        -48044.39000000
        -0.00568957154
        N/A
        DE
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Long
            
              
                MSE S&P/TSX 60 Index Future
                PTM2 INDEX
              
            
            2022-06-16
            2064920.23000000
            CAD
            -48044.39000000
          
        
        
          N
          N
          N
        
      
      
        KB Financial Group Inc
        529900TKE4MXG3Q6GW86
        KB Financial Group Inc
        000000000
        
          
        
        10230.00000000
        NS
        
        472769.92000000
        0.055986937953
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Kato Sangyo Co Ltd
        N/A
        Kato Sangyo Co Ltd
        000000000
        
          
        
        7000.00000000
        NS
        
        181482.22000000
        0.021491709520
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99C559JF1 SWAPTION
        000000000
        
          
        
        10587200.00000000
        OU
        Notional Amount
        USD
        585968.70000000
        0.069392302389
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    10587200.00000000
                    OU
                    Notional Amount
                    N/A
                    585968.70000000
                    0.07000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2049-10-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10587200.00000000
                  USD
                
              
            
            1.00000000
            1.79400000
            USD
            2029-10-02
            XXXX
            -307890.84000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B4SD1
        
          
        
        1093108.14000000
        PA
        USD
        109875.30000000
        0.013011787221
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOK Financial Corp
        GRI2NT5QHYW751NMR949
        BOK Financial Corp
        05561Q201
        
          
        
        1710.00000000
        NS
        USD
        141810.30000000
        0.016793632867
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380XLA3
        
          
        
        1057902.10000000
        PA
        USD
        142018.28000000
        0.016818262529
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KT Corp
        9884005ACF8449EANY26
        KT Corp
        48268K101
        
          
        
        100440.00000000
        NS
        USD
        1399129.20000000
        0.165689390114
        Long
        EC
        CORP
        KR
        N
        
        1
        
          N
          N
          N
        
      
      
        Public Storage
        549300LMZF40TKJ6DM64
        Public Storage
        74460D109
        
          
        
        5866.00000000
        NS
        USD
        2179219.00000000
        0.258070138937
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6028884  CDS EUR R F  1.00000 26028884_FEE CCPCORPORATE / Short: S6028884  CDS EUR P V 03MEVENT 26028884_PRO CCPCORPORATE
        000000000
        
          
        
        250000.00000000
        OU
        Notional Amount
        
        -4716.90000000
        -0.00055859050
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Nokia OYJ
                Nokia OYJ
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            EUR
            -5348.62000000
            EUR
            250000.00000000
            EUR
            1202.87000000
          
        
        
          N
          N
          N
        
      
      
        Nine Dragons Paper Holdings Ltd
        529900TBMYEYJ2LEV906
        Nine Dragons Paper Holdings Ltd
        000000000
        
          
        
        383000.00000000
        NS
        
        337233.57000000
        0.039936286469
        Long
        EC
        CORP
        BM
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RG42
        
          
        
        1184879.80000000
        PA
        USD
        89569.80000000
        0.010607144454
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-11-20
          Variable
          2.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HELIX ENERGY SOLUTIONS
        416AP2JOUTCWEGSOZW41
        Helix Energy Solutions Group Inc
        42330PAH0
        
          
        
        1647000.00000000
        PA
        USD
        1647148.77000000
        0.195060667112
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-05-01
          Fixed
          4.25000000
          N
          N
          N
          N
          Y
          
            
              Helix Energy Solutions Group Inc
              Helix Energy Solutions Group Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Sanlam Ltd
        37890014418406D9FC23
        Sanlam Ltd
        000000000
        
          
        
        37246.00000000
        NS
        
        154191.04000000
        0.018259800008
        Long
        EC
        CORP
        ZA
        N
        
        2
        
          N
          N
          N
        
      
      
        Afya Ltd
        54930008Y7J8Z1BSDT57
        Afya Ltd
        000000000
        
          
        
        13335.00000000
        NS
        USD
        201491.85000000
        0.023861314408
        Long
        EC
        CORP
        KY
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Huntsman Corp
        5299000V56320A7RIQ67
        Huntsman Corp
        447011107
        
          
        
        61142.00000000
        NS
        USD
        2070879.54000000
        0.245240230839
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        RWT HOLDINGS INC
        Z31FN4C0IQMCYFAEUP31
        RWT Holdings Inc
        749772AD1
        
          
        
        999000.00000000
        PA
        USD
        927072.00000000
        0.109786854760
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          5.75000000
          N
          N
          N
          N
          N
          
            
              Redwood Trust Inc
              Redwood Trust Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022659
        
          
        
        -20000000.00000000
        PA
        USD
        -18244404.20000000
        -2.16056115824
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-12
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RMR Group Inc/The
        549300JP4L34E48UJM16
        RMR Group Inc/The
        74967R106
        
          
        
        17130.00000000
        NS
        USD
        467306.40000000
        0.055339930302
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ICE Futures Europe
        549300UF4R84F48NCH34
        LONG GILT FUTURE JUN22
        000000000
        
          
        
        -245.00000000
        NC
        
        1169958.94000000
        0.138550309168
        N/A
        DIR
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe
              549300UF4R84F48NCH34
            
            Short
            
              
                ICF Long Gilt Future
                G M2 COMDTY
              
            
            2022-06-28
            -29948221.55000000
            GBP
            1169958.94000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382UZC8
        
          
        
        3289109.25000000
        PA
        USD
        577999.44000000
        0.068448556930
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-06-20
          Floating
          5.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exxon Mobil Corp
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231G102
        
          
        
        2561.00000000
        NS
        USD
        218325.25000000
        0.025854779900
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cellnex Telecom SA
        5493008T4YG3AQUI7P67
        Cellnex Telecom SA
        000000000
        
          
        
        2800.00000000
        NS
        
        130879.17000000
        0.015499133215
        Long
        EC
        CORP
        ES
        Y
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NJ659L4 IRS USD R F  2.70400 99NJ659L4_FIX CCPVANILLA / Short: S9NJ659L4 IRS USD P V 00MSOFR 99NJ659L4_FLO CCPVANILLA
        000000000
        
          
        
        2368000.00000000
        OU
        Notional Amount
        USD
        -586.55000000
        -0.00006946114
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-25
            0.00000000
            USD
            0.00000000
            USD
            2368000.00000000
            USD
            -586.55000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BNAF1
        
          
        
        953141.30000000
        PA
        USD
        158843.09000000
        0.018810710766
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-15
          Variable
          5.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NF899V0 IRS USD R F  1.95150 99NF899V0_FIX CCPVANILLA / Short: S9NF899V0 IRS USD P V 00MSOFR 99NF899V0_FLO CCPVANILLA
        000000000
        
          
        
        13892000.00000000
        OU
        Notional Amount
        USD
        -902237.19000000
        -0.10684583650
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            USD
            0.00000000
            USD
            13892000.00000000
            USD
            -902237.19000000
          
        
        
          N
          N
          N
        
      
      
        LIBERTY BROADBAND CORP
        549300MIX43II8JLN536
        Liberty Broadband Corp
        530307AC1
        
          
        
        2531000.00000000
        PA
        USD
        2379140.00000000
        0.281745428224
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2050-09-30
          Fixed
          1.25000000
          N
          N
          N
          N
          N
          
            
              Liberty Broadband Corp
              Liberty Broadband Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        China Mengniu Dairy Co Ltd
        2549005Q343BSJ8RSS21
        China Mengniu Dairy Co Ltd
        000000000
        
          
        
        177000.00000000
        NS
        
        952285.83000000
        0.112772757788
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        172796.30000000
        0.020463094874
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            4233333.34000000
            EUR
            4647543.84000000
            USD
            2022-06-15
            172796.30000000
          
        
        
          N
          N
          N
        
      
      
        Samsung Electro-Mechanics Co Ltd
        N/A
        Samsung Electro-Mechanics Co Ltd
        000000000
        
          
        
        672.00000000
        NS
        
        86971.30000000
        0.010299421707
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376UPF0
        
          
        
        1348257.31000000
        PA
        USD
        254877.66000000
        0.030183434123
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Emera Inc
        NQZVQT2P5IUF2PGA1Q48
        Emera Inc
        290876101
        
          
        
        2483.00000000
        NS
        
        119892.96000000
        0.014198110811
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        RingCentral Inc
        549300C8EH0H1614VE84
        RingCentral Inc
        76680R206
        
          
        
        14650.00000000
        NS
        USD
        1243052.50000000
        0.147206284169
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ABTJ2
        
          
        
        4141675.12000000
        PA
        USD
        915561.60000000
        0.108423756087
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-25
          Floating
          6.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398NRU0
        
          
        
        2681950.36000000
        PA
        USD
        428925.39000000
        0.050794727372
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nestle SA
        KY37LUS27QQX7BB93L28
        Nestle SA
        000000000
        
          
        
        2817.00000000
        NS
        
        363690.12000000
        0.043069356406
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        SEALED AIR CORP
        Q0M0CZB4YN6JZ65WXI09
        Sealed Air Corp
        81211KAY6
        
          
        
        400000.00000000
        PA
        USD
        376000.00000000
        0.044527132078
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2027-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Axis Capital Holdings Ltd
        N/A
        Axis Capital Holdings Ltd
        000000000
        
          
        
        9417.00000000
        NS
        USD
        539876.61000000
        0.063933928509
        Long
        EC
        CORP
        BM
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99P200EY2 PUTNAM
        000000000
        
          
        
        2537800.00000000
        OU
        Notional Amount
        USD
        214403.01000000
        0.025390295596
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    2537800.00000000
                    OU
                    Notional Amount
                    N/A
                    214403.01000000
                    0.03000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-05-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2537800.00000000
                  USD
                
              
            
            1.00000000
            1.76900000
            USD
            2022-05-09
            XXXX
            175092.49000000
          
        
        
          N
          N
          N
        
      
      
        Luks Group Vietnam Holdings Co Ltd
        5299004B24AHX4THUB34
        Luks Group Vietnam Holdings Co Ltd
        000000000
        
          
        
        468000.00000000
        NS
        
        79831.72000000
        0.009453929628
        Long
        EC
        CORP
        BM
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FWVY3
        
          
        
        3697990.11000000
        PA
        USD
        736803.82000000
        0.087254683534
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          5.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B4DT2
        
          
        
        888470.40000000
        PA
        USD
        91963.97000000
        0.010890669783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-04-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NH Foods Ltd
        353800NLDBIOUQILWU82
        NH Foods Ltd
        000000000
        
          
        
        17200.00000000
        NS
        
        545073.97000000
        0.064549416634
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UM49
        
          
        
        3990043.38000000
        PA
        USD
        397286.62000000
        0.047047962238
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-10-20
          Variable
          2.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FTPE1
        
          
        
        2793076.18000000
        PA
        USD
        359806.87000000
        0.042609489423
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SM Energy Co
        84BUTVXV5ODI6BXNMH43
        SM Energy Co
        78454L100
        
          
        
        48113.00000000
        NS
        USD
        1709454.89000000
        0.202439158693
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RWX0
        
          
        
        6522030.61000000
        PA
        USD
        345919.37000000
        0.040964886905
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-07-20
          Variable
          2.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DL E&C Co Ltd
        N/A
        DL E&C Co Ltd
        000000000
        
          
        
        1552.00000000
        NS
        
        72923.08000000
        0.008635786209
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH539H3 IRS USD R V 00MSOFR 99NH539H3_FLO CCPVANILLA / Short: B9NH539H3 IRS USD P F  2.47900 99NH539H3_FIX CCPVANILLA
        000000000
        
          
        
        796000.00000000
        OU
        Notional Amount
        USD
        15829.34000000
        0.001874561470
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-12
            0.00000000
            USD
            0.00000000
            USD
            796000.00000000
            USD
            15829.34000000
          
        
        
          N
          N
          N
        
      
      
        Charoen Pokphand Foods PCL
        529900FJ3AI2GKGIWK15
        Charoen Pokphand Foods PCL
        000000000
        
          
        
        732800.00000000
        NS
        
        513788.48000000
        0.060844488056
        Long
        EC
        CORP
        TH
        N
        
        2
        
          N
          N
          N
        
      
      
        LIBERTY LATIN AMERICA
        213800YWQHEAX7CAVO83
        Liberty Latin America Ltd
        53069QAB5
        
          
        
        1170000.00000000
        PA
        USD
        1061043.75000000
        0.125652221268
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2024-07-15
          Fixed
          2.00000000
          N
          N
          N
          N
          Y
          
            
              Liberty Latin America Ltd
              Liberty Latin America Ltd
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Yamada Holdings Co Ltd
        353800MDZ4K1DQKLO464
        Yamada Holdings Co Ltd
        000000000
        
          
        
        186700.00000000
        NS
        
        556190.05000000
        0.065865818662
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99C148AR6 SWAPTION
        000000000
        
          
        
        3956100.00000000
        OU
        Notional Amount
        USD
        537227.66000000
        0.063620231310
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3956100.00000000
                    OU
                    Notional Amount
                    N/A
                    537227.66000000
                    0.06000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2061-01-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3956100.00000000
                  USD
                
              
            
            1.00000000
            1.62500000
            USD
            2041-01-22
            XXXX
            -46297.09000000
          
        
        
          N
          N
          N
        
      
      
        Galaxy Entertainment Group Ltd
        549300ZSEBV3HR826S10
        Galaxy Entertainment Group Ltd
        000000000
        
          
        
        110000.00000000
        NS
        
        628325.10000000
        0.074408283818
        Long
        EC
        CORP
        HK
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Host Hotels & Resorts Inc
        N6EL63S0K3PB1YFTDI24
        Host Hotels & Resorts Inc
        44107P104
        
          
        
        23263.00000000
        NS
        USD
        473402.05000000
        0.056061796825
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank Mandiri Persero Tbk PT
        549300RSKQN4Z5ZSGH94
        Bank Mandiri Persero Tbk PT
        000000000
        
          
        
        1315595.00000000
        NS
        
        810626.35000000
        0.095996985512
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        ZIGGO BOND CO BV
        213800JYI4P7V5QDOG59
        Ziggo Bond Co BV
        000000000
        
          
        
        100000.00000000
        PA
        
        87909.85000000
        0.010410567824
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2030-02-28
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of New York Mellon
        HPFHU0OQ28E4N0NFVK49
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -724893.76000000
        -0.08584425583
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Bank of New York Mellon
              HPFHU0OQ28E4N0NFVK49
            
            12918670.81000000
            USD
            9697245.77000000
            GBP
            2022-06-09
            -724893.76000000
          
        
        
          N
          N
          N
        
      
      
        Electricite de France SA
        549300X3UK4GG3FNMO06
        Electricite de France SA
        000000000
        
          
        
        400000.00000000
        PA
        
        493458.74000000
        0.058436974710
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2026-01-29
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Halyk Savings Bank of Kazakhstan JSC
        213800NYDTVQM4SDUD67
        Halyk Savings Bank of Kazakhstan JSC
        46627J302
        
          
        
        18386.00000000
        NS
        USD
        179683.69000000
        0.021278721800
        Long
        EC
        CORP
        KZ
        Y
        
        2
        
          N
          N
          N
        
      
      
        NETFLIX INC
        549300Y7VHGU0I7CE873
        Netflix Inc
        000000000
        
          
        
        200000.00000000
        PA
        
        206832.10000000
        0.024493724028
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2030-06-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042657
        
          
        
        64000000.00000000
        PA
        USD
        65062499.84000000
        7.704910967323
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-12
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Federal Grid Co Unified Energy System PJSC
        N/A
        Federal Grid Co Unified Energy System PJSC
        000000000
        
          
        
        381588279.00000000
        NS
        
        0.00000000
        0.000000
        Long
        EC
        CORP
        RU
        N
        
        3
        
          N
          N
          N
        
      
      
        WESTERN DIGITAL CORP
        549300QQXOOYEF89IC56
        Western Digital Corp
        958102AR6
        
          
        
        53000.00000000
        PA
        USD
        44138.40000000
        0.005227011613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-01
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN22
        000000000
        
          
        
        -7.00000000
        NC
        USD
        166359.38000000
        0.019700814057
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            -1289421.88000000
            USD
            166359.38000000
          
        
        
          N
          N
          N
        
      
      
        Geberit AG
        52990093Z5OHD6T7BS47
        Geberit AG
        000000000
        
          
        
        217.00000000
        NS
        
        123822.98000000
        0.014663516448
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Tronox Holdings PLC
        549300NRVC84SGJSXV06
        Tronox Holdings PLC
        000000000
        
          
        
        75264.00000000
        NS
        USD
        1294540.80000000
        0.153303694633
        Long
        EC
        CORP
        GB
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Osaka Gas Co Ltd
        353800024KMNOPQRWZ02
        Osaka Gas Co Ltd
        000000000
        
          
        
        41200.00000000
        NS
        
        743830.65000000
        0.088086823394
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        DNB BANK ASA
        549300GKFG0RYRRQ1414
        DNB Bank ASA
        000000000
        
          
        
        405000.00000000
        PA
        USD
        393668.10000000
        0.046619445435
        Long
        DBT
        CORP
        NO
        Y
        
        2
        
          2024-11-12
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BE Semiconductor Industries NV
        7245007A1YFLI2GNYX06
        BE Semiconductor Industries NV
        000000000
        
          
        
        14134.00000000
        NS
        
        855869.11000000
        0.101354778996
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BCHS2
        
          
        
        3251247.66000000
        PA
        USD
        616246.36000000
        0.072977880490
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Geely Automobile Holdings Ltd
        549300YS3T1KVQ2SNI84
        Geely Automobile Holdings Ltd
        000000000
        
          
        
        176000.00000000
        NS
        
        272637.59000000
        0.032286622285
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NJ759I0 IRS USD R F  2.53550 99NJ759I0_FIX CCPVANILLA / Short: S9NJ759I0 IRS USD P V 00MSOFR 99NJ759I0_FLO CCPVANILLA
        000000000
        
          
        
        2381000.00000000
        OU
        Notional Amount
        USD
        -23124.03000000
        -0.00273842217
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-29
            0.00000000
            USD
            0.00000000
            USD
            2381000.00000000
            USD
            -23124.03000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796H44
        
          
        
        3308000.00000000
        PA
        USD
        3307818.79000000
        0.391722564236
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Activision Blizzard Inc
        549300TPQQDBP9GNOF40
        Activision Blizzard Inc
        00507V109
        
          
        
        3042.00000000
        NS
        USD
        229975.20000000
        0.027234404534
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LG Household & Health Care Ltd
        N/A
        LG Household & Health Care Ltd
        000000000
        
          
        
        119.00000000
        NS
        
        84592.22000000
        0.010017683384
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Brewin Dolphin Holdings PLC
        213800PS7FS5UYOWAC49
        Brewin Dolphin Holdings PLC
        000000000
        
          
        
        41708.00000000
        NS
        
        267828.65000000
        0.031717132108
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Denka Co Ltd
        353800Y94EKQEH8MVD43
        Denka Co Ltd
        000000000
        
          
        
        56300.00000000
        NS
        
        1505579.51000000
        0.178295578978
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        72594.49000000
        0.008596873522
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            46406458.86000000
            THB
            1428295.36000000
            USD
            2022-06-14
            72594.49000000
          
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        000000000
        
          
        
        200000.00000000
        PA
        
        189363.57000000
        0.022425044394
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2026-12-29
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6145079  CDS EUR R F  1.00000 26145079_FEE CCPCORPORATE / Short: S6145079  CDS EUR P V 03MEVENT 26145079_PRO CCPCORPORATE
        000000000
        
          
        
        200000.00000000
        OU
        Notional Amount
        
        -17769.79000000
        -0.00210435581
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                VALEO SA
                VALEO SA
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            EUR
            -16223.78000000
            EUR
            200000.00000000
            EUR
            -4.84000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375USS0
        
          
        
        1583452.00000000
        PA
        USD
        85573.70000000
        0.010133913410
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2064-12-20
          Variable
          1.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JFE Holdings Inc
        N/A
        JFE Holdings Inc
        000000000
        
          
        
        69300.00000000
        NS
        
        853195.12000000
        0.101038116480
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Hana Financial Group Inc
        N/A
        Hana Financial Group Inc
        000000000
        
          
        
        18042.00000000
        NS
        
        672027.50000000
        0.079583662906
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        NetEase Inc
        5299004AF4DSJDB0PA32
        NetEase Inc
        000000000
        
          
        
        59300.00000000
        NS
        
        1133159.73000000
        0.134192428094
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6284089  CDS USD R F  5.00000 26284089_FEE CCPCORPORATE / Short: S6284089  CDS USD P V 03MEVENT 26284089_PRO CCPCORPORATE
        000000000
        
          
        
        400000.00000000
        OU
        Notional Amount
        USD
        -6695.57000000
        -0.00079291098
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CSC HOLDINGS LLC
                CSC HOLDINGS LLC
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            3520.51000000
            USD
            0.00000000
            USD
            400000.00000000
            USD
            -10216.08000000
          
        
        
          N
          N
          N
        
      
      
        Samsung Biologics Co Ltd
        N/A
        Samsung Biologics Co Ltd
        000000000
        
          
        
        1002.00000000
        NS
        
        662032.38000000
        0.078400008575
        Long
        EC
        CORP
        KR
        Y
        
        2
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99C481CD0 PUTNAM
        000000000
        
          
        
        39118900.00000000
        OU
        Notional Amount
        USD
        4659479.95000000
        0.551790636035
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Call
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    39118900.00000000
                    OU
                    Notional Amount
                    N/A
                    4659479.95000000
                    0.55000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2057-03-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  39118900.00000000
                  USD
                
              
            
            1.00000000
            1.98400000
            USD
            2027-03-22
            XXXX
            -719368.80000000
          
        
        
          N
          N
          N
        
      
      
        SCORPIO TANKERS INC
        549300NVJUH16NXG8K87
        Scorpio Tankers Inc
        80918TAD1
        
          
        
        158000.00000000
        PA
        USD
        170969.48000000
        0.020246756960
        Long
        DBT
        CORP
        MH
        
        Y
        
        2
        
          2025-05-15
          Fixed
          3.00000000
          N
          N
          N
          N
          N
          
            
              Scorpio Tankers Inc
              Scorpio Tankers Inc
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376R4R4
        
          
        
        1353383.57000000
        PA
        USD
        77086.02000000
        0.009128774983
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-05-20
          Variable
          1.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sandvik AB
        5299008ZUAXN43LVZF54
        Sandvik AB
        000000000
        
          
        
        3649.00000000
        NS
        
        68611.91000000
        0.008125243560
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99P037FG6 SWAPTION
        000000000
        
          
        
        10848100.00000000
        OU
        Notional Amount
        USD
        1638110.51000000
        0.193990327227
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    10848100.00000000
                    OU
                    Notional Amount
                    N/A
                    1638110.51000000
                    0.19000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2040-06-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10848100.00000000
                  USD
                
              
            
            1.00000000
            1.32750000
            USD
            2030-06-10
            XXXX
            831825.48000000
          
        
        
          N
          N
          N
        
      
      
        Rubis SCA
        969500MGFIKUGLTC9742
        Rubis SCA
        000000000
        
          
        
        6466.00000000
        NS
        
        171924.21000000
        0.020359819165
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -48451.71000000
        -0.00573780768
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1357562.37000000
            USD
            1851391.40000000
            AUD
            2022-06-15
            -48451.71000000
          
        
        
          N
          N
          N
        
      
      
        Rambus Inc
        2549000211GDCQSLV833
        Rambus Inc
        750917106
        
          
        
        40622.00000000
        NS
        USD
        1011894.02000000
        0.119831751802
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -75813.28000000
        -0.00897805301
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            1030905200.00000000
            JPY
            7876895.00000000
            USD
            2022-06-09
            -75813.28000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        68043.75000000
        0.008057960221
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1147190.00000000
            GBP
            1510627.82000000
            USD
            2022-06-15
            68043.75000000
          
        
        
          N
          N
          N
        
      
      
        Link REIT
        529900XUE70U36QX5M62
        Link REIT
        000000000
        
          
        
        68000.00000000
        NS
        
        586332.92000000
        0.069435434496
        Long
        EC
        
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        POST HOLDINGS INC
        JM1I5YUAURL6DC8N1468
        Post Holdings Inc
        737446AQ7
        
          
        
        52000.00000000
        PA
        USD
        44460.00000000
        0.005265096521
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2030-04-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Assa Abloy AB
        549300YECS8HKCIMMB67
        Assa Abloy AB
        000000000
        
          
        
        8279.00000000
        NS
        
        208862.71000000
        0.024734195410
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        London Stock Exchange Group PLC
        213800QAUUUP6I445N30
        London Stock Exchange Group PLC
        000000000
        
          
        
        10905.00000000
        NS
        
        1082068.46000000
        0.128142035202
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Argan SA
        529900FXM41XSCUSGH04
        ARGAN SA
        000000000
        
          
        
        1319.00000000
        NS
        
        155389.69000000
        0.018401748005
        Long
        EC
        
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        ICADE
        969500UDH342QLTE1M42
        ICADE
        000000000
        
          
        
        1767.00000000
        NS
        
        105126.30000000
        0.012449395332
        Long
        EC
        
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        NIO INC
        549300JBU4TV5OCKJV96
        NIO Inc
        62914VAF3
        
          
        
        1218000.00000000
        PA
        USD
        943916.96000000
        0.111781689225
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-01
          Fixed
          0.50000000
          N
          N
          N
          N
          N
          
            
              NIO Inc
              NIO Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        TJX Cos Inc/The
        V167QI9I69W364E2DY52
        TJX Cos Inc/The
        872540109
        
          
        
        4013.00000000
        NS
        USD
        245916.64000000
        0.029122241248
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6244384  CDS EUR R F  5.00000 26244384_FEE CCPCORPORATE / Short: S6244384  CDS EUR P V 03MEVENT 26244384_PRO CCPCORPORATE
        000000000
        
          
        
        95000.00000000
        OU
        Notional Amount
        
        16869.04000000
        0.001997686096
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                ANGLO AMERICAN CAPITAL
                ANGLO AMERICAN CAPITAL
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            17398.72000000
            EUR
            0.00000000
            EUR
            95000.00000000
            EUR
            -2297.67000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF CYPRUS PCL
        PQ0RAP85KK9Z75ONZW93
        Bank of Cyprus Pcl
        000000000
        
          
        
        100000.00000000
        PA
        
        89541.01000000
        0.010603735049
        Long
        DBT
        CORP
        CY
        Y
        
        2
        
          2027-06-24
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379QMX0
        
          
        
        414697.43000000
        PA
        USD
        49098.56000000
        0.005814409749
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        000000000
        
          
        
        370000.00000000
        PA
        
        360673.42000000
        0.042712109067
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2027-01-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NJ759G4 IRS USD R F  2.54700 99NJ759G4_FIX CCPVANILLA / Short: S9NJ759G4 IRS USD P V 00MSOFR 99NJ759G4_FLO CCPVANILLA
        000000000
        
          
        
        134000.00000000
        OU
        Notional Amount
        USD
        -1876.52000000
        -0.00022222354
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-28
            0.00000000
            USD
            0.00000000
            USD
            134000.00000000
            USD
            -1876.52000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137F76W0
        
          
        
        3322519.17000000
        PA
        USD
        654401.71000000
        0.077496360035
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        99C477CD8 PUTNAM
        000000000
        
          
        
        13552000.00000000
        OU
        Notional Amount
        USD
        807573.57000000
        0.095635465463
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    13552000.00000000
                    OU
                    Notional Amount
                    N/A
                    807573.57000000
                    0.10000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2057-03-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  13552000.00000000
                  USD
                
              
            
            1.00000000
            1.14000000
            USD
            2027-03-22
            XXXX
            -120738.43000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        
        98523.22000000
        0.011667437313
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            4136398.64000000
            PLN
            1029498.83000000
            USD
            2022-05-24
            98523.22000000
          
        
        
          N
          N
          N
        
      
      
        LENDINGTREE INC
        549300ISY5YHUJZTON08
        LendingTree Inc
        52603BAD9
        
          
        
        3845000.00000000
        PA
        USD
        3076000.00000000
        0.364269835831
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          0.50000000
          N
          N
          N
          N
          Y
          
            
              LendingTree Inc
              LendingTree Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Monster Beverage Corp
        52990090AP0E7HCB6F33
        Monster Beverage Corp
        61174X109
        
          
        
        1921.00000000
        NS
        USD
        164591.28000000
        0.019491429956
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380W5T2
        
          
        
        1089225.68000000
        PA
        USD
        132464.66000000
        0.015686892051
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Floating
          5.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cie Generale des Etablissements Michelin SCA
        549300SOSI58J6VIW052
        Cie Generale des Etablissements Michelin SCA
        000000000
        
          
        
        1112.00000000
        NS
        
        137470.37000000
        0.016279684366
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        CTBC Financial Holding Co Ltd
        549300IWDYIFW6JXM387
        CTBC Financial Holding Co Ltd
        000000000
        
          
        
        191000.00000000
        NS
        
        188285.54000000
        0.022297380606
        Long
        EC
        CORP
        TW
        N
        
        2
        
          N
          N
          N
        
      
      
        Kirby Corp
        I7NO6FZO5GUCG585T325
        Kirby Corp
        497266106
        
          
        
        24168.00000000
        NS
        USD
        1575753.60000000
        0.186605820930
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        INTL CONSOLIDATED AIRLIN
        959800TZHQRUSH1ESL13
        International Consolidated Airlines Group SA
        000000000
        
          
        
        100000.00000000
        PA
        
        101538.96000000
        0.012024570965
        Long
        DBT
        CORP
        ES
        
        Y
        
        2
        
          2023-07-04
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Games Workshop Group PLC
        213800RP9QJQYGWHNT41
        Games Workshop Group PLC
        000000000
        
          
        
        3503.00000000
        NS
        
        324297.60000000
        0.038404367201
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        10844.55000000
        0.001284246569
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            188844.69000000
            CHF
            205330.47000000
            USD
            2022-06-09
            10844.55000000
          
        
        
          N
          N
          N
        
      
      
        WESTERN DIGITAL CORP
        549300QQXOOYEF89IC56
        Western Digital Corp
        958102AP0
        
          
        
        2576000.00000000
        PA
        USD
        2472960.00000000
        0.292855895064
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          1.50000000
          N
          N
          N
          N
          Y
          
            
              Western Digital Corp
              Western Digital Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Globus Medical Inc
        5299003M2P4CIK0RF205
        Globus Medical Inc
        379577208
        
          
        
        1956.00000000
        NS
        USD
        129526.32000000
        0.015338924357
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Euronext N.V.
        724500QJ4QSZ3H9QU415
        CAC40 10 EURO FUT MAY22
        000000000
        
          
        
        25.00000000
        NC
        
        7912.13000000
        0.000936979940
        N/A
        DE
        
        NL
        N
        
        1
        
          
            
              Euronext N.V.
              724500QJ4QSZ3H9QU415
            
            Long
            
              
                EUX CAC 40 Index Future
                CFK2 INDEX
              
            
            2022-05-20
            1611625.00000000
            EUR
            7912.13000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379PUB1
        
          
        
        1221315.88000000
        PA
        USD
        210306.32000000
        0.024905152360
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617MUEF0
        
          
        
        180989.54000000
        PA
        USD
        187485.90000000
        0.022202684659
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG579W3 IRS USD R V 00MSOFR 99NG579W3_FLO CCPVANILLA / Short: B9NG579W3 IRS USD P F  2.26000 99NG579W3_FIX CCPVANILLA
        000000000
        
          
        
        6624000.00000000
        OU
        Notional Amount
        USD
        257533.83000000
        0.030497986337
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-30
            0.00000000
            USD
            0.00000000
            USD
            6624000.00000000
            USD
            257533.83000000
          
        
        
          N
          N
          N
        
      
      
        Janus Henderson Group PLC
        2138009WPYMWJN3RVF44
        Janus Henderson Group PLC
        000000000
        
          
        
        2304.00000000
        NS
        USD
        70225.92000000
        0.008316379827
        Long
        EC
        CORP
        JE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        DSV A/S
        529900X41C0BSLK67H70
        DSV A/S
        000000000
        
          
        
        4736.00000000
        NS
        
        773613.03000000
        0.091613748841
        Long
        EC
        CORP
        DK
        N
        
        2
        
          N
          N
          N
        
      
      
        Cerner Corp
        549300L4UJ40IEVVI304
        Cerner Corp
        156782104
        
          
        
        2184.00000000
        NS
        USD
        204509.76000000
        0.024218705039
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FASTLY INC
        549300E2FZC83FJ3H565
        Fastly Inc
        31188VAB6
        
          
        
        944000.00000000
        PA
        USD
        710950.00000000
        0.084192990827
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          None
          0.00000000
          N
          N
          N
          N
          Y
          
            
              Fastly Inc
              Fastly Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378MYG4
        
          
        
        2306127.11000000
        PA
        USD
        403962.44000000
        0.047838534363
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-04-16
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hannover Rueck SE
        529900KIN5BE45V5KB18
        Hannover Rueck SE
        000000000
        
          
        
        471.00000000
        NS
        
        74007.64000000
        0.008764223300
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        Grupo Financiero Banorte SAB de CV
        N/A
        Grupo Financiero Banorte SAB de CV
        000000000
        
          
        
        96400.00000000
        NS
        
        636368.02000000
        0.075360752332
        Long
        EC
        CORP
        MX
        N
        
        1
        
          N
          N
          N
        
      
      
        INFRASTRUTTURE WIRELESS
        81560066183FE361C071
        Infrastrutture Wireless Italiane SpA
        000000000
        
          
        
        100000.00000000
        PA
        
        95328.05000000
        0.011289054981
        Long
        DBT
        CORP
        IT
        Y
        
        2
        
          2028-10-21
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHOENIX GRP HLD PLC
        2138001P49OLAEU33T68
        Phoenix Group Holdings PLC
        000000000
        
          
        
        200000.00000000
        PA
        
        237029.40000000
        0.028069785638
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2028-04-26
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38383AJX3
        
          
        
        3919695.90000000
        PA
        USD
        647122.59000000
        0.076634343180
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-09-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4866.65000000
        -0.00057632438
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            7896809.17000000
            USD
            10139068.65000000
            CAD
            2022-06-09
            -4866.65000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        563.93000000
        0.000066782408
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            518499.37000000
            USD
            2061921630.00000000
            COP
            2022-05-24
            563.93000000
          
        
        
          N
          N
          N
        
      
      
        East Japan Railway Co
        353800SENYJ2DSM6PS44
        East Japan Railway Co
        000000000
        
          
        
        13800.00000000
        NS
        
        723424.21000000
        0.085670226987
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH419R6 IRS USD R F  2.30700 99NH419R6_FIX CCPVANILLA / Short: S9NH419R6 IRS USD P V 00MSOFR 99NH419R6_FLO CCPVANILLA
        000000000
        
          
        
        4545000.00000000
        OU
        Notional Amount
        USD
        -158433.25000000
        -0.01876217619
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-07
            0.00000000
            USD
            0.00000000
            USD
            4545000.00000000
            USD
            -158433.25000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RDF0
        
          
        
        810611.24000000
        PA
        USD
        57647.02000000
        0.006826745940
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2065-06-20
          Variable
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Netflix Inc
        549300Y7VHGU0I7CE873
        Netflix Inc
        64110L106
        
          
        
        4344.00000000
        NS
        USD
        826923.84000000
        0.097926986814
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cadence Design Systems Inc
        GCT7RXJOGLXPV0NXZY22
        Cadence Design Systems Inc
        127387108
        
          
        
        1246.00000000
        NS
        USD
        187959.10000000
        0.022258722529
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Baoshan Iron & Steel Co Ltd
        300300PYAP4PEHORZT21
        Baoshan Iron & Steel Co Ltd
        000000000
        
          
        
        591763.00000000
        NS
        
        577187.68000000
        0.068352425694
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Grainger PLC
        2138007CEIRKZMNI2979
        Grainger PLC
        000000000
        
          
        
        38101.00000000
        NS
        
        141015.00000000
        0.016699450877
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        AstraZeneca PLC
        PY6ZZQWO2IZFZC3IOL08
        AstraZeneca PLC
        000000000
        
          
        
        7305.00000000
        NS
        
        970409.85000000
        0.114919062662
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022667
        
          
        
        -15000000.00000000
        PA
        USD
        -13655427.75000000
        -1.61711977395
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-13
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kimco Realty Corp
        549300EA7I6T15IBYS12
        Kimco Realty Corp
        49446R109
        
          
        
        17810.00000000
        NS
        USD
        451127.30000000
        0.053423949125
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ATSW5
        
          
        
        3135807.86000000
        PA
        USD
        402280.87000000
        0.047639397422
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-25
          Floating
          5.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378TJH4
        
          
        
        333925.14000000
        PA
        USD
        50458.23000000
        0.005975426254
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Charter Hall Group
        N/A
        Charter Hall Group
        000000000
        
          
        
        36295.00000000
        NS
        
        384681.79000000
        0.045555257636
        Long
        EC
        
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380GZN7
        
          
        
        247794.96000000
        PA
        USD
        38641.10000000
        0.004576003625
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bharti Airtel Ltd
        335800KQ1FPKOQ84OR26
        Bharti Airtel Ltd
        000000000
        
          
        
        152438.00000000
        NS
        
        1464727.55000000
        0.173457758184
        Long
        EC
        CORP
        IN
        N
        
        2
        
          N
          N
          N
        
      
      
        Hankook & Co Co Ltd
        N/A
        Hankook & Co Co Ltd
        000000000
        
          
        
        25840.00000000
        NS
        
        295184.42000000
        0.034956690576
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -59347.90000000
        -0.00702816963
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            1359596.46000000
            USD
            1034000.15000000
            GBP
            2022-06-15
            -59347.90000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NF899L2 IRS USD R F  1.80800 99NF899L2_FIX CCPVANILLA / Short: S9NF899L2 IRS USD P V 00MSOFR 99NF899L2_FLO CCPVANILLA
        000000000
        
          
        
        13550000.00000000
        OU
        Notional Amount
        USD
        -1048395.75000000
        -0.12415440433
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-15
            0.00000000
            USD
            0.00000000
            USD
            13550000.00000000
            USD
            -1048395.75000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -383155.24000000
        -0.04537447866
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            11850528.60000000
            BRL
            2013820.58000000
            USD
            2022-05-03
            -383155.24000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6284233  CDS USD R F  1.00000 26284233_FEE CCPCORPORATE / Short: S6284233  CDS USD P V 03MEVENT 26284233_PRO CCPCORPORATE
        000000000
        
          
        
        500000.00000000
        OU
        Notional Amount
        USD
        -82196.98000000
        -0.00973403134
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                LUMEN TECHNOLOGIES INC
                LUMEN TECHNOLOGIES INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -74248.74000000
            USD
            500000.00000000
            USD
            -7948.24000000
          
        
        
          N
          N
          N
        
      
      
        Intuitive Surgical Inc
        54930052SRG011710797
        Intuitive Surgical Inc
        46120E602
        
          
        
        5718.00000000
        NS
        USD
        1368317.40000000
        0.162040557432
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -21952.02000000
        -0.00259962897
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            73705221.48000000
            NOK
            7836882.49000000
            USD
            2022-06-09
            -21952.02000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RAF3
        
          
        
        1107637.07000000
        PA
        USD
        69207.93000000
        0.008195826170
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2065-04-20
          Variable
          1.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BQ5
        
          
        
        170000.00000000
        PA
        USD
        160627.90000000
        0.019022073720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-15
          Variable
          4.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        China Resources Gas Group Ltd
        529900A0E1J5JSOKEK83
        China Resources Gas Group Ltd
        000000000
        
          
        
        200000.00000000
        NS
        
        753899.83000000
        0.089279248149
        Long
        EC
        CORP
        BM
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398T4M0
        
          
        
        1853242.31000000
        PA
        USD
        354182.77000000
        0.041943465371
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Newcrest Mining Ltd
        5299006MN50OZJUJI655
        Newcrest Mining Ltd
        000000000
        
          
        
        117482.00000000
        NS
        
        2202422.77000000
        0.260818004180
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        FANUC Corp
        529900QTSW745LOKW705
        FANUC Corp
        000000000
        
          
        
        9100.00000000
        NS
        
        1407456.15000000
        0.166675494375
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Hanesbrands Inc
        GX5LWVWZLL5S4W1L2F20
        Hanesbrands Inc
        410345AL6
        
          
        
        739000.00000000
        PA
        USD
        722372.50000000
        0.085545680098
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2026-05-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Etalon Group PLC
        213800U2O9SKHOYSDY32
        Etalon Group PLC
        29760G103
        
          
        
        185343.00000000
        NS
        USD
        0.00000000
        0.000000
        Long
        EC
        CORP
        CY
        
        Y
        
        3
        
          N
          N
          N
        
      
      
        Harmony Gold Mining Co Ltd
        378900986D05F0C29811
        Harmony Gold Mining Co Ltd
        413216300
        
          
        
        77872.00000000
        NS
        USD
        318496.48000000
        0.037717379870
        Long
        EC
        CORP
        ZA
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RC79
        
          
        
        4488128.05000000
        PA
        USD
        211669.10000000
        0.025066537161
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-10-20
          Variable
          1.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AUDM0
        
          
        
        4206658.88000000
        PA
        USD
        640495.36000000
        0.075849525239
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-25
          Floating
          5.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sika AG
        549300R3N69ECGYPU434
        Sika AG
        000000000
        
          
        
        1228.00000000
        NS
        
        373408.45000000
        0.044220232373
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        SAPPI PAPIER HOLDNG GMBH
        549300XBCUMUR5CI0181
        Sappi Papier Holding GmbH
        000000000
        
          
        
        160000.00000000
        PA
        USD
        156600.00000000
        0.018545076817
        Long
        DBT
        CORP
        AT
        
        Y
        
        2
        
          2032-06-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mastercard Inc
        AR5L2ODV9HN37376R084
        Mastercard Inc
        57636Q104
        
          
        
        4999.00000000
        NS
        USD
        1816536.62000000
        0.215120122350
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        99C082CB0 SWAPTION
        000000000
        
          
        
        -38274900.00000000
        OU
        Notional Amount
        USD
        -172355.32000000
        -0.02041087260
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    38274900.00000000
                    OU
                    Notional Amount
                    N/A
                    -172355.32000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2027-03-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  38274900.00000000
                  USD
                
              
            
            1.00000000
            1.23500000
            USD
            2025-03-19
            XXXX
            271633.52000000
          
        
        
          N
          N
          N
        
      
      
        Republic Services Inc
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759100
        
          
        
        1696.00000000
        NS
        USD
        227721.92000000
        0.026967563853
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206R102
        
          
        
        75573.00000000
        NS
        USD
        1425306.78000000
        0.168789423523
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BAWAG Group AG
        529900S9YO2JHTIIDG38
        BAWAG Group AG
        000000000
        
          
        
        200000.00000000
        PA
        
        197908.67000000
        0.023436982682
        Long
        DBT
        CORP
        AT
        Y
        
        2
        
          2025-05-14
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pernod Ricard SA
        52990097YFPX9J0H5D87
        Pernod Ricard SA
        000000000
        
          
        
        5256.00000000
        NS
        
        1082919.16000000
        0.128242777838
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        First Pacific Co Ltd
        254900VS1MDQSDM9DE09
        First Pacific Co Ltd
        000000000
        
          
        
        522000.00000000
        NS
        
        209947.84000000
        0.024862700003
        Long
        EC
        CORP
        BM
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Popular Inc
        5493008CARDZMVQ3LO89
        Popular Inc
        733174700
        
          
        
        8525.00000000
        NS
        USD
        664864.75000000
        0.078735426961
        Long
        EC
        CORP
        PR
        N
        
        1
        
          N
          N
          N
        
      
      
        ENERGIAS DE PORTUGAL SA
        529900CLC3WDMGI9VH80
        EDP - Energias de Portugal SA
        000000000
        
          
        
        100000.00000000
        PA
        
        90600.18000000
        0.010729165375
        Long
        DBT
        CORP
        PT
        Y
        
        2
        
          2082-03-14
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NE429U4 IRS USD R F  1.83250 99NE429U4_FIX CCPVANILLA / Short: S9NE429U4 IRS USD P V 00MSOFR 99NE429U4_FLO CCPVANILLA
        000000000
        
          
        
        3059000.00000000
        OU
        Notional Amount
        USD
        -406771.26000000
        -0.04817116388
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2052-02-14
            0.00000000
            USD
            0.00000000
            USD
            3059000.00000000
            USD
            -406771.26000000
          
        
        
          N
          N
          N
        
      
      
        Japan Metropolitan Fund Invest
        353800QDHNIP60E1LQ93
        Japan Metropolitan Fund Invest
        000000000
        
          
        
        254.00000000
        NS
        
        202087.62000000
        0.023931867412
        Long
        EC
        
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Aedifica SA
        529900DTKNXL0AXQFN28
        Aedifica SA
        000000000
        
          
        
        1266.00000000
        NS
        
        150018.67000000
        0.017765694503
        Long
        EC
        
        BE
        N
        
        2
        
          N
          N
          N
        
      
      
        Frasers Logistics & Commercial Trust
        N/A
        Frasers Logistics & Commercial Trust
        000000000
        
          
        
        186800.00000000
        NS
        
        194306.04000000
        0.023010347624
        Long
        EC
        
        SG
        Y
        
        2
        
          N
          N
          N
        
      
      
        Azul SA
        549300Z0MWZ57Q9RR205
        Azul SA
        05501U106
        
          
        
        24647.00000000
        NS
        USD
        329776.86000000
        0.039053238833
        Long
        EC
        CORP
        BR
        N
        
        1
        
          N
          N
          
        
      
      
        Nishi-Nippon Financial Holdings Inc
        N/A
        Nishi-Nippon Financial Holdings Inc
        000000000
        
          
        
        55100.00000000
        NS
        
        330776.05000000
        0.039171566134
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Telecom Plus PLC
        549300QGHDX5UKE58G86
        Telecom Plus PLC
        000000000
        
          
        
        10692.00000000
        NS
        
        220659.56000000
        0.026131216416
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YYB5
        
          
        
        2520134.76000000
        PA
        USD
        367218.16000000
        0.043487158276
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-07-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hachijuni Bank Ltd/The
        FE70I3MHDCWOZWK19W48
        Hachijuni Bank Ltd/The
        000000000
        
          
        
        48100.00000000
        NS
        
        158352.51000000
        0.018752614701
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Amgen Inc
        62QBXGPJ34PQ72Z12S66
        Amgen Inc
        031162100
        
          
        
        1383.00000000
        NS
        USD
        322501.77000000
        0.038191699224
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137F8RM7
        
          
        
        1868961.13000000
        PA
        USD
        349068.49000000
        0.041337815847
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382FZG2
        
          
        
        5444767.87000000
        PA
        USD
        695223.90000000
        0.082330655370
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-06-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JGC Holdings Corp
        5493003WMGG79YLARU68
        JGC Holdings Corp
        000000000
        
          
        
        110300.00000000
        NS
        
        1253290.75000000
        0.148418730738
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Korea Electric Power Corp
        988400QG33WS7JEIV602
        Korea Electric Power Corp
        500631106
        
          
        
        18155.00000000
        NS
        USD
        161216.40000000
        0.019091765787
        Long
        EC
        CORP
        KR
        N
        
        1
        
          N
          N
          N
        
      
      
        SSE PLC
        549300KI75VYLLMSK856
        SSE PLC
        000000000
        
          
        
        12428.00000000
        NS
        
        289498.25000000
        0.034283315995
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617K4VB0
        
          
        
        30242.17000000
        PA
        USD
        31639.69000000
        0.003746874083
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gabriel Resources Ltd
        529900SJTRA2V9AI4361
        Gabriel Resources Ltd
        361970106
        
          
        
        1483278.00000000
        NS
        
        219377.12000000
        0.025979345737
        Long
        EC
        CORP
        CA
        
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NF399P8 IRS USD R V 00MSOFR 99NF399P8_FLO CCPVANILLA / Short: B9NF399P8 IRS USD P F  1.52850 99NF399P8_FIX CCPVANILLA
        000000000
        
          
        
        29428000.00000000
        OU
        Notional Amount
        USD
        2981485.17000000
        0.353077084983
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-03
            0.00000000
            USD
            0.00000000
            USD
            29428000.00000000
            USD
            2981485.17000000
          
        
        
          N
          N
          N
        
      
      
        Snap Inc
        549300JNC0L6VP8A2Q35
        Snap Inc
        83304A106
        
          
        
        56466.00000000
        NS
        USD
        1607022.36000000
        0.190308768288
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AN3P0
        
          
        
        716084.81000000
        PA
        USD
        128790.50000000
        0.015251786180
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FUUT9
        
          
        
        2939464.30000000
        PA
        USD
        476448.36000000
        0.056422550675
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Uni-President Enterprises Corp
        254900DAXBDMVEXU5959
        Uni-President Enterprises Corp
        000000000
        
          
        
        69000.00000000
        NS
        
        159214.91000000
        0.018854742889
        Long
        EC
        CORP
        TW
        N
        
        2
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        674309.71000000
        0.079853929571
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            719200012.00000000
            JPY
            6223951.59000000
            USD
            2022-06-15
            674309.71000000
          
        
        
          N
          N
          N
        
      
      
        AKBANK TAS
        789000TUMN63Z28TJ497
        Akbank TAS
        000000000
        
          
        
        200000.00000000
        PA
        USD
        187461.20000000
        0.022199759606
        Long
        DBT
        CORP
        TR
        Y
        
        2
        
          2025-03-31
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Essex Property Trust Inc
        549300TR2H2VEFX0NC60
        Essex Property Trust Inc
        297178105
        
          
        
        2386.00000000
        NS
        USD
        785638.22000000
        0.093037810605
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cameco Corp
        N4BHALMXL3GMZKCUON55
        Cameco Corp
        13321L108
        
          
        
        34860.00000000
        NS
        USD
        899736.60000000
        0.106549708573
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Organo Corp
        N/A
        Organo Corp
        000000000
        
          
        
        2300.00000000
        NS
        
        158225.45000000
        0.018737567846
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Guangdong Investment Ltd
        N/A
        Guangdong Investment Ltd
        000000000
        
          
        
        184000.00000000
        NS
        
        235676.24000000
        0.027909540069
        Long
        EC
        CORP
        HK
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Nippon Building Fund Inc
        52990053R8NL2MB32172
        Nippon Building Fund Inc
        000000000
        
          
        
        33.00000000
        NS
        
        170968.87000000
        0.020246684722
        Long
        EC
        
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375U2N9
        
          
        
        2826179.28000000
        PA
        USD
        196419.46000000
        0.023260625633
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-11-20
          Variable
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9102.71000000
        -0.00107797226
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            301876.45000000
            USD
            1129350.00000000
            PEN
            2022-06-14
            -9102.71000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99C278JE1 PUTNAM
        000000000
        
          
        
        -4658800.00000000
        OU
        Notional Amount
        USD
        -540914.49000000
        -0.06405683760
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    4658800.00000000
                    OU
                    Notional Amount
                    N/A
                    -540914.49000000
                    -0.06000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2058-10-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4658800.00000000
                  USD
                
              
            
            1.00000000
            1.99100000
            USD
            2028-10-23
            XXXX
            149519.67000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6206877  CDS EUR R F  1.00000 26206877_FEE CCPCORPORATE / Short: S6206877  CDS EUR P V 03MEVENT 26206877_PRO CCPCORPORATE
        000000000
        
          
        
        625000.00000000
        OU
        Notional Amount
        
        -86993.67000000
        -0.01030207083
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                TELECOM ITALIA SPA
                TELECOM ITALIA SPA
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            EUR
            -90670.72000000
            EUR
            625000.00000000
            EUR
            13669.57000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375URJ1
        
          
        
        9827433.61000000
        PA
        USD
        543520.96000000
        0.064365504184
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2064-11-20
          Variable
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Inpex Corp
        353800VHYYADPR6MXQ47
        Inpex Corp
        000000000
        
          
        
        16000.00000000
        NS
        
        189136.31000000
        0.022398131532
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Japan Tobacco Inc
        353800Z0ENYBQO0XRJ31
        Japan Tobacco Inc
        000000000
        
          
        
        106700.00000000
        NS
        
        1825418.72000000
        0.216171969264
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        NMI Holdings Inc
        529900KNNGFXJX1C3Z08
        NMI Holdings Inc
        629209305
        
          
        
        67675.00000000
        NS
        USD
        1243866.50000000
        0.147302680673
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Blucora Inc
        5299001IO03J69IP6L77
        Blucora Inc
        095229100
        
          
        
        46675.00000000
        NS
        USD
        945168.75000000
        0.111929930232
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99C482IF7 SWAPTION
        000000000
        
          
        
        19321600.00000000
        OU
        Notional Amount
        USD
        607664.32000000
        0.071961567648
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Call
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    19321600.00000000
                    OU
                    Notional Amount
                    N/A
                    607664.32000000
                    0.07000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2039-09-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19321600.00000000
                  USD
                
              
            
            1.00000000
            1.80375000
            USD
            2029-09-25
            XXXX
            -359402.20000000
          
        
        
          N
          N
          N
        
      
      
        Oriental Holdings BHD
        549300WBMDZXMUQT2I82
        Oriental Holdings BHD
        000000000
        
          
        
        28767.00000000
        NS
        
        46907.45000000
        0.005554931440
        Long
        EC
        CORP
        MY
        N
        
        2
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030652
        
          
        
        25000000.00000000
        PA
        USD
        23572301.00000000
        2.791507872377
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-12
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Spirit Realty Capital Inc
        549300LTU6LVPZSHMJ25
        Spirit Realty Capital Inc
        84860W300
        
          
        
        4739.00000000
        NS
        USD
        205909.55000000
        0.024384472683
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SIG COMBIBLOC PURCHASER
        549300Q95MWZB4BXB866
        SIG Combibloc PurchaseCo Sarl
        000000000
        
          
        
        200000.00000000
        PA
        
        209935.10000000
        0.024861191291
        Long
        DBT
        CORP
        LU
        
        Y
        
        2
        
          2025-06-18
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NABORS INDUSTRIES INC
        549300VFQWRKICUFNU92
        Nabors Industries Inc
        62957HAB1
        
          
        
        1367000.00000000
        PA
        USD
        1257640.00000000
        0.148933782943
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-15
          Fixed
          0.75000000
          N
          N
          N
          N
          Y
          
            
              Nabors Industries Ltd
              Nabors Industries Ltd
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RP83
        
          
        
        5964086.32000000
        PA
        USD
        479822.67000000
        0.056822147343
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-12-20
          Variable
          2.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alliant Energy Corp
        5493009ML300G373MZ12
        Alliant Energy Corp
        018802108
        
          
        
        2810.00000000
        NS
        USD
        165256.10000000
        0.019570160083
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Enbridge Inc
        98TPTUM4IVMFCZBCUR27
        Enbridge Inc
        29250NAS4
        
          
        
        118000.00000000
        PA
        USD
        113033.56000000
        0.013385798551
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2077-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REDFIN CORP
        549300HXWD3JEMZU3O57
        Redfin Corp
        75737FAD0
        
          
        
        273000.00000000
        PA
        USD
        166666.50000000
        0.019737184198
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          0.50000000
          N
          N
          N
          N
          Y
          
            
              Redfin Corp
              Redfin Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Intel Corp
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140100
        
          
        
        5119.00000000
        NS
        USD
        223137.21000000
        0.026424627716
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAX9
        
          
        
        27000.00000000
        PA
        USD
        22443.75000000
        0.002657861224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FG2T1
        
          
        
        1451140.29000000
        PA
        USD
        204716.86000000
        0.024243230488
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FTXU6
        
          
        
        2173729.52000000
        PA
        USD
        297397.07000000
        0.035218719722
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dundee Corp
        549300LX18ZNW1LEMU13
        Dundee Corp
        264901109
        
          
        
        82535.00000000
        NS
        
        89945.90000000
        0.010651683428
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Golden Agri-Resources Ltd
        529900GAK9LTNC3IFY40
        Golden Agri-Resources Ltd
        000000000
        
          
        
        4054500.00000000
        NS
        
        946142.84000000
        0.112045285110
        Long
        EC
        CORP
        MU
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Gazprom PJSC
        213800FD9J2IHTA7YX78
        Gazprom PJSC
        000000000
        
          
        
        332583.00000000
        NS
        
        0.00000000
        0.000000
        Long
        EC
        CORP
        RU
        N
        
        3
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99C531JF0 SWAPTION
        000000000
        
          
        
        9263800.00000000
        OU
        Notional Amount
        USD
        586234.57000000
        0.069423787572
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    9263800.00000000
                    OU
                    Notional Amount
                    N/A
                    586234.57000000
                    0.07000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2049-10-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9263800.00000000
                  USD
                
              
            
            1.00000000
            1.97600000
            USD
            2029-10-17
            XXXX
            -346074.26000000
          
        
        
          N
          N
          N
        
      
      
        Raizen SA
        N/A
        Raizen SA
        000000000
        
          
        
        433600.00000000
        NS
        
        605151.75000000
        0.071664021009
        Long
        EP
        CORP
        BR
        N
        
        1
        
          N
          N
          N
        
      
      
        Camden Property Trust
        5493002MYX22OHYJBD89
        Camden Property Trust
        133131102
        
          
        
        2608.00000000
        NS
        USD
        409169.12000000
        0.048455126192
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Unibail-Rodamco-Westfield
        N/A
        Unibail-Rodamco-Westfield
        000000000
        
          
        
        1117.00000000
        NS
        
        79130.83000000
        0.009370927975
        Long
        EC
        
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Pharmaron Beijing Co Ltd
        300300JYXHGVS5SNGG54
        Pharmaron Beijing Co Ltd
        000000000
        
          
        
        17600.00000000
        NS
        
        220285.27000000
        0.026086891787
        Long
        EC
        CORP
        CN
        Y
        
        2
        
          N
          N
          N
        
      
      
        Commonwealth Bank of Australia
        MSFSBD3QN1GSN7Q6C537
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10396.81000000
        -0.00123122375
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Commonwealth Bank of Australia
              MSFSBD3QN1GSN7Q6C537
            
            168952.31000000
            USD
            224259.09000000
            AUD
            2022-06-09
            -10396.81000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382L2F7
        
          
        
        3010913.25000000
        PA
        USD
        419690.90000000
        0.049701149298
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BDZL5
        
          
        
        5651846.37000000
        PA
        USD
        663364.56000000
        0.078557769625
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-02-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atlas Arteria Ltd
        N/A
        Atlas Arteria Ltd
        000000000
        
          
        
        62724.00000000
        NS
        
        304219.74000000
        0.036026682297
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        25091.94000000
        0.002971468421
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            415966083.00000000
            CLP
            508766.58000000
            USD
            2022-06-14
            25091.94000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        
        199871.20000000
        0.023669391811
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            8778150.01000000
            PLN
            2175561.71000000
            USD
            2022-05-24
            199871.20000000
          
        
        
          N
          N
          N
        
      
      
        Electricite de France SA
        549300X3UK4GG3FNMO06
        Electricite de France SA
        000000000
        
          
        
        130880.00000000
        NS
        
        1183462.62000000
        0.140149458484
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Linamar Corp
        549300LW6VIYFRMFBU20
        Linamar Corp
        53278L107
        
          
        
        2942.00000000
        NS
        
        116521.20000000
        0.013798816123
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Bath & Body Works Inc
        GR3KVMWVCR54YWQNXU90
        Bath & Body Works Inc
        501797AL8
        
          
        
        125000.00000000
        PA
        USD
        122123.75000000
        0.014462288154
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-11-01
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PSP Swiss Property AG
        50670042Y437P8X44F56
        PSP Swiss Property AG
        000000000
        
          
        
        903.00000000
        NS
        
        113917.07000000
        0.013490426653
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG839E9 IRS USD R V 00MSOFR 99NG839E9_FLO CCPVANILLA / Short: B9NG839E9 IRS USD P F  2.29800 99NG839E9_FIX CCPVANILLA
        000000000
        
          
        
        15995100.00000000
        OU
        Notional Amount
        USD
        570119.75000000
        0.067515418640
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-07
            0.00000000
            USD
            0.00000000
            USD
            15995100.00000000
            USD
            570119.75000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH069W8 IRS USD R V 00MSOFR 99NH069W8_FLO CCPVANILLA / Short: B9NH069W8 IRS USD P F  2.32600 99NH069W8_FIX CCPVANILLA
        000000000
        
          
        
        12226000.00000000
        OU
        Notional Amount
        USD
        236646.46000000
        0.028024436649
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-06
            0.00000000
            USD
            0.00000000
            USD
            12226000.00000000
            USD
            236646.46000000
          
        
        
          N
          N
          N
        
      
      
        ENLINK MIDSTREAM PARTNER
        88CPW63VL7KHJWS0NY83
        EnLink Midstream Partners LP
        29336UAC1
        
          
        
        71000.00000000
        PA
        USD
        58580.33000000
        0.006937271518
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-04-01
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Holdings Corp
        N/A
        GS Holdings Corp
        000000000
        
          
        
        2026.00000000
        NS
        
        69962.84000000
        0.008285225045
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Seino Holdings Co Ltd
        3538001D12EPCPYTTF24
        Seino Holdings Co Ltd
        000000000
        
          
        
        30000.00000000
        NS
        
        244819.83000000
        0.028992353472
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        CapitaLand Integrated Commercial Trust
        54930031292WUTXF0L29
        CapitaLand Integrated Commercial Trust
        000000000
        
          
        
        124919.00000000
        NS
        
        209015.83000000
        0.024752328374
        Long
        EC
        
        SG
        N
        
        2
        
          N
          N
          N
        
      
      
        Grand Canyon Education Inc
        529900XFER799IYOSW74
        Grand Canyon Education Inc
        38526M106
        
          
        
        2167.00000000
        NS
        USD
        207966.99000000
        0.024628121360
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH919N0 IRS USD R V 00MSOFR 99NH919N0_FLO CCPVANILLA / Short: B9NH919N0 IRS USD P F  2.72850 99NH919N0_FIX CCPVANILLA
        000000000
        
          
        
        1481000.00000000
        OU
        Notional Amount
        USD
        -2804.57000000
        -0.00033212622
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-21
            0.00000000
            USD
            0.00000000
            USD
            1481000.00000000
            USD
            -2804.57000000
          
        
        
          N
          N
          N
        
      
      
        Honda Motor Co Ltd
        549300P7ZYCQJ36CCS16
        Honda Motor Co Ltd
        000000000
        
          
        
        71800.00000000
        NS
        
        1885297.85000000
        0.223263048866
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        CN PING AN INSUR OVERSEA
        25490058XRCE9DZAMJ79
        China Ping An Insurance Overseas Holdings Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        165220.81000000
        0.019565980928
        Long
        DBT
        CORP
        HK
        Y
        
        2
        
          2031-08-12
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Seabridge Gold Inc
        9845003FEO1A66376A92
        Seabridge Gold Inc
        811916105
        
          
        
        4388.00000000
        NS
        USD
        77492.08000000
        0.009176861918
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -504595.20000000
        -0.05975579020
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            4588448.58000000
            USD
            529387667.00000000
            JPY
            2022-06-09
            -504595.20000000
          
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED USD / SOLD HKD
        000000000
        
          
        
        1.00000000
        NC
        
        6427.13000000
        0.000761121453
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            15727320.00000000
            HKD
            2012478.73000000
            USD
            2022-06-15
            6427.13000000
          
        
        
          N
          N
          N
        
      
      
        Yum China Holdings Inc
        529900DO9BYZ7VA3K502
        Yum China Holdings Inc
        98850P109
        
          
        
        4026.00000000
        NS
        USD
        168286.80000000
        0.019929065347
        Long
        EC
        CORP
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FNKD1
        
          
        
        2748650.01000000
        PA
        USD
        452377.77000000
        0.053572033813
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Evergy Inc
        549300PGTHDQY6PSUI61
        Evergy Inc
        30034W106
        
          
        
        1705.00000000
        NS
        USD
        115684.25000000
        0.013699701806
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6207770  CDS USD R F  5.00000 26207770_FEE CCPCORPORATE / Short: S6207770  CDS USD P V 03MEVENT 26207770_PRO CCPCORPORATE
        000000000
        
          
        
        257000.00000000
        OU
        Notional Amount
        USD
        22720.71000000
        0.002690659720
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                NRG Energy Inc
                NRG Energy Inc
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            27756.08000000
            USD
            0.00000000
            USD
            257000.00000000
            USD
            -5035.37000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAB1
        
          
        
        225000.00000000
        PA
        USD
        210860.61000000
        0.024970793169
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2027-07-21
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMI PLC
        2138002W9Q21PF751R30
        IMI PLC
        000000000
        
          
        
        9469.00000000
        NS
        
        159349.43000000
        0.018870673181
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Koninklijke Ahold Delhaize NV
        724500C9GNBV20UYRX36
        Koninklijke Ahold Delhaize NV
        000000000
        
          
        
        6540.00000000
        NS
        
        193192.37000000
        0.022878463232
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YTT2
        
          
        
        1173911.65000000
        PA
        USD
        135092.93000000
        0.015998140257
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Floating
          5.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SSPKC06BZ CDS USD R F  5.00000 COSPKC06BZ_FEE CCPCDX / Short: SSPKC06BZ CDS USD P V 03MEVENT COSPKC06BZ_PRO CCPCDX
        000000000
        
          
        
        61000000.00000000
        OU
        Notional Amount
        USD
        964410.00000000
        0.114208541083
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.HY.S38
                2I65BRYR5 RED Code
              
            
            Y
            
            sell protection
            2027-06-20
            2751499.42000000
            USD
            0.00000000
            USD
            61000000.00000000
            USD
            -1787089.42000000
          
        
        
          N
          N
          N
        
      
      
        JD.com Inc
        549300HVTWB0GJZ16V92
        JD.com Inc
        000000000
        
          
        
        2733.00000000
        NS
        
        85188.92000000
        0.010088346522
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        PENNYMAC CORP
        EWN0I878407TKQNXZ933
        PennyMac Corp
        70932AAD5
        
          
        
        2250000.00000000
        PA
        USD
        2237343.75000000
        0.264953459203
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-01
          Fixed
          5.50000000
          N
          N
          N
          N
          Y
          
            
              PennyMac Mortgage Investment Trust
              PennyMac Mortgage Investment Trust
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BW42
        
          
        
        1348659.37000000
        PA
        USD
        145566.07000000
        0.017238403257
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99P699CR2 FPPSWAPTION
        000000000
        
          
        
        11043700.00000000
        OU
        Notional Amount
        USD
        1056887.61000000
        0.125160037772
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    11043700.00000000
                    OU
                    Notional Amount
                    N/A
                    1056887.61000000
                    0.13000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2051-03-20
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  11043700.00000000
                  USD
                
              
            
            1.00000000
            2.21500000
            USD
            2041-03-18
            XXXX
            99951.00000000
          
        
        
          N
          N
          N
        
      
      
        Wienerberger AG
        529900VXIFBHO0SW2I31
        Wienerberger AG
        000000000
        
          
        
        37613.00000000
        NS
        
        1051438.20000000
        0.124514701073
        Long
        EC
        CORP
        AT
        N
        
        2
        
          N
          N
          N
        
      
      
        Western Copper & Gold Corp
        529900DF4NXAM6X99014
        Western Copper & Gold Corp
        95805V108
        
          
        
        31468.00000000
        NS
        
        60013.70000000
        0.007107015814
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Yageo Corp
        5493001P0TOZH7GGNQ21
        Yageo Corp
        000000000
        
          
        
        29000.00000000
        NS
        
        390141.25000000
        0.046201784489
        Long
        EC
        CORP
        TW
        N
        
        2
        
          N
          N
          N
        
      
      
        Abbott Laboratories
        HQD377W2YR662HK5JX27
        Abbott Laboratories
        002824100
        
          
        
        2846.00000000
        NS
        USD
        323021.00000000
        0.038253188114
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6207604  CDS USD R F  1.00000 26207604_FEE CCPCORPORATE / Short: S6207604  CDS USD P V 03MEVENT 26207604_PRO CCPCORPORATE
        000000000
        
          
        
        785000.00000000
        OU
        Notional Amount
        USD
        -38917.86000000
        -0.00460877843
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                TOLL BROS FINANCE CORP
                TOLL BROS FINANCE CORP
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -18702.78000000
            USD
            785000.00000000
            USD
            -20215.08000000
          
        
        
          N
          N
          N
        
      
      
        WEG SA
        N/A
        WEG SA
        000000000
        
          
        
        13500.00000000
        NS
        
        82191.37000000
        0.009733366988
        Long
        EC
        CORP
        BR
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6283316  CDS USD R F  1.00000 26283316_FEE CCPCORPORATE / Short: S6283316  CDS USD P V 03MEVENT 26283316_PRO CCPCORPORATE
        000000000
        
          
        
        250000.00000000
        OU
        Notional Amount
        USD
        -29715.08000000
        -0.00351895556
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                NORDSTROM INC
                NORDSTROM INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -29227.11000000
            USD
            250000.00000000
            USD
            -487.97000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JKL87
        
          
        
        11200.92000000
        PA
        USD
        11682.32000000
        0.001383457993
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NAC Kazatomprom JSC
        5493008JG5TXJP2JSY44
        NAC Kazatomprom JSC
        63253R201
        
          
        
        39002.00000000
        NS
        USD
        1106697.51000000
        0.131058686697
        Long
        EC
        CORP
        KZ
        Y
        
        2
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        CAN 10YR BOND FUT JUN22
        000000000
        
          
        
        412.00000000
        NC
        
        -2489429.96000000
        -0.29480632082
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Long
            
              
                MSE 10 Year Canadian Bond Future
                CNM2 COMDTY
              
            
            2022-06-21
            55258366.20000000
            CAD
            -2489429.96000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B3UE8
        
          
        
        2602403.34000000
        PA
        USD
        306821.27000000
        0.036334763866
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-25
          Floating
          5.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN22
        000000000
        
          
        
        80.00000000
        NC
        USD
        -18913.20000000
        -0.00223976211
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            9032663.20000000
            USD
            -18913.20000000
          
        
        
          N
          N
          N
        
      
      
        Kajima Corp
        N/A
        Kajima Corp
        000000000
        
          
        
        77100.00000000
        NS
        
        859642.60000000
        0.101801647846
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Compass Inc
        N/A
        Compass Inc
        20464U100
        
          
        
        74200.00000000
        NS
        USD
        402906.00000000
        0.047713427332
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          
        
      
      
        West Japan Railway Co
        353800QGUXHZ7EBCR121
        West Japan Railway Co
        000000000
        
          
        
        5600.00000000
        NS
        
        208494.63000000
        0.024690606190
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        7288.69000000
        0.000863150165
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            1150858.42000000
            SEK
            124603.33000000
            USD
            2022-06-09
            7288.69000000
          
        
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        TOPIX INDX FUTR JUN22
        000000000
        
          
        
        -228.00000000
        NC
        
        -2468168.74000000
        -0.29228849860
        N/A
        DE
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Short
            
              
                TSE TOPIX (Tokyo Price Index) Future
                TPM2 INDEX
              
            
            2022-06-09
            -4018533402.00000000
            JPY
            -2468168.74000000
          
        
        
          N
          N
          N
        
      
      
        Trip.com Group Ltd
        2549004RMYDSRQL4KW41
        Trip.com Group Ltd
        000000000
        
          
        
        29150.00000000
        NS
        
        693890.94000000
        0.082172801950
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99P530JF8 SWAPTION
        000000000
        
          
        
        9263800.00000000
        OU
        Notional Amount
        USD
        1424050.79000000
        0.168640685139
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    9263800.00000000
                    OU
                    Notional Amount
                    N/A
                    1424050.79000000
                    0.17000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2049-10-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9263800.00000000
                  USD
                
              
            
            1.00000000
            1.97600000
            USD
            2029-10-17
            XXXX
            442087.99000000
          
        
        
          N
          N
          N
        
      
      
        SBA Communications Corp
        5299001HX8ZN8Y8QIT49
        SBA Communications Corp
        78410G104
        
          
        
        301.00000000
        NS
        USD
        104480.11000000
        0.012372871429
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ALTICE FINANCING SA
        549300DIYGW8HVDF7Q17
        Altice Financing SA
        000000000
        
          
        
        263000.00000000
        PA
        
        235834.13000000
        0.027928237912
        Long
        DBT
        CORP
        LU
        Y
        
        2
        
          2029-08-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6188142  CDS EUR R F  1.00000 26188142_FEE CCPCORPORATE / Short: S6188142  CDS EUR P V 03MEVENT 26188142_PRO CCPCORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        
        -705.80000000
        -0.00008358311
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                J SAINSBURY PLC
                J SAINSBURY PLC
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            EUR
            -1071.29000000
            EUR
            100000.00000000
            EUR
            467.68000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99P149AR0 SWAPTION
        000000000
        
          
        
        3956100.00000000
        OU
        Notional Amount
        USD
        710199.78000000
        0.084104147356
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3956100.00000000
                    OU
                    Notional Amount
                    N/A
                    710199.78000000
                    0.08000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2061-01-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3956100.00000000
                  USD
                
              
            
            1.00000000
            1.62500000
            USD
            2041-01-22
            XXXX
            126675.03000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B2W57
        
          
        
        3085662.11000000
        PA
        USD
        485989.01000000
        0.057552385204
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-25
          Floating
          5.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: 26225730  CDS EUR R F  5.00000 CDS GS 20270620 L / Short: 26225730  CDS EUR P V 03MEVENT CDS GS 20270620 S
        000000000
        
          
        
        175000.00000000
        OU
        Notional Amount
        
        18541.34000000
        0.002195725252
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe S33
                8I6886AA6 RED CODE
              
            
            Y
            
            sell protection
            2027-06-20
            22752.18000000
            EUR
            0.00000000
            EUR
            175000.00000000
            EUR
            -6615.76000000
          
        
        
          N
          N
          N
        
      
      
        Mitsui Fudosan Logistics Park Inc
        353800DN63EIYS760S59
        Mitsui Fudosan Logistics Park Inc
        000000000
        
          
        
        36.00000000
        NS
        
        154099.69000000
        0.018248982047
        Long
        EC
        
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Bechtle AG
        529900HA2QT774RUXW59
        Bechtle AG
        000000000
        
          
        
        11262.00000000
        NS
        
        525817.86000000
        0.062269046014
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        LA BANQUE POSTALE
        96950066U5XAAIRCPA78
        La Banque Postale SA
        000000000
        
          
        
        400000.00000000
        PA
        
        324966.87000000
        0.038483624312
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2028-11-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Primo Water Corp
        5493005TMUI9D3MY9I37
        Primo Water Corp
        74167P108
        
          
        
        41809.00000000
        NS
        USD
        612083.76000000
        0.072484931979
        Long
        EC
        CORP
        CA
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398PJU4
        
          
        
        965899.87000000
        PA
        USD
        167609.32000000
        0.019848835981
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-25
          Floating
          5.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mirvac Group
        N/A
        Mirvac Group
        000000000
        
          
        
        111894.00000000
        NS
        
        189432.56000000
        0.022433214412
        Long
        EC
        
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6628510  CDS USD R F  5.00000 26628510_FEE CCPCORPORATE / Short: S6628510  CDS USD P V 03MEVENT 26628510_PRO CCPCORPORATE
        000000000
        
          
        
        52000.00000000
        OU
        Notional Amount
        USD
        3962.29000000
        0.000469227154
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Tenet Healthcare Corp
                Tenet Healthcare Corp
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            5146.53000000
            USD
            0.00000000
            USD
            52000.00000000
            USD
            -1184.24000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030652
        
          
        
        -25000000.00000000
        PA
        USD
        -23572301.00000000
        -2.79150787237
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-12
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IG Group Holdings PLC
        2138003A5Q1M7ANOUD76
        IG Group Holdings PLC
        000000000
        
          
        
        24934.00000000
        NS
        
        254585.93000000
        0.030148886516
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Lonza Group AG
        549300EFW4H2TCZ71055
        Lonza Group AG
        000000000
        
          
        
        1460.00000000
        NS
        
        857160.26000000
        0.101507681141
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137H1C79
        
          
        
        3238892.14000000
        PA
        USD
        688546.04000000
        0.081539841662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-07-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B9Y68
        
          
        
        3889293.27000000
        PA
        USD
        583206.92000000
        0.069065243499
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stolt-Nielsen Ltd
        213800VZX4LWJSGRLR94
        Stolt-Nielsen Ltd
        000000000
        
          
        
        23574.00000000
        NS
        
        426805.99000000
        0.050543741192
        Long
        EC
        CORP
        BM
        
        N
        
        2
        
          N
          N
          N
        
      
      
        CSX Corp
        549300JVQR4N1MMP3Q88
        CSX Corp
        126408103
        
          
        
        2424.00000000
        NS
        USD
        83240.16000000
        0.009857568081
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Cash Management Bill
        912796V89
        
          
        
        3504000.00000000
        PA
        USD
        3502672.20000000
        0.414797733180
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-07
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A1D44
        
          
        
        1058827.82000000
        PA
        USD
        156591.95000000
        0.018544123510
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          5.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        99P468CI2 PUTNAM
        000000000
        
          
        
        129290100.00000000
        OU
        Notional Amount
        USD
        15642290.75000000
        1.852410495294
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    129290100.00000000
                    OU
                    Notional Amount
                    N/A
                    15642290.75000000
                    1.85000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2042-03-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  129290100.00000000
                  USD
                
              
            
            1.00000000
            1.72200000
            USD
            2032-03-18
            XXXX
            2764996.79000000
          
        
        
          N
          N
          N
        
      
      
        Largan Precision Co Ltd
        N/A
        Largan Precision Co Ltd
        000000000
        
          
        
        1000.00000000
        NS
        
        56731.95000000
        0.006718380400
        Long
        EC
        CORP
        TW
        N
        
        2
        
          N
          N
          N
        
      
      
        LG Corp
        N/A
        LG Corp
        000000000
        
          
        
        9913.00000000
        NS
        
        571960.98000000
        0.067733463032
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617K4U96
        
          
        
        39325.40000000
        PA
        USD
        41159.48000000
        0.004874238303
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RVD5
        
          
        
        5954902.35000000
        PA
        USD
        427978.83000000
        0.050682632686
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-04-20
          Variable
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROSTRATEGY INC
        549300WQTWEJUEHXQX21
        MicroStrategy Inc
        594972AE1
        
          
        
        3211000.00000000
        PA
        USD
        2034168.50000000
        0.240892791140
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          None
          0.00000000
          N
          N
          N
          N
          Y
          
            
              MicroStrategy Inc
              MicroStrategy Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Credit Saison Co Ltd
        529900SV58ZWTGRH3A66
        Credit Saison Co Ltd
        000000000
        
          
        
        99400.00000000
        NS
        
        1114596.87000000
        0.131994154373
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH699C0 IRS USD R F  2.57100 99NH699C0_FIX CCPVANILLA / Short: S9NH699C0 IRS USD P V 00MSOFR 99NH699C0_FLO CCPVANILLA
        000000000
        
          
        
        12914000.00000000
        OU
        Notional Amount
        USD
        -106728.53000000
        -0.01263913657
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-13
            0.00000000
            USD
            0.00000000
            USD
            12914000.00000000
            USD
            -106728.53000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH419Q8 IRS USD R F  2.44700 99NH419Q8_FIX CCPVANILLA / Short: S9NH419Q8 IRS USD P V 00MSOFR 99NH419Q8_FLO CCPVANILLA
        000000000
        
          
        
        3867000.00000000
        OU
        Notional Amount
        USD
        -19823.40000000
        -0.00234755093
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-04-07
            0.00000000
            USD
            0.00000000
            USD
            3867000.00000000
            USD
            -19823.40000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375B3X8
        
          
        
        824584.67000000
        PA
        USD
        31264.54000000
        0.003702447611
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2063-03-20
          Variable
          1.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NJ659Y6 IRS USD R F  2.55200 99NJ659Y6_FIX CCPVANILLA / Short: S9NJ659Y6 IRS USD P V 00MSOFR 99NJ659Y6_FLO CCPVANILLA
        000000000
        
          
        
        966000.00000000
        OU
        Notional Amount
        USD
        -13101.76000000
        -0.00155155265
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-27
            0.00000000
            USD
            0.00000000
            USD
            966000.00000000
            USD
            -13101.76000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NJ759K5 IRS USD R F  2.45100 99NJ759K5_FIX CCPVANILLA / Short: S9NJ759K5 IRS USD P V 00MSOFR 99NJ759K5_FLO CCPVANILLA
        000000000
        
          
        
        1820000.00000000
        OU
        Notional Amount
        USD
        -40707.58000000
        -0.00482072284
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-18
            0.00000000
            USD
            0.00000000
            USD
            1820000.00000000
            USD
            -40707.58000000
          
        
        
          N
          N
          N
        
      
      
        CP ALL PCL
        894500LSBZLM09TY1A91
        CP ALL PCL
        000000000
        
          
        
        59600.00000000
        NS
        
        112415.90000000
        0.013312653263
        Long
        EC
        CORP
        TH
        N
        
        2
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6126974  CDS USD R F  5.00000 26126974_FEE CCPCORPORATE / Short: S6126974  CDS USD P V 03MEVENT 26126974_PRO CCPCORPORATE
        000000000
        
          
        
        250000.00000000
        OU
        Notional Amount
        USD
        11980.90000000
        0.001418816799
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                UNITED STATES STEEL CORP
                UNITED STATES STEEL CORP
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            12350.21000000
            USD
            0.00000000
            USD
            250000.00000000
            USD
            -369.31000000
          
        
        
          N
          N
          N
        
      
      
        Kinder Morgan Inc
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        49456B101
        
          
        
        21463.00000000
        NS
        USD
        389553.45000000
        0.046132175318
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG289P9 IRS USD R V 00MSOFR 99NG289P9_FLO CCPVANILLA / Short: B9NG289P9 IRS USD P F  2.06000 99NG289P9_FIX CCPVANILLA
        000000000
        
          
        
        22410000.00000000
        OU
        Notional Amount
        USD
        1246623.70000000
        0.147629197185
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-23
            0.00000000
            USD
            0.00000000
            USD
            22410000.00000000
            USD
            1246623.70000000
          
        
        
          N
          N
          N
        
      
      
        SoftBank Group Corp
        5493003BZYYYCDIO0R13
        SoftBank Group Corp
        000000000
        
          
        
        100000.00000000
        PA
        
        96913.00000000
        0.011476749869
        Long
        DBT
        CORP
        JP
        Y
        
        2
        
          2025-09-19
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Group Inc/The
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141G104
        
          
        
        3825.00000000
        NS
        USD
        1168499.25000000
        0.138377447973
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Ciena Corp
        W0CZ7N0GH8UIGXDM1H41
        Ciena Corp
        171779309
        
          
        
        2994.00000000
        NS
        USD
        165178.98000000
        0.019561027284
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        6202.10000000
        0.000734472675
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            99125.85000000
            EUR
            110946.11000000
            USD
            2022-06-09
            6202.10000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NJ759J8 IRS USD R V 00MSOFR 99NJ759J8_FLO CCPVANILLA / Short: B9NJ759J8 IRS USD P F  2.32050 99NJ759J8_FIX CCPVANILLA
        000000000
        
          
        
        6949000.00000000
        OU
        Notional Amount
        USD
        53630.30000000
        0.006351073009
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-04-18
            0.00000000
            USD
            0.00000000
            USD
            6949000.00000000
            USD
            53630.30000000
          
        
        
          N
          N
          N
        
      
      
        FALABELLA SA
        5493004CKJQ7H391LM41
        Falabella SA
        000000000
        
          
        
        200000.00000000
        PA
        USD
        174500.00000000
        0.020664852520
        Long
        DBT
        CORP
        CL
        Y
        
        2
        
          2032-01-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLEVELAND-CLIFFS INC
        549300TM2WLI2BJMDD86
        Cleveland-Cliffs Inc
        185899AM3
        
          
        
        72000.00000000
        PA
        USD
        73440.00000000
        0.008697001542
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BPP1
        
          
        
        4053185.45000000
        PA
        USD
        140696.20000000
        0.016661697553
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2062-01-20
          Variable
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380F6V3
        
          
        
        943635.86000000
        PA
        USD
        90179.13000000
        0.010679303277
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JUFY5
        
          
        
        27983.72000000
        PA
        USD
        29349.14000000
        0.003475619769
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fission Uranium Corp
        529900CBYH3A7AK6P676
        Fission Uranium Corp
        33812R109
        
          
        
        475216.00000000
        NS
        
        321829.23000000
        0.038112054869
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        RINGCENTRAL INC
        549300C8EH0H1614VE84
        RingCentral Inc
        76680RAF4
        
          
        
        109000.00000000
        PA
        USD
        91342.00000000
        0.010817014091
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          None
          0.00000000
          N
          N
          N
          N
          Y
          
            
              RingCentral Inc
              RingCentral Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Antares Pharma Inc
        5299004QMIHMZUUNYY44
        Antares Pharma Inc
        036642106
        
          
        
        99278.00000000
        NS
        USD
        552482.07000000
        0.065426707717
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freeport-McMoRan Inc
        549300IRDTHJQ1PVET45
        Freeport-McMoRan Inc
        35671D857
        
          
        
        20106.00000000
        NS
        USD
        815298.30000000
        0.096550252891
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ServiceNow Inc
        549300HJTQM36M0E1G39
        ServiceNow Inc
        81762P102
        
          
        
        2182.00000000
        NS
        USD
        1043214.20000000
        0.123540788482
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FNG61
        
          
        
        2275650.14000000
        PA
        USD
        305528.56000000
        0.036181676980
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CenterPoint Energy Inc
        21TPXMRRHFKOBHDC8J74
        CenterPoint Energy Inc
        15189T107
        
          
        
        3255.00000000
        NS
        USD
        99635.55000000
        0.011799163017
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mitsubishi Estate Co Ltd
        353800KOFMRGOXSJ5Z65
        Mitsubishi Estate Co Ltd
        000000000
        
          
        
        142700.00000000
        NS
        
        2066918.94000000
        0.244771203819
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020653
        
          
        
        -1000000.00000000
        PA
        USD
        -882070.31000000
        -0.10445760956
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-12
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NGK Spark Plug Co Ltd
        549300RG3XQGTFM4HH31
        NGK Spark Plug Co Ltd
        000000000
        
          
        
        148853.00000000
        NS
        
        2284564.79000000
        0.270545526982
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        IBERCAJA BANCO SA
        549300OLBL49CW8CT155
        Ibercaja Banco SA
        000000000
        
          
        
        100000.00000000
        PA
        
        99712.42000000
        0.011808266210
        Long
        DBT
        CORP
        ES
        Y
        
        2
        
          2030-07-23
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NJ659P5 IRS USD R F  2.77700 99NJ659P5_FIX CCPVANILLA / Short: S9NJ659P5 IRS USD P V 00MSOFR 99NJ659P5_FLO CCPVANILLA
        000000000
        
          
        
        5216000.00000000
        OU
        Notional Amount
        USD
        5279.11000000
        0.000625169224
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-04-26
            0.00000000
            USD
            0.00000000
            USD
            5216000.00000000
            USD
            5279.11000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD DKK
        000000000
        
          
        
        1.00000000
        NC
        
        42599.34000000
        0.005044751166
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            6387660.00000000
            DKK
            950257.59000000
            USD
            2022-06-15
            42599.34000000
          
        
        
          N
          N
          N
        
      
      
        JTEKT Corp
        N/A
        JTEKT Corp
        000000000
        
          
        
        77500.00000000
        NS
        
        539486.75000000
        0.063887760031
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        THERAVANCE BIOPHARMA INC
        5493007VTSXP4Z6MIW52
        Theravance Biopharma Inc
        88339KAA0
        
          
        
        1004000.00000000
        PA
        USD
        937605.66000000
        0.111034284734
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-11-01
          Fixed
          3.25000000
          N
          N
          N
          N
          N
          
            
              Theravance Biopharma Inc
              Theravance Biopharma Inc
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        SUMMIT DIGITEL INFRASTR
        3358004TNI1SSIQ9BQ37
        Summit Digitel Infrastructure Pvt Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        163579.07000000
        0.019371560784
        Long
        DBT
        CORP
        IN
        Y
        
        2
        
          2031-08-12
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382LKE0
        
          
        
        2390891.30000000
        PA
        USD
        371278.16000000
        0.043967956564
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BKU26
        
          
        
        5253114.30000000
        PA
        USD
        753658.00000000
        0.089250609861
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-01-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gildan Activewear Inc
        549300SB3IBI34M00Z45
        Gildan Activewear Inc
        375916103
        
          
        
        4093.00000000
        NS
        
        138690.14000000
        0.016424133462
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        KLEOPATRA HOLDINGS 2
        222100ALG258IKQWWE73
        Kleopatra Holdings 2 SCA
        000000000
        
          
        
        100000.00000000
        PA
        
        77254.01000000
        0.009148668901
        Long
        DBT
        CORP
        LU
        Y
        
        2
        
          2026-09-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH539V2 IRS USD R F  2.59200 99NH539V2_FIX CCPVANILLA / Short: S9NH539V2 IRS USD P V 00MSOFR 99NH539V2_FLO CCPVANILLA
        000000000
        
          
        
        10495000.00000000
        OU
        Notional Amount
        USD
        -74157.67000000
        -0.00878199033
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-13
            0.00000000
            USD
            0.00000000
            USD
            10495000.00000000
            USD
            -74157.67000000
          
        
        
          N
          N
          N
        
      
      
        FactSet Research Systems Inc
        549300ZSJE7NBK6K9P30
        FactSet Research Systems Inc
        303075105
        
          
        
        230.00000000
        NS
        USD
        92802.70000000
        0.010989994893
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Financial Group Inc
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        000000000
        
          
        
        64200.00000000
        NS
        
        1932648.04000000
        0.228870411004
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382VCJ6
        
          
        
        4836914.93000000
        PA
        USD
        680685.01000000
        0.080608913148
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-06-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BJDG7
        
          
        
        2542073.26000000
        PA
        USD
        406952.63000000
        0.048192642302
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-10-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Watsco Inc
        549300F1Y3LN5BX5WN75
        Watsco Inc
        942622200
        
          
        
        620.00000000
        NS
        USD
        165403.60000000
        0.019587627509
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Spectrum Brands Holdings Inc
        549300JM0MJETDD30O20
        Spectrum Brands Holdings Inc
        84790A105
        
          
        
        4757.00000000
        NS
        USD
        404677.99000000
        0.047923272100
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Vale SA
        254900SMTWBX7RU2SR20
        Vale SA
        91912E105
        
          
        
        72329.00000000
        NS
        USD
        1221636.81000000
        0.144670169123
        Long
        EC
        CORP
        BR
        N
        
        1
        
          N
          N
          N
        
      
      
        JOYY INC
        549300N6CHVU5CQZPW24
        JOYY Inc
        98426TAD8
        
          
        
        1313000.00000000
        PA
        USD
        1205465.30000000
        0.142755086778
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-06-15
          Fixed
          0.75000000
          N
          N
          N
          N
          Y
          
            
              JOYY Inc
              JOYY Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99P480CD8 PUTNAM
        000000000
        
          
        
        39118900.00000000
        OU
        Notional Amount
        USD
        6930126.72000000
        0.820687946223
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    39118900.00000000
                    OU
                    Notional Amount
                    N/A
                    6930126.72000000
                    0.82000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2057-03-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  39118900.00000000
                  USD
                
              
            
            1.00000000
            1.98400000
            USD
            2027-03-22
            XXXX
            1551277.97000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137F2BQ8
        
          
        
        701491.97000000
        PA
        USD
        80799.88000000
        0.009568582257
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BALL CORP
        0BGI85ALH27ZJP15DY16
        Ball Corp
        058498AW6
        
          
        
        100000.00000000
        PA
        USD
        84090.00000000
        0.009958208873
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPCM SA
        969500F7036FEDYPRV54
        SPCM SA
        7846ELAD9
        
          
        
        200000.00000000
        PA
        USD
        176500.00000000
        0.020901698967
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2027-03-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Delta Electronics Inc
        529900UVZWNWGDLJSM52
        Delta Electronics Inc
        000000000
        
          
        
        22000.00000000
        NS
        
        183636.61000000
        0.021746839329
        Long
        EC
        CORP
        TW
        N
        
        2
        
          N
          N
          N
        
      
      
        Suofeiya Home Collection Co Ltd
        3003001LPW6QB75C7439
        Suofeiya Home Collection Co Ltd
        000000000
        
          
        
        66400.00000000
        NS
        
        204783.27000000
        0.024251094975
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        WH Group Ltd
        254900A4AYEDRWYSE928
        WH Group Ltd
        000000000
        
          
        
        563500.00000000
        NS
        
        387849.72000000
        0.045930414119
        Long
        EC
        CORP
        KY
        
        Y
        
        2
        
          N
          N
          N
        
      
      
        International Paper Co
        824LMFJDH41EY779Q875
        International Paper Co
        460146103
        
          
        
        6983.00000000
        NS
        USD
        323173.24000000
        0.038271216866
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        China Shenhua Energy Co Ltd
        529900N9JOX4C108MA40
        China Shenhua Energy Co Ltd
        000000000
        
          
        
        97000.00000000
        NS
        
        309187.83000000
        0.036615019530
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796P45
        
          
        
        1250000.00000000
        PA
        USD
        1249968.69000000
        0.148025321684
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-05
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE Futures U.S., Inc.
        5493004R83R1LVX2IL36
        MSCI EMGMKT JUN22
        000000000
        
          
        
        332.00000000
        NC
        USD
        101046.19000000
        0.011966215553
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              ICE Futures U.S., Inc.
              5493004R83R1LVX2IL36
            
            Long
            
              
                ICE US MSCI Emerging Markets EM Index Futures
                MESM2 INDEX
              
            
            2022-06-17
            17451793.81000000
            USD
            101046.19000000
          
        
        
          N
          N
          N
        
      
      
        Sberbank of Russia PJSC
        549300WE6TAF5EEWQS81
        Sberbank of Russia PJSC
        80585Y308
        
          
        
        51398.00000000
        NS
        USD
        0.00000000
        0.000000
        Long
        EC
        CORP
        RU
        N
        
        3
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381XFH4
        
          
        
        3269589.74000000
        PA
        USD
        387414.34000000
        0.045878855016
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-07-20
          Floating
          5.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Itau Unibanco Holding SA
        5493002W2IVG62O3ZJ94
        Itau Unibanco Holding SA
        465562106
        
          
        
        135307.00000000
        NS
        USD
        648120.53000000
        0.076752522451
        Long
        EC
        CORP
        BR
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B4JX7
        
          
        
        804135.19000000
        PA
        USD
        45154.20000000
        0.005347305923
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-03-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
        -19.00000000
        NC
        USD
        141460.95000000
        0.016752261714
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            -2405429.70000000
            USD
            141460.95000000
          
        
        
          N
          N
          N
        
      
      
        VANKE REAL ESTATE HK
        25490078APAXS5NZGF08
        Vanke Real Estate Hong Kong Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        197193.99000000
        0.023352347972
        Long
        DBT
        CORP
        HK
        
        Y
        
        2
        
          2024-06-07
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Capitec Bank Holdings Ltd
        N/A
        Capitec Bank Holdings Ltd
        000000000
        
          
        
        1349.00000000
        NS
        
        188240.19000000
        0.022292010113
        Long
        EC
        CORP
        ZA
        N
        
        2
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5688.16000000
        -0.00067361024
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            298461.90000000
            USD
            1129350.00000000
            PEN
            2022-06-14
            -5688.16000000
          
        
        
          N
          N
          N
        
      
      
        FirstEnergy Corp
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932107
        
          
        
        5077.00000000
        NS
        USD
        219884.87000000
        0.026039475128
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        PHA Co Ltd
        N/A
        PHA Co Ltd
        000000000
        
          
        
        8879.00000000
        NS
        
        63883.31000000
        0.007565267505
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6408587  CDS USD R F  5.00000 26408587_FEE CCPCORPORATE / Short: S6408587  CDS USD P V 03MEVENT 26408587_PRO CCPCORPORATE
        000000000
        
          
        
        97000.00000000
        OU
        Notional Amount
        USD
        1872.29000000
        0.000221722617
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GOODYEAR TIRE & RUBBER
                GOODYEAR TIRE & RUBBER
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            5243.42000000
            USD
            0.00000000
            USD
            97000.00000000
            USD
            -3371.13000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375ASD7
        
          
        
        1821881.21000000
        PA
        USD
        344168.30000000
        0.040757519551
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2039-12-16
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        HSBC Bank PLC
        000000000
        
          
        
        300000.00000000
        PA
        USD
        243960.00000000
        0.028890529632
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-06-30
          Floating
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG839T6 IRS USD R V 00MSOFR 99NG839T6_FLO CCPVANILLA / Short: B9NG839T6 IRS USD P F  2.11600 99NG839T6_FIX CCPVANILLA
        000000000
        
          
        
        1757000.00000000
        OU
        Notional Amount
        USD
        90452.82000000
        0.010711714529
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-04
            0.00000000
            USD
            0.00000000
            USD
            1757000.00000000
            USD
            90452.82000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -25091.95000000
        -0.00297146960
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            508766.58000000
            USD
            415966080.00000000
            CLP
            2022-06-14
            -25091.95000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH919A8 IRS USD R F  2.42050 99NH919A8_FIX CCPVANILLA / Short: S9NH919A8 IRS USD P V 00MSOFR 99NH919A8_FLO CCPVANILLA
        000000000
        
          
        
        7195000.00000000
        OU
        Notional Amount
        USD
        -41799.35000000
        -0.00495001377
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-04-19
            0.00000000
            USD
            0.00000000
            USD
            7195000.00000000
            USD
            -41799.35000000
          
        
        
          N
          N
          N
        
      
      
        Zurich Insurance Group AG
        529900QVNRBND50TXP03
        Zurich Insurance Group AG
        000000000
        
          
        
        382.00000000
        NS
        
        173747.65000000
        0.020575756808
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Analog Devices Inc
        GYVOE5EZ4GDAVTU4CQ61
        Analog Devices Inc
        032654105
        
          
        
        1823.00000000
        NS
        USD
        281434.74000000
        0.033328409147
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH849R6 IRS USD R V 00MSOFR 99NH849R6_FLO CCPVANILLA / Short: B9NH849R6 IRS USD P F  2.40200 99NH849R6_FIX CCPVANILLA
        000000000
        
          
        
        13719000.00000000
        OU
        Notional Amount
        USD
        84592.73000000
        0.010017743780
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-04-19
            0.00000000
            USD
            0.00000000
            USD
            13719000.00000000
            USD
            84592.73000000
          
        
        
          N
          N
          N
        
      
      
        WAYFAIR INC
        54930027N9ZAVYFDHK53
        Wayfair Inc
        94419LAM3
        
          
        
        277000.00000000
        PA
        USD
        206817.02000000
        0.024491938206
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          0.63000000
          N
          N
          N
          N
          N
          
            
              Wayfair Inc
              Wayfair, Inc.
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Roche Holding AG
        549300U41AUUVOAAOB37
        Roche Holding AG
        000000000
        
          
        
        453.00000000
        NS
        
        181946.43000000
        0.021546682765
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Allfunds Group Plc
        9598005U8TZQ8Q64SC71
        Allfunds Group Plc
        000000000
        
          
        
        55374.00000000
        NS
        
        472498.74000000
        0.055954823943
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Charles Schwab Corp/The
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513105
        
          
        
        29810.00000000
        NS
        USD
        1977297.30000000
        0.234157920305
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH539A8 IRS USD R F  2.46100 99NH539A8_FIX CCPVANILLA / Short: S9NH539A8 IRS USD P V 00MSOFR 99NH539A8_FLO CCPVANILLA
        000000000
        
          
        
        3768000.00000000
        OU
        Notional Amount
        USD
        -49499.09000000
        -0.00586184180
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-11
            0.00000000
            USD
            0.00000000
            USD
            3768000.00000000
            USD
            -49499.09000000
          
        
        
          N
          N
          N
        
      
      
        Apple Hospitality REIT Inc
        549300EVZAR0FBZO4F16
        Apple Hospitality REIT Inc
        03784Y200
        
          
        
        104476.00000000
        NS
        USD
        1848180.44000000
        0.218867485521
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99C072DH7 SWAPTION
        000000000
        
          
        
        -114807900.00000000
        OU
        Notional Amount
        USD
        -5823952.19000000
        -0.68969119250
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    114807900.00000000
                    OU
                    Notional Amount
                    N/A
                    -5823952.19000000
                    -0.69000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2041-04-17
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  114807900.00000000
                  USD
                
              
            
            1.00000000
            2.48250000
            USD
            2031-04-15
            XXXX
            1340060.77000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B47M4
        
          
        
        1222738.11000000
        PA
        USD
        148218.72000000
        0.017552538622
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Wall Motor Co Ltd
        254900CR8AHWTMFZHH60
        Great Wall Motor Co Ltd
        000000000
        
          
        
        421500.00000000
        NS
        
        590407.89000000
        0.069918005579
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382PB43
        
          
        
        1989662.18000000
        PA
        USD
        280881.41000000
        0.033262882024
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-03-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aflac Inc
        549300N0B7DOGLXWPP39
        Aflac Inc
        001055102
        
          
        
        3110.00000000
        NS
        USD
        178140.80000000
        0.021096007792
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ALTICE FRANCE HOLDING SA
        5299000JVHXKJPOE6H40
        Altice France Holding SA
        000000000
        
          
        
        307000.00000000
        PA
        
        268245.10000000
        0.031766449460
        Long
        DBT
        CORP
        LU
        Y
        
        2
        
          2028-02-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOPE BANCORP INC
        549300UTF4QGMBHIZ219
        Hope Bancorp Inc
        43940TAB5
        
          
        
        2567000.00000000
        PA
        USD
        2509242.50000000
        0.297152585674
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-05-15
          Fixed
          2.00000000
          N
          N
          N
          N
          Y
          
            
              Hope Bancorp Inc
              Hope Bancorp Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        NexGen Energy Ltd
        529900N0IXNXB3IP7F06
        NexGen Energy Ltd
        65340P106
        
          
        
        102743.00000000
        NS
        
        506257.11000000
        0.059952598942
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        F5 Inc
        54930015FPK9KT966303
        F5 Inc
        315616102
        
          
        
        858.00000000
        NS
        USD
        143637.78000000
        0.017010048940
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Allianz SE
        529900K9B0N5BT694847
        Allianz SE
        000000000
        
          
        
        1306.00000000
        NS
        
        297461.43000000
        0.035226341440
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        GRANITE POINT MTGE TRST
        529900VX2HQZ76AYIE02
        Granite Point Mortgage Trust Inc
        38741LAC1
        
          
        
        299000.00000000
        PA
        USD
        295860.50000000
        0.035036754149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-01
          Fixed
          6.38000000
          N
          N
          N
          N
          N
          
            
              Granite Point Mortgage Trust I
              Granite Point Mortgage Trust I
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B9YF8
        
          
        
        4302269.74000000
        PA
        USD
        789605.89000000
        0.093507674877
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99P520KB6 SWAPTION
        000000000
        
          
        
        -7541449.00000000
        OU
        Notional Amount
        USD
        -2005883.73000000
        -0.23754321749
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    7541449.00000000
                    OU
                    Notional Amount
                    N/A
                    -2005883.73000000
                    -0.24000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2055-11-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7541449.00000000
                  USD
                
              
            
            1.00000000
            1.51800000
            USD
            2025-11-12
            XXXX
            -1033036.81000000
          
        
        
          N
          N
          N
        
      
      
        Meta Platforms Inc
        BQ4BKCS1HXDV9HN80Z93
        Meta Platforms Inc
        30303M102
        
          
        
        12074.00000000
        NS
        USD
        2420474.78000000
        0.286640426119
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MARKS & SPENCER PLC
        213800CN1RI3UCIZWB95
        Marks & Spencer PLC
        000000000
        
          
        
        467000.00000000
        PA
        
        561191.59000000
        0.066458117151
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2027-07-10
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pfizer Inc
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081103
        
          
        
        36917.00000000
        NS
        USD
        1811517.19000000
        0.214525705268
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        PTT PCL
        549300QOGMPTKB6W7G56
        PTT PCL
        000000000
        
          
        
        145205.00000000
        NS
        
        158183.89000000
        0.018732646177
        Long
        EC
        CORP
        TH
        N
        
        2
        
          N
          N
          N
        
      
      
        Meff Financial Derivatives
        N/A
        IBEX 35 INDX FUTR MAY22
        000000000
        
          
        
        4.00000000
        NC
        
        2255.48000000
        0.000267101212
        N/A
        DE
        
        ES
        N
        
        1
        
          
            
              Meff Financial Derivatives
              N/A
            
            Long
            
              
                MEFF Madrid IBEX 35 Index Future
                IBK2 INDEX
              
            
            2022-05-20
            340642.00000000
            EUR
            2255.48000000
          
        
        
          N
          N
          N
        
      
      
        Hera SpA
        8156009414FD99443B48
        Hera SpA
        000000000
        
          
        
        26663.00000000
        NS
        
        99180.16000000
        0.011745234265
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B9UP0
        
          
        
        4887281.19000000
        PA
        USD
        503878.69000000
        0.059670938779
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379HFK6
        
          
        
        2609637.68000000
        PA
        USD
        532152.62000000
        0.063019228714
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-12-16
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aena SME SA
        959800R7QMXKF0NFMT29
        Aena SME SA
        000000000
        
          
        
        5399.00000000
        NS
        
        763087.53000000
        0.090367285200
        Long
        EC
        CORP
        ES
        Y
        
        2
        
          N
          N
          N
        
      
      
        Avnet Inc
        XJI53DCPL7QABOWK4Z75
        Avnet Inc
        053807103
        
          
        
        58168.00000000
        NS
        USD
        2539614.88000000
        0.300749380823
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -207253.73000000
        -0.02454365481
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            2383648.22000000
            USD
            282047559.00000000
            JPY
            2022-06-15
            -207253.73000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A6LF9
        
          
        
        200064.00000000
        PA
        USD
        9825.98000000
        0.001163624226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH919I1 IRS USD R V 00MSOFR 99NH919I1_FLO CCPVANILLA / Short: B9NH919I1 IRS USD P F  2.61725 99NH919I1_FIX CCPVANILLA
        000000000
        
          
        
        4369000.00000000
        OU
        Notional Amount
        USD
        34234.17000000
        0.004054120769
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-20
            0.00000000
            USD
            0.00000000
            USD
            4369000.00000000
            USD
            34234.17000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FVLY6
        
          
        
        1522638.95000000
        PA
        USD
        266215.91000000
        0.031526146239
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          5.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chemed Corp
        54930020031IDJT2IM79
        Chemed Corp
        16359R103
        
          
        
        201.00000000
        NS
        USD
        98769.39000000
        0.011696589558
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        40044.15000000
        0.004742157329
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            779933.44000000
            EUR
            864454.83000000
            USD
            2022-06-15
            40044.15000000
          
        
        
          N
          N
          N
        
      
      
        Verizon Communications Inc
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343V104
        
          
        
        7720.00000000
        NS
        USD
        357436.00000000
        0.042328723355
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Assicurazioni Generali SpA
        549300X5UKJVE386ZB61
        Assicurazioni Generali SpA
        000000000
        
          
        
        6918.00000000
        NS
        
        130557.37000000
        0.015461024621
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        VGP NV
        315700NENYPIXFR94T49
        VGP NV
        000000000
        
          
        
        394.00000000
        NS
        
        101424.73000000
        0.012011043480
        Long
        EC
        CORP
        BE
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NG289G9 IRS USD R F  2.05000 99NG289G9_FIX CCPVANILLA / Short: S9NG289G9 IRS USD P V 00MSOFR 99NG289G9_FLO CCPVANILLA
        000000000
        
          
        
        12584000.00000000
        OU
        Notional Amount
        USD
        -1135078.06000000
        -0.13441960291
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2052-06-15
            0.00000000
            USD
            -195390.00000000
            USD
            12584000.00000000
            USD
            -939688.06000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BCFW5
        
          
        
        4059164.65000000
        PA
        USD
        645679.55000000
        0.076463453731
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMURFIT KAPPA TREASURY
        635400B3DOXSWFOWJT40
        Smurfit Kappa Treasury ULC
        000000000
        
          
        
        113000.00000000
        PA
        
        114333.71000000
        0.013539766505
        Long
        DBT
        CORP
        IE
        Y
        
        2
        
          2027-09-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UVZ0
        
          
        
        407360.37000000
        PA
        USD
        18820.05000000
        0.002228730989
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2065-03-20
          Variable
          1.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        39119.14000000
        0.004632614663
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            779933.46000000
            EUR
            863529.85000000
            USD
            2022-06-15
            39119.14000000
          
        
        
          N
          N
          N
        
      
      
        UCB SA
        2138008J191VLSGY5A09
        UCB SA
        000000000
        
          
        
        1724.00000000
        NS
        
        196191.85000000
        0.023233671323
        Long
        EC
        CORP
        BE
        N
        
        2
        
          N
          N
          N
        
      
      
        Cullen/Frost Bankers Inc
        529900V2E9G9AY665O34
        Cullen/Frost Bankers Inc
        229899109
        
          
        
        1824.00000000
        NS
        USD
        241296.96000000
        0.028575163851
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        186117.62000000
        0.022040648531
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            3483195.91000000
            EUR
            3866730.61000000
            USD
            2022-06-09
            186117.62000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BAML5
        
          
        
        3650357.06000000
        PA
        USD
        533726.01000000
        0.063205554629
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99P484IF9 SWAPTION
        000000000
        
          
        
        19851000.00000000
        OU
        Notional Amount
        USD
        2175320.22000000
        0.257608432841
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    19851000.00000000
                    OU
                    Notional Amount
                    N/A
                    2175320.22000000
                    0.26000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2039-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19851000.00000000
                  USD
                
              
            
            1.00000000
            1.86500000
            USD
            2029-09-28
            XXXX
            776283.16000000
          
        
        
          N
          N
          N
        
      
      
        GSK FINANCE NO 3 PLC
        N/A
        GSK Finance No 3 PLC
        36259RAA0
        
          
        
        2326000.00000000
        PA
        USD
        2238775.00000000
        0.265122952442
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2023-06-22
          None
          0.00000000
          N
          N
          N
          N
          N
          
            
              GSK Finance No 3 PLC
              GSK Finance No 3 PLC
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        CELLNEX TELECOM SA
        5493008T4YG3AQUI7P67
        Cellnex Telecom SA
        000000000
        
          
        
        400000.00000000
        PA
        
        354108.82000000
        0.041934707973
        Long
        DBT
        CORP
        ES
        Y
        
        2
        
          2031-11-20
          Fixed
          0.75000000
          N
          N
          N
          N
          N
          
            
              Cellnex Telecom SA
              Cellnex Telecom SA
              EUR
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        LAGARDERE SCA
        969500VX2NV2AQQ65G45
        Lagardere SA
        000000000
        
          
        
        100000.00000000
        PA
        
        101374.04000000
        0.012005040607
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2027-10-07
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B9FQ5
        
          
        
        6244045.55000000
        PA
        USD
        941705.72000000
        0.111519827056
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-04-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Columbia Sportswear Co
        549300OTMCIEUXAH5Z60
        Columbia Sportswear Co
        198516106
        
          
        
        1554.00000000
        NS
        USD
        127676.64000000
        0.015119879288
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Edwards Lifesciences Corp
        YA13X31F3V31L8TMPR58
        Edwards Lifesciences Corp
        28176E108
        
          
        
        1549.00000000
        NS
        USD
        163853.22000000
        0.019404026511
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Aoyama Trading Co Ltd
        549300FYZLM486BSOQ14
        Aoyama Trading Co Ltd
        000000000
        
          
        
        26500.00000000
        NS
        
        134439.26000000
        0.015920730549
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        EQT AB
        213800U7P9GOIRKCTB34
        EQT AB
        000000000
        
          
        
        32643.00000000
        NS
        
        921844.35000000
        0.109167779595
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        North Pacific Bank Ltd
        549300A1ZLTL4KX3DZ92
        North Pacific Bank Ltd
        000000000
        
          
        
        104100.00000000
        NS
        
        196798.30000000
        0.023305489087
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        CF Industries Inc
        5FVKT86LAD2F40NPC183
        CF Industries Inc
        12527GAF0
        
          
        
        56000.00000000
        PA
        USD
        57818.88000000
        0.006847098155
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-03-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR & Co Inc
        549300JOHU21WRN2Z451
        KKR & Co Inc
        48251W104
        
          
        
        18220.00000000
        NS
        USD
        928673.40000000
        0.109976497710
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Italian Derivatives Market
        N/A
        FTSE/MIB IDX FUT JUN22
        000000000
        
          
        
        3.00000000
        NC
        
        15516.02000000
        0.001837457106
        N/A
        DE
        
        IT
        N
        
        1
        
          
            
              Italian Derivatives Market
              N/A
            
            Long
            
              
                MIL FTSE/MIB Index Future
                STM2 INDEX
              
            
            2022-06-17
            344077.18000000
            EUR
            15516.02000000
          
        
        
          N
          N
          N
        
      
      
        VTR COMUNICACIONES SPA
        213800XDZJKMC1AEUV94
        VTR Comunicaciones SpA
        000000000
        
          
        
        400000.00000000
        PA
        USD
        338000.00000000
        0.040027049580
        Long
        DBT
        CORP
        CL
        Y
        
        2
        
          2029-04-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH849I6 IRS USD R F  2.32255 99NH849I6_FIX CCPVANILLA / Short: S9NH849I6 IRS USD P V 00MSOFR 99NH849I6_FLO CCPVANILLA
        000000000
        
          
        
        4216000.00000000
        OU
        Notional Amount
        USD
        -129999.18000000
        -0.01539492196
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2052-04-18
            0.00000000
            USD
            0.00000000
            USD
            4216000.00000000
            USD
            -129999.18000000
          
        
        
          N
          N
          N
        
      
      
        Toronto-Dominion Bank
        PT3QB789TSUIDF371261
        PURCHASED USD / SOLD HKD
        000000000
        
          
        
        1.00000000
        NC
        
        6749.08000000
        0.000799247810
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Toronto-Dominion Bank
              PT3QB789TSUIDF371261
            
            15727320.00000000
            HKD
            2012800.68000000
            USD
            2022-06-15
            6749.08000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BBPF3
        
          
        
        1998587.56000000
        PA
        USD
        391193.34000000
        0.046326376378
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382DTH2
        
          
        
        2586455.18000000
        PA
        USD
        315481.06000000
        0.037360284113
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-03-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brown & Brown Inc
        549300PC8KTJ71XKFY89
        Brown & Brown Inc
        115236101
        
          
        
        2745.00000000
        NS
        USD
        170135.10000000
        0.020147946991
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LANXESS AG
        529900PTLRE72EMYIJ77
        LANXESS AG
        000000000
        
          
        
        2529.00000000
        NS
        
        99439.36000000
        0.011775929565
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        WISDOMTREE INVESTMENTS
        549300WIU8IS7UFO7871
        WisdomTree Investments Inc
        97717PAC8
        
          
        
        1601000.00000000
        PA
        USD
        1511344.00000000
        0.178978228467
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2026-06-15
          Fixed
          3.25000000
          N
          N
          N
          N
          Y
          
            
              WisdomTree Investments Inc
              WisdomTree Investments Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK NA
        7H6GLXDRUGQFU57RNE97
        JPMorgan Chase Bank NA
        48128DAC1
        
          
        
        2490000.00000000
        PA
        USD
        2447670.00000000
        0.289860971738
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2023-01-01
          Fixed
          0.13000000
          N
          N
          N
          N
          N
          
            
              JPMorgan Chase Bank NA
              JPMorgan Chase Bank NA
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Boeing Co/The
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023105
        
          
        
        1963.00000000
        NS
        USD
        292172.92000000
        0.034600059038
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        728143.75000000
        0.086229130128
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            12061764.47000000
            CHF
            13150221.45000000
            USD
            2022-06-09
            728143.75000000
          
        
        
          N
          N
          N
        
      
      
        China Youran Dairy Group Ltd
        N/A
        China Youran Dairy Group Ltd
        000000000
        
          
        
        189000.00000000
        NS
        
        76764.66000000
        0.009090718496
        Long
        EC
        CORP
        KY
        
        Y
        
        2
        
          N
          N
          N
        
      
      
        Nippon Steel Corp
        35380065QWQ4U2V3PA33
        Nippon Steel Corp
        000000000
        
          
        
        126500.00000000
        NS
        
        2015981.06000000
        0.238738975866
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99P486IF4 SWAPTION
        000000000
        
          
        
        13234000.00000000
        OU
        Notional Amount
        USD
        1415783.91000000
        0.167661694560
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    13234000.00000000
                    OU
                    Notional Amount
                    N/A
                    1415783.91000000
                    0.17000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2039-09-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  13234000.00000000
                  USD
                
              
            
            1.00000000
            1.92000000
            USD
            2029-09-20
            XXXX
            515467.06000000
          
        
        
          N
          N
          N
        
      
      
        Autodesk Inc
        FRKKVKAIQEF3FCSTPG55
        Autodesk Inc
        052769106
        
          
        
        5017.00000000
        NS
        USD
        949617.76000000
        0.112456796338
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        WEIBO CORP
        549300Q9ID4640FE0422
        Weibo Corp
        948596AC5
        
          
        
        1230000.00000000
        PA
        USD
        1199250.00000000
        0.142019050916
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-11-15
          Fixed
          1.25000000
          N
          N
          N
          N
          N
          
            
              Weibo Corp
              Weibo Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Orsted AS
        W9NG6WMZIYEU8VEDOG48
        Orsted AS
        000000000
        
          
        
        2061.00000000
        NS
        
        231257.61000000
        0.027386271661
        Long
        EC
        CORP
        DK
        Y
        
        2
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99C179CD0 SWAPTION
        000000000
        
          
        
        -62256800.00000000
        OU
        Notional Amount
        USD
        -159099.12000000
        -0.01884103066
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    62256800.00000000
                    OU
                    Notional Amount
                    N/A
                    -159099.12000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2028-03-31
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  62256800.00000000
                  USD
                
              
            
            1.00000000
            0.92750000
            USD
            2027-03-25
            XXXX
            240122.61000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BHEL9
        
          
        
        7592229.29000000
        PA
        USD
        1337339.30000000
        0.158372030969
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AEHN0
        
          
        
        288775.05000000
        PA
        USD
        13218.30000000
        0.001565353696
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IQVIA INC
        549300PLWY28YB00C717
        IQVIA Inc
        000000000
        
          
        
        248000.00000000
        PA
        
        228454.32000000
        0.027054297022
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2029-03-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B5VK8
        
          
        
        1593544.19000000
        PA
        USD
        236679.40000000
        0.028028337510
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Blackstone Inc
        5299004LW4QWGZUB8Y96
        Blackstone Inc
        09260D107
        
          
        
        16029.00000000
        NS
        USD
        1628065.53000000
        0.192800768314
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        TRIP.COM GROUP LTD
        2549004RMYDSRQL4KW41
        Trip.com Group Ltd
        22943FAM2
        
          
        
        809000.00000000
        PA
        USD
        780685.00000000
        0.092451234325
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-09-15
          Fixed
          1.25000000
          N
          N
          N
          N
          N
          
            
              Trip.com Group Ltd
              Trip.com Group Ltd
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Ivanhoe Mines Ltd
        5299006XZISURYIA4G32
        Ivanhoe Mines Ltd
        46579R104
        
          
        
        37312.00000000
        NS
        
        299158.21000000
        0.035427279598
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        182109.63000000
        0.021566009435
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            4233333.33000000
            EUR
            4656857.16000000
            USD
            2022-06-15
            182109.63000000
          
        
        
          N
          N
          N
        
      
      
        Softcat PLC
        213800N42YZLR9GLVC42
        Softcat PLC
        000000000
        
          
        
        52045.00000000
        NS
        
        914532.67000000
        0.108301906880
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Ferrari NV
        549300RIVY5EX8RCON76
        Ferrari NV
        000000000
        
          
        
        726.00000000
        NS
        
        153135.91000000
        0.018134848112
        Long
        EC
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Flowers Foods Inc
        7YNCQQNDK8FBM9BBTK25
        Flowers Foods Inc
        343498101
        
          
        
        7284.00000000
        NS
        USD
        193171.68000000
        0.022876013056
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Allstate Corp/The
        OBT0W1ED8G0NWVOLOJ77
        Allstate Corp/The
        020002101
        
          
        
        864.00000000
        NS
        USD
        109330.56000000
        0.012947277354
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Moncler SpA
        815600EBD7FB00525B20
        Moncler SpA
        000000000
        
          
        
        20563.00000000
        NS
        
        1068043.93000000
        0.126481205150
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        Landstar System Inc
        254900CUQXQRL09MEI52
        Landstar System Inc
        515098101
        
          
        
        974.00000000
        NS
        USD
        150872.60000000
        0.017866819646
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99C141AH3 SWAPTION
        000000000
        
          
        
        -4761900.00000000
        OU
        Notional Amount
        USD
        -423839.24000000
        -0.05019240909
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    4761900.00000000
                    OU
                    Notional Amount
                    N/A
                    -423839.24000000
                    -0.05000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2051-01-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4761900.00000000
                  USD
                
              
            
            1.00000000
            1.91800000
            USD
            2031-01-22
            XXXX
            145684.00000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376R7A8
        
          
        
        369422.86000000
        PA
        USD
        36138.20000000
        0.004279602139
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-09-20
          Variable
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dover Corp
        549300FMC2ALGA7N9E80
        Dover Corp
        260003108
        
          
        
        1299.00000000
        NS
        USD
        173156.70000000
        0.020505774604
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8584.13000000
        0.001016560346
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            90000.00000000
            USD
            487395.00000000
            BRL
            2022-05-03
            8584.13000000
          
        
        
          N
          N
          N
        
      
      
        Assura PLC
        21380026T19N2Y52XF72
        Assura PLC
        000000000
        
          
        
        164537.00000000
        NS
        
        136160.65000000
        0.016124583102
        Long
        EC
        
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Boyd Gaming Corp
        254900787YGRYS2A1Z35
        Boyd Gaming Corp
        103304101
        
          
        
        3237.00000000
        NS
        USD
        196097.46000000
        0.023222493355
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99P558JF9 SWAPTION
        000000000
        
          
        
        10587200.00000000
        OU
        Notional Amount
        USD
        1791972.53000000
        0.212211163627
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    10587200.00000000
                    OU
                    Notional Amount
                    N/A
                    1791972.53000000
                    0.21000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2049-10-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10587200.00000000
                  USD
                
              
            
            1.00000000
            1.79400000
            USD
            2029-10-02
            XXXX
            502751.68000000
          
        
        
          N
          N
          N
        
      
      
        Granite Real Estate Investment Trust
        549300A6I7CLE0ZC0396
        Granite Real Estate Investment Trust
        387437114
        
          
        
        2263.00000000
        NS
        
        167595.70000000
        0.019847223057
        Long
        EC
        
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        OSG Corp
        353800IWJAOVAFO6X450
        OSG Corp
        000000000
        
          
        
        35200.00000000
        NS
        
        441217.13000000
        0.052250354847
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        China Gas Holdings Ltd
        254900KTSZLZ21VV8T33
        China Gas Holdings Ltd
        000000000
        
          
        
        138400.00000000
        NS
        
        167732.12000000
        0.019863378353
        Long
        EC
        CORP
        BM
        
        N
        
        2
        
          N
          N
          N
        
      
      
        VZ VENDOR FINANCING
        724500DRKUUR3GFOSK76
        VZ Vendor Financing II BV
        000000000
        
          
        
        300000.00000000
        PA
        
        268630.63000000
        0.031812105165
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2029-01-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376R2C9
        
          
        
        1247077.20000000
        PA
        USD
        67059.83000000
        0.007941441243
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-02-20
          Variable
          1.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPCM SA
        969500F7036FEDYPRV54
        SPCM SA
        7846ELAE7
        
          
        
        200000.00000000
        PA
        USD
        169500.00000000
        0.020072736402
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2030-03-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIPS AB
        549300LZSA4S0L54VQ25
        MIPS AB
        000000000
        
          
        
        4471.00000000
        NS
        
        318155.60000000
        0.037677011762
        Long
        EC
        CORP
        SE
        Y
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381XAJ5
        
          
        
        2879940.99000000
        PA
        USD
        351562.46000000
        0.041633159814
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-07-20
          Floating
          5.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intact Financial Corp
        5493009LXGE7Y4U9OY43
        Intact Financial Corp
        45823T106
        
          
        
        1539.00000000
        NS
        
        215303.06000000
        0.025496882418
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Cranswick PLC
        549300LDZLPU51XOSK43
        Cranswick PLC
        000000000
        
          
        
        1592.00000000
        NS
        
        63082.39000000
        0.007470419976
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Sun Life Financial Inc
        549300V040JZX5S66Z78
        Sun Life Financial Inc
        866796105
        
          
        
        3669.00000000
        NS
        
        182528.93000000
        0.021615664293
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BFJ6
        
          
        
        2069841.19000000
        PA
        USD
        78240.00000000
        0.009265433015
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-08-20
          Variable
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hermes International
        969500Y4IJGHJE2MTJ13
        Hermes International
        000000000
        
          
        
        172.00000000
        NS
        
        211629.59000000
        0.025061858259
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        UNITE Group PLC/The
        213800BBUUWVDH9YI827
        UNITE Group PLC/The
        000000000
        
          
        
        9314.00000000
        NS
        
        131873.45000000
        0.015616879057
        Long
        EC
        
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Northern Dynasty Minerals Ltd
        529900HEIYP56LE0EJ17
        Northern Dynasty Minerals Ltd
        66510M204
        
          
        
        168443.00000000
        NS
        
        57692.69000000
        0.006832154328
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NJ659U4 IRS USD R F  2.68250 99NJ659U4_FIX CCPVANILLA / Short: S9NJ659U4 IRS USD P V 00MSOFR 99NJ659U4_FLO CCPVANILLA
        000000000
        
          
        
        1041000.00000000
        OU
        Notional Amount
        USD
        -2217.02000000
        -0.00026254665
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-26
            0.00000000
            USD
            0.00000000
            USD
            1041000.00000000
            USD
            -2217.02000000
          
        
        
          N
          N
          N
        
      
      
        VMED O2 UK FINAN
        213800MRR46ECNGZ7L69
        Vmed O2 UK Financing I PLC
        000000000
        
          
        
        950000.00000000
        PA
        
        1031517.99000000
        0.122155685589
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2031-07-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382FV84
        
          
        
        4231525.95000000
        PA
        USD
        641101.15000000
        0.075921264844
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRIFOLS ESCROW ISSUER
        959800HLB3PGTGSLVV62
        Grifols Escrow Issuer SA
        000000000
        
          
        
        100000.00000000
        PA
        
        94635.37000000
        0.011207025583
        Long
        DBT
        CORP
        ES
        Y
        
        2
        
          2028-10-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99C829AI1 PUTNAM
        000000000
        
          
        
        7310000.00000000
        OU
        Notional Amount
        USD
        698941.26000000
        0.082770877124
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    7310000.00000000
                    OU
                    Notional Amount
                    N/A
                    698941.26000000
                    0.08000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2022-03-29
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7310000.00000000
                  USD
                
              
            
            1.00000000
            1.67100000
            USD
            2032-01-05
            XXXX
            -170217.74000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6244058  CDS EUR R F  5.00000 26244058_FEE CCPCORPORATE / Short: S6244058  CDS EUR P V 03MEVENT 26244058_PRO CCPCORPORATE
        000000000
        
          
        
        120000.00000000
        OU
        Notional Amount
        
        18126.07000000
        0.002146547640
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                ArcelorMittal SA
                ArcelorMittal SA
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            19238.41000000
            EUR
            0.00000000
            EUR
            120000.00000000
            EUR
            -3067.26000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380GPZ1
        
          
        
        335090.76000000
        PA
        USD
        29439.63000000
        0.003486335886
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Savills PLC
        213800WXICGMBWHTA933
        Savills PLC
        000000000
        
          
        
        19911.00000000
        NS
        
        266496.32000000
        0.031559353295
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99C778EY1 FNMA TBA 30 YR 4.5
        000000000
        
          
        
        85000000.00000000
        OU
        Notional Amount
        USD
        38080.00000000
        0.004509556355
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                UMBS, TBA
                UMBS, TBA
                
                  
                  
                
              
            
            1.00000000
            102.50000000
            USD
            2022-05-05
            XXXX
            -174517.66000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032658
        
          
        
        -71000000.00000000
        PA
        USD
        -68853359.02000000
        -8.15383673167
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-12
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCK7
        
          
        
        325000.00000000
        PA
        USD
        273910.00000000
        0.032437305179
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2031-02-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6207457  CDS USD R F  5.00000 26207457_FEE CCPCORPORATE / Short: S6207457  CDS USD P V 03MEVENT 26207457_PRO CCPCORPORATE
        000000000
        
          
        
        180000.00000000
        OU
        Notional Amount
        USD
        23839.87000000
        0.002823194255
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                General Motors Co
                General Motors Co
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            26519.80000000
            USD
            0.00000000
            USD
            180000.00000000
            USD
            -2679.93000000
          
        
        
          N
          N
          N
        
      
      
        Emerson Electric Co
        FGLT0EWZSUIRRITFOA30
        Emerson Electric Co
        291011104
        
          
        
        2338.00000000
        NS
        USD
        210840.84000000
        0.024968451941
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED THB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -72594.49000000
        -0.00859687352
        N/A
        DFE
        
        TH
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            1428295.36000000
            USD
            46406458.86000000
            THB
            2022-06-14
            -72594.49000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B2RW4
        
          
        
        2254598.06000000
        PA
        USD
        298675.85000000
        0.035370156972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-25
          Floating
          5.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B7QD6
        
          
        
        2171806.96000000
        PA
        USD
        346465.32000000
        0.041029540064
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vinci SA
        213800WFQ334R8UXUG83
        Vinci SA
        000000000
        
          
        
        3468.00000000
        NS
        
        334607.24000000
        0.039625268004
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6697557  CDS USD R F  5.00000 26697557_FEE CCPCORPORATE / Short: S6697557  CDS USD P V 03MEVENT 26697557_PRO CCPCORPORATE
        000000000
        
          
        
        97000.00000000
        OU
        Notional Amount
        USD
        1872.29000000
        0.000221722617
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GOODYEAR TIRE & RUBBER
                GOODYEAR TIRE & RUBBER
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            2162.27000000
            USD
            0.00000000
            USD
            97000.00000000
            USD
            -289.98000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382YGH0
        
          
        
        5375796.21000000
        PA
        USD
        328020.44000000
        0.038845237915
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2071-09-20
          Variable
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FPA47
        
          
        
        3759380.04000000
        PA
        USD
        581417.82000000
        0.068853372509
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG579V5 IRS USD R V 00MSOFR 99NG579V5_FLO CCPVANILLA / Short: B9NG579V5 IRS USD P F  2.26550 99NG579V5_FIX CCPVANILLA
        000000000
        
          
        
        6624000.00000000
        OU
        Notional Amount
        USD
        254364.25000000
        0.030122634456
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-30
            0.00000000
            USD
            0.00000000
            USD
            6624000.00000000
            USD
            254364.25000000
          
        
        
          N
          N
          N
        
      
      
        Simon Property Group Inc
        529900GQL5X8H7AO3T64
        Simon Property Group Inc
        828806109
        
          
        
        7673.00000000
        NS
        USD
        905414.00000000
        0.107222044583
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        TC Energy Corp
        549300UGKOFV2IWJJG27
        TC Energy Corp
        87807B107
        
          
        
        5470.00000000
        NS
        
        289329.00000000
        0.034263272864
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        APOLLO CMMRL REAL EST FI
        549300E0AN7M2AQHSY29
        Apollo Commercial Real Estate Finance Inc
        03762UAC9
        
          
        
        2550000.00000000
        PA
        USD
        2487843.75000000
        0.294618476718
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-15
          Fixed
          5.38000000
          N
          N
          N
          N
          N
          
            
              Apollo Commercial Real Estate Finance Inc
              Apollo Commercial Real Estate Finance Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Daqin Railway Co Ltd
        30030098LARO7YWJL882
        Daqin Railway Co Ltd
        000000000
        
          
        
        547800.00000000
        NS
        
        551749.03000000
        0.065339898757
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        TWITTER INC
        549300I8RX485XMK6836
        Twitter Inc
        90184LAN2
        
          
        
        1310000.00000000
        PA
        USD
        1237295.00000000
        0.146524462459
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          None
          0.00000000
          N
          N
          N
          N
          Y
          
            
              Twitter Inc
              Twitter Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH419A3 IRS USD R F  2.36650 99NH419A3_FIX CCPVANILLA / Short: S9NH419A3 IRS USD P V 00MSOFR 99NH419A3_FLO CCPVANILLA
        000000000
        
          
        
        5809000.00000000
        OU
        Notional Amount
        USD
        -101599.41000000
        -0.01203172964
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-07
            0.00000000
            USD
            0.00000000
            USD
            5809000.00000000
            USD
            -101599.41000000
          
        
        
          N
          N
          N
        
      
      
        Meitec Corp
        N/A
        Meitec Corp
        000000000
        
          
        
        8200.00000000
        NS
        
        436188.32000000
        0.051654826956
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Sampo Oyj
        743700UF3RL386WIDA22
        Sampo Oyj
        000000000
        
          
        
        3103.00000000
        NS
        
        149525.81000000
        0.017707328433
        Long
        EC
        CORP
        FI
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH849D7 IRS USD R V 00MSOFR 99NH849D7_FLO CCPVANILLA / Short: B9NH849D7 IRS USD P F  2.32700 99NH849D7_FIX CCPVANILLA
        000000000
        
          
        
        502000.00000000
        OU
        Notional Amount
        USD
        3811.49000000
        0.000451368932
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-04-18
            0.00000000
            USD
            0.00000000
            USD
            502000.00000000
            USD
            3811.49000000
          
        
        
          N
          N
          N
        
      
      
        Barratt Developments PLC
        2138006R85VEOF5YNK29
        Barratt Developments PLC
        000000000
        
          
        
        17873.00000000
        NS
        
        109429.34000000
        0.012958975200
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO STOXX 50 JUN22
        000000000
        
          
        
        94.00000000
        NC
        
        119949.13000000
        0.014204762644
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EUX EURO STOXX 50 Future
                VGM2 INDEX
              
            
            2022-06-17
            3398138.78000000
            EUR
            119949.13000000
          
        
        
          N
          N
          N
        
      
      
        Sociedad Quimica y Minera de Chile SA
        TJ88LXZZW5PWIN93ZC81
        Sociedad Quimica y Minera de Chile SA
        833635105
        
          
        
        3482.00000000
        NS
        USD
        256971.60000000
        0.030431405248
        Long
        EC
        CORP
        CL
        N
        
        1
        
          N
          N
          N
        
      
      
        TELUS Corp
        L2TEUTQ8OSHMJWVLCE40
        TELUS Corp
        87971M103
        
          
        
        6035.00000000
        NS
        
        150986.57000000
        0.017880316341
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380WG94
        
          
        
        2280688.76000000
        PA
        USD
        331793.69000000
        0.039292078343
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shenzhou International Group Holdings Ltd
        529900B4W41TCUKJFM73
        Shenzhou International Group Holdings Ltd
        000000000
        
          
        
        7900.00000000
        NS
        
        108607.04000000
        0.012861595783
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UD23
        
          
        
        2084764.73000000
        PA
        USD
        106997.42000000
        0.012670979394
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-08-20
          Variable
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        E-MINI RUSS 2000 JUN22
        000000000
        
          
        
        -723.00000000
        NC
        USD
        3918044.44000000
        0.463987452840
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                CME E-mini Russell 2000 Index Futures
                RTYM2 INDEX
              
            
            2022-06-17
            -71204039.44000000
            USD
            3918044.44000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B6QK2
        
          
        
        3653635.17000000
        PA
        USD
        500702.57000000
        0.059294812410
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RQP4
        
          
        
        674563.93000000
        PA
        USD
        24103.05000000
        0.002854360879
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-02-20
          Variable
          1.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Singapore Exchange Derivatives Clearing Limited
        549300ZLWT3FK3F0FW61
        MSCI SING IX ETS MAY22
        000000000
        
          
        
        496.00000000
        NC
        
        195783.57000000
        0.023185321489
        N/A
        DE
        
        SG
        N
        
        1
        
          
            
              Singapore Exchange Derivatives Clearing Limited
              549300ZLWT3FK3F0FW61
            
            Long
            
              
                SGX MSCI Singapore Index Future
                QZK2 INDEX
              
            
            2022-05-30
            15293721.11000000
            SGD
            195783.57000000
          
        
        
          N
          N
          N
        
      
      
        NEXI SPA
        5493000P70CQRQG8SN85
        Nexi SpA
        000000000
        
          
        
        100000.00000000
        PA
        
        89934.51000000
        0.010650334588
        Long
        DBT
        CORP
        IT
        Y
        
        2
        
          2029-04-30
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380K3J2
        
          
        
        1370149.43000000
        PA
        USD
        316920.36000000
        0.037530730659
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        000000000
        
          
        
        200000.00000000
        PA
        USD
        172500.00000000
        0.020428006073
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2030-02-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STARWOOD PROPERTY TRUST
        BUGSFQZERKRBFWIG5267
        Starwood Property Trust Inc
        85571BAH8
        
          
        
        1682000.00000000
        PA
        USD
        1679897.50000000
        0.198938877288
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-01
          Fixed
          4.38000000
          N
          N
          N
          N
          Y
          
            
              Starwood Property Trust Inc
              Starwood Property Trust Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Infrastrutture Wireless Italiane SpA
        81560066183FE361C071
        Infrastrutture Wireless Italiane SpA
        000000000
        
          
        
        15259.00000000
        NS
        
        162573.04000000
        0.019252423469
        Long
        EC
        CORP
        IT
        Y
        
        2
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        000000000
        
          
        
        200000.00000000
        PA
        USD
        186548.80000000
        0.022091710256
        Long
        DBT
        CORP
        TR
        Y
        
        2
        
          2025-02-05
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CK Hutchison Holdings Ltd
        254900Z8HM1VEPOQ2G79
        CK Hutchison Holdings Ltd
        000000000
        
          
        
        76500.00000000
        NS
        
        535572.34000000
        0.063424202980
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B5TC9
        
          
        
        2810541.75000000
        PA
        USD
        418918.56000000
        0.049609686306
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TERRAFORM POWER OPERATIN
        5493000S2OLR3UT5BE13
        TerraForm Power Operating LLC
        88104LAG8
        
          
        
        307000.00000000
        PA
        USD
        276300.00000000
        0.032720336684
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2030-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        127576.22000000
        0.015107987228
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            2170815.47000000
            USD
            11363133.60000000
            BRL
            2022-05-03
            127576.22000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UZE3
        
          
        
        3356609.88000000
        PA
        USD
        238567.69000000
        0.028251954899
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-03-20
          Variable
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KYORIN Holdings Inc
        N/A
        KYORIN Holdings Inc
        000000000
        
          
        
        45700.00000000
        NS
        
        664772.40000000
        0.078724490576
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        B&M European Value Retail SA
        213800UK7ZRLY2K1X530
        B&M European Value Retail SA
        000000000
        
          
        
        38263.00000000
        NS
        
        234596.13000000
        0.027781629961
        Long
        EC
        CORP
        LU
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Spirit AeroSystems Holdings Inc
        N/A
        Spirit AeroSystems Holdings Inc
        848574109
        
          
        
        22612.00000000
        NS
        USD
        950608.48000000
        0.112574120594
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Aurizon Holdings Ltd
        5299005PC1O6NOWL3H48
        Aurizon Holdings Ltd
        000000000
        
          
        
        92548.00000000
        NS
        
        262412.95000000
        0.031075787456
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        Fresnillo PLC
        549300JXWH1UV5J0XV81
        Fresnillo PLC
        000000000
        
          
        
        50929.00000000
        NS
        
        500954.72000000
        0.059324672826
        Long
        EC
        CORP
        GB
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99C519KB2 SWAPTION
        000000000
        
          
        
        -7541449.00000000
        OU
        Notional Amount
        USD
        -426326.71000000
        -0.05048698331
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    7541449.00000000
                    OU
                    Notional Amount
                    N/A
                    -426326.71000000
                    -0.05000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2055-11-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7541449.00000000
                  USD
                
              
            
            1.00000000
            1.51800000
            USD
            2025-11-12
            XXXX
            546520.21000000
          
        
        
          N
          N
          N
        
      
      
        Stanley Electric Co Ltd
        N/A
        Stanley Electric Co Ltd
        000000000
        
          
        
        12900.00000000
        NS
        
        222084.02000000
        0.026299905561
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Klepierre SA
        969500PB4U31KEFHZ621
        Klepierre SA
        000000000
        
          
        
        10355.00000000
        NS
        
        245902.34000000
        0.029120547796
        Long
        EC
        
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Sberbank of Russia PJSC
        549300WE6TAF5EEWQS81
        Sberbank of Russia PJSC
        000000000
        
          
        
        129035.00000000
        NS
        
        0.00000000
        0.000000
        Long
        EC
        CORP
        RU
        N
        
        3
        
          N
          N
          N
        
      
      
        Epiroc AB
        5493004Q73OEYW1SPE91
        Epiroc AB
        000000000
        
          
        
        62403.00000000
        NS
        
        1269090.78000000
        0.150289821224
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        ASHLAND LLC
        6O4MRU8C1MS0K34UQF79
        Ashland LLC
        04433LAA0
        
          
        
        51000.00000000
        PA
        USD
        44115.00000000
        0.005224240509
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2031-09-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Healthcare Trust of America Inc
        549300L0I14L7I0VLX84
        Healthcare Trust of America Inc
        42225P501
        
          
        
        7898.00000000
        NS
        USD
        240573.08000000
        0.028489439647
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        AMS-OSRAM AG
        5299001JPPT2QFTV5D76
        ams-OSRAM AG
        000000000
        
          
        
        3400000.00000000
        PA
        USD
        3346586.00000000
        0.396313502215
        Long
        DBT
        CORP
        AT
        Y
        
        2
        
          2022-09-28
          Fixed
          0.88000000
          N
          N
          N
          N
          N
          
            
              ams AG
              ams AG
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH539K6 IRS USD R V 00MSOFR 99NH539K6_FLO CCPVANILLA / Short: B9NH539K6 IRS USD P F  2.51800 99NH539K6_FIX CCPVANILLA
        000000000
        
          
        
        5759000.00000000
        OU
        Notional Amount
        USD
        60434.95000000
        0.007156901597
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-12
            0.00000000
            USD
            0.00000000
            USD
            5759000.00000000
            USD
            60434.95000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382QX21
        
          
        
        2363331.15000000
        PA
        USD
        359262.26000000
        0.042544994951
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-05-20
          Floating
          5.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ADG37
        
          
        
        254743.42000000
        PA
        USD
        23823.12000000
        0.002821210666
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toagosei Co Ltd
        N/A
        Toagosei Co Ltd
        000000000
        
          
        
        17500.00000000
        NS
        
        143735.73000000
        0.017021648494
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FVW99
        
          
        
        3585627.87000000
        PA
        USD
        619934.26000000
        0.073414613496
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RUC8
        
          
        
        4055488.25000000
        PA
        USD
        339284.17000000
        0.040179125132
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2065-08-20
          Variable
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Westrock Co
        5493004Z9TCQW68YVL89
        Westrock Co
        96145D105
        
          
        
        71457.00000000
        NS
        USD
        3539265.21000000
        0.419131195386
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Pioneer Natural Resources Co
        FY8JBF7CCL2VE4F1B628
        Pioneer Natural Resources Co
        723787107
        
          
        
        4980.00000000
        NS
        USD
        1157700.60000000
        0.137098637029
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hexagon AB
        549300WJFW6ILNI4TA80
        Hexagon AB
        000000000
        
          
        
        11202.00000000
        NS
        
        144838.89000000
        0.017152288258
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        Baloise Holding AG
        529900G5XKBZN48T6283
        Baloise Holding AG
        000000000
        
          
        
        502.00000000
        NS
        
        87175.28000000
        0.010323577676
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Petroleo Brasileiro SA
        5493000J801JZRCMFE49
        Petroleo Brasileiro SA
        71654V408
        
          
        
        89466.00000000
        NS
        USD
        1214053.62000000
        0.143772143318
        Long
        EC
        CORP
        BR
        N
        
        1
        
          N
          N
          N
        
      
      
        Range Resources Corp
        H3Y3WLYCX0BTO1TRW162
        Range Resources Corp
        75281AAS8
        
          
        
        132000.00000000
        PA
        USD
        130680.00000000
        0.015475546861
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99P217CG7 SWAPTION
        000000000
        
          
        
        -15265200.00000000
        OU
        Notional Amount
        USD
        -2439056.86000000
        -0.28884097593
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    15265200.00000000
                    OU
                    Notional Amount
                    N/A
                    -2439056.86000000
                    -0.29000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2040-03-28
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  15265200.00000000
                  USD
                
              
            
            1.00000000
            0.90500000
            USD
            2030-03-26
            XXXX
            -1408655.86000000
          
        
        
          N
          N
          N
        
      
      
        Flughafen Zurich AG
        529900PFO97GCN5SYB55
        Flughafen Zurich AG
        000000000
        
          
        
        2109.00000000
        NS
        
        356826.32000000
        0.042256523084
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Astra International Tbk PT
        529900L49TRJOMG4DK47
        Astra International Tbk PT
        000000000
        
          
        
        449100.00000000
        NS
        
        234334.18000000
        0.027750608998
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Alibaba Group Holding Ltd
        5493001NTNQJDH60PM02
        Alibaba Group Holding Ltd
        000000000
        
          
        
        73200.00000000
        NS
        
        894635.80000000
        0.105945655394
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382GK68
        
          
        
        2381344.41000000
        PA
        USD
        284844.51000000
        0.033732205102
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gentex Corp
        549300S3UD8XV1MN0287
        Gentex Corp
        371901109
        
          
        
        2649.00000000
        NS
        USD
        77748.15000000
        0.009207186552
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AFE65
        
          
        
        236167.26000000
        PA
        USD
        8552.58000000
        0.001012824093
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Japan Lifeline Co Ltd
        353800QUW6LROZVA6765
        Japan Lifeline Co Ltd
        000000000
        
          
        
        52900.00000000
        NS
        
        440875.88000000
        0.052209942922
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B4VY1
        
          
        
        1927459.41000000
        PA
        USD
        306136.84000000
        0.036253711459
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-06-25
          Floating
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Centrais Eletricas Brasileiras SA
        254900I8KYDELP4B4Z08
        Centrais Eletricas Brasileiras SA
        000000000
        
          
        
        115881.00000000
        NS
        
        948808.72000000
        0.112360987213
        Long
        EC
        CORP
        BR
        N
        
        1
        
          N
          N
          N
        
      
      
        Shopify Inc
        549300HGQ43STJLLP808
        Shopify Inc
        82509L107
        
          
        
        2598.00000000
        NS
        USD
        1108878.36000000
        0.131316949985
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        VEOLIA ENVIRONNEMENT SA
        969500LENY69X51OOT31
        Veolia Environnement SA
        000000000
        
          
        
        100000.00000000
        PA
        
        92492.97000000
        0.010953315668
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2027-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RV94
        
          
        
        3943655.79000000
        PA
        USD
        202712.98000000
        0.024005924559
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-02-20
          Variable
          1.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED USD / SOLD DKK
        000000000
        
          
        
        1.00000000
        NC
        
        43503.52000000
        0.005151827076
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            6387660.00000000
            DKK
            951161.77000000
            USD
            2022-06-15
            43503.52000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382YKN2
        
          
        
        6077514.24000000
        PA
        USD
        347117.41000000
        0.041106762664
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2071-12-20
          Variable
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wheaton Precious Metals Corp
        549300XSFG5ZCGVYD886
        Wheaton Precious Metals Corp
        962879102
        
          
        
        18634.00000000
        NS
        USD
        835921.24000000
        0.098992487926
        Long
        EC
        CORP
        CA
        
        N
        
        1
        
          N
          N
          N
        
      
      
        PolyPeptide Group AG
        5067007JCKTPOX4G9758
        PolyPeptide Group AG
        000000000
        
          
        
        8351.00000000
        NS
        
        726771.75000000
        0.086066653465
        Long
        EC
        CORP
        CH
        
        Y
        
        2
        
          N
          N
          N
        
      
      
        ONEMAIN FINANCE CORP
        5493008I795YYBFWFU90
        OneMain Finance Corp
        682691AC4
        
          
        
        9000.00000000
        PA
        USD
        7627.50000000
        0.000903273138
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Creek Mining Corp
        549300C9IY653M7KMK88
        Bear Creek Mining Corp
        07380N104
        
          
        
        109903.00000000
        NS
        
        101805.60000000
        0.012056147333
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        NN Group NV
        724500OHYNDT9OY6Q215
        NN Group NV
        000000000
        
          
        
        3025.00000000
        NS
        
        147809.03000000
        0.017504021811
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill - WI Post Auction
        912796U72
        
          
        
        278000.00000000
        PA
        USD
        277995.33000000
        0.032921103127
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-03
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SK Hynix Inc
        988400XAIK6XISWQV045
        SK Hynix Inc
        000000000
        
          
        
        26680.00000000
        NS
        
        2324434.73000000
        0.275267053802
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FRN64
        
          
        
        3729620.13000000
        PA
        USD
        838059.82000000
        0.099245745464
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTERYX INC
        549300XWZG0JHL7I0827
        Alteryx Inc
        02156BAD5
        
          
        
        1140000.00000000
        PA
        USD
        1036260.00000000
        0.122717249700
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          0.50000000
          N
          N
          N
          N
          Y
          
            
              Alteryx Inc
              Alteryx Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Northern Trust Co.
        6PTKHDJ8HDUF78PFWH30
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        654.40000000
        0.000077496157
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Northern Trust Co.
              6PTKHDJ8HDUF78PFWH30
            
            210751.00000000
            USD
            200000.00000000
            EUR
            2022-06-15
            654.40000000
          
        
        
          N
          N
          N
        
      
      
        LEVI STRAUSS & CO
        MB0UERO0RDFKU8258G77
        Levi Strauss & Co
        52736RBJ0
        
          
        
        561000.00000000
        PA
        USD
        485265.00000000
        0.057466645606
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2031-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EssilorLuxottica SA
        549300M3VH1A3ER1TB49
        EssilorLuxottica SA
        000000000
        
          
        
        1135.00000000
        NS
        
        192549.02000000
        0.022802275651
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD HKD
        000000000
        
          
        
        1.00000000
        NC
        
        6646.04000000
        0.000787045481
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            15727320.00000000
            HKD
            2012697.64000000
            USD
            2022-06-15
            6646.04000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FE47
        
          
        
        1088233.54000000
        PA
        USD
        58119.18000000
        0.006882660649
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-07-16
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        154254.11000000
        0.018267268961
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            3200000.00000000
            GBP
            4178233.60000000
            USD
            2022-06-15
            154254.11000000
          
        
        
          N
          N
          N
        
      
      
        ON24 Inc
        N/A
        ON24 Inc
        68339B104
        
          
        
        75389.00000000
        NS
        USD
        955178.63000000
        0.113115332490
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381XK39
        
          
        
        3498403.61000000
        PA
        USD
        467587.53000000
        0.055373222623
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Masimo Corp
        549300Q4A8JK0PIYCU29
        Masimo Corp
        574795100
        
          
        
        169.00000000
        NS
        USD
        19091.93000000
        0.002260927895
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CAISSE NAT REASSURANCE
        969500P4HYOPYINEPE06
        Caisse Nationale de Reassurance Mutuelle Agricole Groupama
        000000000
        
          
        
        300000.00000000
        PA
        
        335793.83000000
        0.039765787817
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2024-05-28
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Richelieu Hardware Ltd
        5493007VPNETW465DN04
        Richelieu Hardware Ltd
        76329W103
        
          
        
        5333.00000000
        NS
        
        151398.83000000
        0.017929137499
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        36504.81000000
        0.004323017277
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            779933.44000000
            EUR
            860915.49000000
            USD
            2022-06-15
            36504.81000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NG839N9 IRS USD R F  2.29900 99NG839N9_FIX CCPVANILLA / Short: S9NG839N9 IRS USD P V 00MSOFR 99NG839N9_FLO CCPVANILLA
        000000000
        
          
        
        4856000.00000000
        OU
        Notional Amount
        USD
        -99865.58000000
        -0.01182640391
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-01
            0.00000000
            USD
            0.00000000
            USD
            4856000.00000000
            USD
            -99865.58000000
          
        
        
          N
          N
          N
        
      
      
        Promotora y Operadora de Infraestructura SAB de CV
        52990035X6RK8DBUWA73
        Promotora y Operadora de Infraestructura SAB de CV
        000000000
        
          
        
        14183.00000000
        NS
        
        103391.72000000
        0.012243980777
        Long
        EC
        CORP
        MX
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        43585.50000000
        0.005161535412
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            850320.00000000
            CHF
            919616.80000000
            USD
            2022-06-15
            43585.50000000
          
        
        
          N
          N
          N
        
      
      
        INTL CONSOLIDATED AIRLIN
        959800TZHQRUSH1ESL13
        International Consolidated Airlines Group SA
        000000000
        
          
        
        100000.00000000
        PA
        
        89476.66000000
        0.010596114515
        Long
        DBT
        CORP
        ES
        
        Y
        
        2
        
          2028-05-18
          Fixed
          1.13000000
          N
          N
          N
          N
          N
          
            
              International Consolidated Air
              International Consolidated Air
              EUR
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Deutsche Post AG
        8ER8GIG7CSMVD8VUFE78
        Deutsche Post AG
        000000000
        
          
        
        5604.00000000
        NS
        
        241910.82000000
        0.028647859131
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        Mitsubishi HC Capital Inc
        353800MZ3QX9RLMH7B09
        Mitsubishi HC Capital Inc
        000000000
        
          
        
        49200.00000000
        NS
        
        221301.70000000
        0.026207260704
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Bio-Rad Laboratories Inc
        549300ZC1GPV35XYDK53
        Bio-Rad Laboratories Inc
        090572207
        
          
        
        2698.00000000
        NS
        USD
        1381537.88000000
        0.163606169292
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ALXZ7
        
          
        
        248127.01000000
        PA
        USD
        23161.47000000
        0.002742855940
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UU99
        
          
        
        5307352.05000000
        PA
        USD
        514096.66000000
        0.060880983725
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-10-20
          Variable
          2.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Transurban Group
        549300ZR71SUQ4VUTM79
        Transurban Group
        000000000
        
          
        
        92816.00000000
        NS
        
        927806.33000000
        0.109873816486
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7867.91000000
        -0.00093174326
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            171342.08000000
            USD
            130000.00000000
            GBP
            2022-06-15
            -7867.91000000
          
        
        
          N
          N
          N
        
      
      
        GOSSAMER BIO INC
        549300ZOC0N2W6PSFR58
        Gossamer Bio Inc
        38341PAA0
        
          
        
        111000.00000000
        PA
        USD
        78532.50000000
        0.009300071808
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          5.00000000
          N
          N
          N
          N
          Y
          
            
              Gossamer Bio Inc
              Gossamer Bio Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Copart Inc
        549300KVYX3JWMYEHU61
        Copart Inc
        217204106
        
          
        
        1336.00000000
        NS
        USD
        151836.40000000
        0.017980955949
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6283311  CDS USD R F  1.00000 26283311_FEE CCPCORPORATE / Short: S6283311  CDS USD P V 03MEVENT 26283311_PRO CCPCORPORATE
        000000000
        
          
        
        324000.00000000
        OU
        Notional Amount
        USD
        577.84000000
        0.000068429675
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Kraft Heinz Foods Co
                Kraft Heinz Foods Co
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            2364.06000000
            USD
            0.00000000
            USD
            324000.00000000
            USD
            -1786.22000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6187646  CDS USD R F  5.00000 26187646_FEE CCPCORPORATE / Short: S6187646  CDS USD P V 03MEVENT 26187646_PRO CCPCORPORATE
        000000000
        
          
        
        506000.00000000
        OU
        Notional Amount
        USD
        74552.77000000
        0.008828779352
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                HCA Inc
                HCA Inc
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            83155.75000000
            USD
            0.00000000
            USD
            506000.00000000
            USD
            -8602.98000000
          
        
        
          N
          N
          N
        
      
      
        Stantec Inc
        549300MZ7NGUZDCP2T16
        Stantec Inc
        85472N109
        
          
        
        3389.00000000
        NS
        
        155567.14000000
        0.018422762206
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        MSC Industrial Direct Co Inc
        0XVKH0LN6YGOWO2EGO17
        MSC Industrial Direct Co Inc
        553530106
        
          
        
        1844.00000000
        NS
        USD
        152793.84000000
        0.018094339080
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Takeda Pharmaceutical Co Ltd
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        000000000
        
          
        
        49900.00000000
        NS
        
        1447576.66000000
        0.171426694503
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A8H52
        
          
        
        2984596.34000000
        PA
        USD
        521929.79000000
        0.061808608231
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Floating
          6.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KAMAN CORP
        5493003YK076OLTEQF95
        Kaman Corp
        483548AF0
        
          
        
        2171000.00000000
        PA
        USD
        2113685.60000000
        0.250309462454
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-01
          Fixed
          3.25000000
          N
          N
          N
          N
          Y
          
            
              Kaman Corp
              Kaman Corp
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG289T1 IRS USD R V 00MSOFR 99NG289T1_FLO CCPVANILLA / Short: B9NG289T1 IRS USD P F  1.98400 99NG289T1_FIX CCPVANILLA
        000000000
        
          
        
        17660800.00000000
        OU
        Notional Amount
        USD
        1025116.72000000
        0.121397626561
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2057-03-24
            0.00000000
            USD
            0.00000000
            USD
            17660800.00000000
            USD
            1025116.72000000
          
        
        
          N
          N
          N
        
      
      
        Koito Manufacturing Co Ltd
        N/A
        Koito Manufacturing Co Ltd
        000000000
        
          
        
        40361.00000000
        NS
        
        1482115.58000000
        0.175516904749
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JS4K2
        
          
        
        26187.78000000
        PA
        USD
        27599.11000000
        0.003268375575
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FVT28
        
          
        
        4130172.49000000
        PA
        USD
        679128.81000000
        0.080424622928
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Floating
          5.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382QAM2
        
          
        
        3815736.68000000
        PA
        USD
        516328.32000000
        0.061145264096
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-03-20
          Floating
          5.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CACI International Inc
        SYRPI2D1O9WRTS2WX210
        CACI International Inc
        127190304
        
          
        
        549.00000000
        NS
        USD
        145649.70000000
        0.017248306992
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379EZ54
        
          
        
        1977552.45000000
        PA
        USD
        335192.57000000
        0.039694584670
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-09-16
          Floating
          5.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northern Dynasty Minerals Ltd
        529900HEIYP56LE0EJ17
        Northern Dynasty Minerals Ltd
        66510M204
        
          
        
        249833.00000000
        NS
        USD
        88690.72000000
        0.010503040966
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          
        
      
      
        Humana Inc
        529900YLDW34GJAO4J06
        Humana Inc
        444859102
        
          
        
        206.00000000
        NS
        USD
        91579.36000000
        0.010845123027
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Keysight Technologies Inc
        549300GLKVIO8YRCYN02
        Keysight Technologies Inc
        49338L103
        
          
        
        1101.00000000
        NS
        USD
        154437.27000000
        0.018288959359
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kroger Co/The
        6CPEOKI6OYJ13Q6O7870
        Kroger Co/The
        501044101
        
          
        
        5619.00000000
        NS
        USD
        303201.24000000
        0.035906068244
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BJSS5
        
          
        
        3288029.65000000
        PA
        USD
        589867.59000000
        0.069854021512
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-11-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        GOVERNMENT NATIONAL MORTGAGE A GNR 2010 35 UI
        38376WM85
        
          
        
        2875729.90000000
        PA
        USD
        505168.83000000
        0.059823721317
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379YFD5
        
          
        
        945619.30000000
        PA
        USD
        113201.60000000
        0.013405698390
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atlas Copco AB
        213800T8PC8Q4FYJZR07
        Atlas Copco AB
        000000000
        
          
        
        4361.00000000
        NS
        
        197491.44000000
        0.023387572960
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        Pinterest Inc
        N/A
        Pinterest Inc
        72352L106
        
          
        
        43828.00000000
        NS
        USD
        899350.56000000
        0.106503992472
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376WP82
        
          
        
        2891711.61000000
        PA
        USD
        523174.25000000
        0.061955981195
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        XPeng Inc
        N/A
        XPeng Inc
        000000000
        
          
        
        49200.00000000
        NS
        
        612212.19000000
        0.072500141074
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Shanghai International Airport Co Ltd
        3003000CIJ7O6AOQF345
        Shanghai International Airport Co Ltd
        000000000
        
          
        
        74019.00000000
        NS
        
        548710.60000000
        0.064980078082
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Canadian Apartment Properties REIT
        549300B1MYVTQEB2DI90
        Canadian Apartment Properties REIT
        134921105
        
          
        
        4209.00000000
        NS
        
        164867.38000000
        0.019524126608
        Long
        EC
        
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABX2
        
          
        
        32000.00000000
        PA
        USD
        26184.10000000
        0.003100805529
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-11-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Twilio Inc
        5493004W8TRGD63APX93
        Twilio Inc
        90138F102
        
          
        
        9800.00000000
        NS
        USD
        1095836.00000000
        0.129772431670
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED PLN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -98523.22000000
        -0.01166743731
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            1029498.83000000
            USD
            4136398.64000000
            PLN
            2022-05-24
            -98523.22000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH699X4 IRS USD R F  2.47850 99NH699X4_FIX CCPVANILLA / Short: S9NH699X4 IRS USD P V 00MSOFR 99NH699X4_FLO CCPVANILLA
        000000000
        
          
        
        3937000.00000000
        OU
        Notional Amount
        USD
        -78593.15000000
        -0.00930725417
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-18
            0.00000000
            USD
            0.00000000
            USD
            3937000.00000000
            USD
            -78593.15000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UD64
        
          
        
        12043681.95000000
        PA
        USD
        639402.69000000
        0.075720127736
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-08-20
          Variable
          2.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4342.47000000
        -0.00051424929
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            136470.84000000
            USD
            125000.00000000
            EUR
            2022-06-15
            -4342.47000000
          
        
        
          N
          N
          N
        
      
      
        Synopsys Inc
        QG7T915N9S0NY5UKNE63
        Synopsys Inc
        871607107
        
          
        
        577.00000000
        NS
        USD
        165477.83000000
        0.019596418064
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Wihlborgs Fastigheter AB
        549300RC1YDJPITF8X06
        Wihlborgs Fastigheter AB
        000000000
        
          
        
        4371.00000000
        NS
        
        75239.41000000
        0.008910093474
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380LZZ9
        
          
        
        5744160.52000000
        PA
        USD
        228109.23000000
        0.027013430352
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2069-07-20
          Variable
          0.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99C790GY4 PUTNAM
        000000000
        
          
        
        4755000.00000000
        OU
        Notional Amount
        USD
        91866.60000000
        0.010879138914
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    4755000.00000000
                    OU
                    Notional Amount
                    N/A
                    91866.60000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-07-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4755000.00000000
                  USD
                
              
            
            1.00000000
            2.72500000
            USD
            2022-07-21
            XXXX
            -5135.40000000
          
        
        
          N
          N
          N
        
      
      
        GROUPON INC
        5299005W5W1R5POQJL03
        Groupon Inc
        399473AF4
        
          
        
        1659000.00000000
        PA
        USD
        1264319.16000000
        0.149724750601
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          1.13000000
          N
          N
          N
          N
          Y
          
            
              Groupon Inc
              Groupon Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833100
        
          
        
        29779.00000000
        NS
        USD
        4694659.35000000
        0.555956693988
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kernel Holding SA
        5493003GR6L4DZOS2U12
        Kernel Holding SA
        000000000
        
          
        
        26409.00000000
        NS
        
        153461.20000000
        0.018173370003
        Long
        EC
        CORP
        LU
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Korea Electric Power Corp
        988400QG33WS7JEIV602
        Korea Electric Power Corp
        000000000
        
          
        
        33338.00000000
        NS
        
        604041.66000000
        0.071532560573
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        MATTERHORN TELECOM SA
        549300MTB0YI26SMUT22
        Matterhorn Telecom SA
        000000000
        
          
        
        109000.00000000
        PA
        
        106376.86000000
        0.012597490678
        Long
        DBT
        CORP
        LU
        Y
        
        2
        
          2026-09-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOBEL BIDCO BV
        549300NZZFLYK83VVT71
        Nobel Bidco BV
        000000000
        
          
        
        100000.00000000
        PA
        
        87581.97000000
        0.010371739217
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2028-06-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Commerce Bancshares Inc/MO
        N/A
        Commerce Bancshares Inc/MO
        200525103
        
          
        
        3149.00000000
        NS
        USD
        215297.13000000
        0.025496180169
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Adecco Group AG
        NI14Y5UMU60O7JE9P611
        Adecco Group AG
        000000000
        
          
        
        1490.00000000
        NS
        
        57658.92000000
        0.006828155176
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Taiwan Semiconductor Manufacturing Co Ltd
        549300KB6NK5SBD14S87
        Taiwan Semiconductor Manufacturing Co Ltd
        000000000
        
          
        
        295000.00000000
        NS
        
        5380799.64000000
        0.637211638980
        Long
        EC
        CORP
        TW
        N
        
        2
        
          N
          N
          N
        
      
      
        Apartment Income REIT Corp
        N/A
        Apartment Income REIT Corp
        03750L109
        
          
        
        7045.00000000
        NS
        USD
        346402.65000000
        0.041022118480
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Auckland International Airport Ltd
        549300HFZIZDJWB7AK60
        Auckland International Airport Ltd
        000000000
        
          
        
        35979.00000000
        NS
        
        180915.54000000
        0.021424601448
        Long
        EC
        CORP
        NZ
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382TBX1
        
          
        
        6479562.57000000
        PA
        USD
        936485.35000000
        0.110901614012
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-05-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hyundai Motor Co
        9884004RQX8PRBXQ8S60
        Hyundai Motor Co
        000000000
        
          
        
        8798.00000000
        NS
        
        658342.97000000
        0.077963096749
        Long
        EP
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NG839L3 IRS USD R F  2.28800 99NG839L3_FIX CCPVANILLA / Short: S9NG839L3 IRS USD P V 00MSOFR 99NG839L3_FLO CCPVANILLA
        000000000
        
          
        
        24540000.00000000
        OU
        Notional Amount
        USD
        -516910.56000000
        -0.06121421483
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-31
            0.00000000
            USD
            0.00000000
            USD
            24540000.00000000
            USD
            -516910.56000000
          
        
        
          N
          N
          N
        
      
      
        UltraTech Cement Ltd
        335800PC9O9B4BQHG814
        UltraTech Cement Ltd
        000000000
        
          
        
        4142.00000000
        NS
        
        356386.08000000
        0.042204388444
        Long
        EC
        CORP
        IN
        N
        
        2
        
          N
          N
          N
        
      
      
        Regeneron Pharmaceuticals Inc
        549300RCBFWIRX3HYQ56
        Regeneron Pharmaceuticals Inc
        75886F107
        
          
        
        275.00000000
        NS
        USD
        181255.25000000
        0.021464831001
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ORSTED A/S
        W9NG6WMZIYEU8VEDOG48
        Orsted AS
        000000000
        
          
        
        100000.00000000
        PA
        
        96071.79000000
        0.011377131069
        Long
        DBT
        CORP
        DK
        Y
        
        2
        
          3019-12-09
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6283778  CDS USD R F  1.00000 26283778_FEE CCPCORPORATE / Short: S6283778  CDS USD P V 03MEVENT 26283778_PRO CCPCORPORATE
        000000000
        
          
        
        625000.00000000
        OU
        Notional Amount
        USD
        -19147.78000000
        -0.00226754183
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Occidental Petroleum Corporation
                Occidental Petroleum Corporation
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -7229.85000000
            USD
            625000.00000000
            USD
            -11917.93000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6263728  CDS EUR R F  1.00000 26263728_FEE CCPCORPORATE / Short: S6263728  CDS EUR P V 03MEVENT 26263728_PRO CCPCORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        
        -4837.22000000
        -0.00057283918
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                RENAULT SA
                RENAULT SA
                
                  
                
              
            
            Y
            
            sell protection
            2025-06-20
            0.00000000
            EUR
            -3582.26000000
            EUR
            100000.00000000
            EUR
            -883.98000000
          
        
        
          N
          N
          N
        
      
      
        Cboe Global Markets Inc
        529900RLNSGA90UPEH54
        Cboe Global Markets Inc
        12503M108
        
          
        
        1272.00000000
        NS
        USD
        143710.56000000
        0.017018667782
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hongkong Land Holdings Ltd
        213800XCHYNRPAYGXW28
        Hongkong Land Holdings Ltd
        000000000
        
          
        
        164439.00000000
        NS
        USD
        765520.28000000
        0.090655379298
        Long
        EC
        CORP
        BM
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Credicorp Ltd
        529900UYAEYQCQ2BKB17
        Credicorp Ltd
        000000000
        
          
        
        3062.00000000
        NS
        USD
        425281.18000000
        0.050363168277
        Long
        EC
        CORP
        BM
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617LELG7
        
          
        
        73065.47000000
        PA
        USD
        71898.34000000
        0.008514433195
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NA469W9 IRS USD R F  1.45000 S9NA469W9 1.45 / Short: S9NA469W9 IRS USD P V 00MSOFR0 SOFRRATE
        000000000
        
          
        
        2274000.00000000
        OU
        Notional Amount
        USD
        -482340.73000000
        -0.05712034412
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2051-12-29
            1815.39000000
            USD
            0.00000000
            USD
            2274000.00000000
            USD
            -484156.12000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FTLA3
        
          
        
        5284982.70000000
        PA
        USD
        1054659.52000000
        0.124896180171
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOVELIS CORP
        549300G5F3W3B52WYL23
        Novelis Corp
        670001AH9
        
          
        
        40000.00000000
        PA
        USD
        34300.00000000
        0.004061916569
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2031-08-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JXZG6
        
          
        
        19816.69000000
        PA
        USD
        20631.19000000
        0.002443212026
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BRPB5
        
          
        
        1206280.89000000
        PA
        USD
        214149.36000000
        0.025360257545
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380QA36
        
          
        
        14752007.05000000
        PA
        USD
        353599.27000000
        0.041874365420
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2071-02-20
          Variable
          0.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        99C498FY5 PUTNAM
        000000000
        
          
        
        15995100.00000000
        OU
        Notional Amount
        USD
        75297.73000000
        0.008916999917
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    15995100.00000000
                    OU
                    Notional Amount
                    N/A
                    75297.73000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-06-29
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  15995100.00000000
                  USD
                
              
            
            1.00000000
            2.31000000
            USD
            2022-06-29
            XXXX
            -267797.17000000
          
        
        
          N
          N
          N
        
      
      
        UNIPOLSAI ASSICURAZIONI
        815600E31C4E7006AB54
        UnipolSai Assicurazioni SpA
        000000000
        
          
        
        200000.00000000
        PA
        
        201231.76000000
        0.023830513712
        Long
        DBT
        CORP
        IT
        Y
        
        2
        
          2030-04-27
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUKOIL PJSC
        549300LCJ1UJXHYBWI24
        LUKOIL PJSC
        69343P105
        
          
        
        8302.00000000
        NS
        USD
        0.00000000
        0.000000
        Long
        EC
        CORP
        RU
        N
        
        3
        
          N
          N
          N
        
      
      
        MANDIANT INC
        549300E9D2UJUFLLY524
        Mandiant Inc
        31816QAD3
        
          
        
        3902000.00000000
        PA
        USD
        3882567.77000000
        0.459786191216
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-06-01
          Fixed
          1.63000000
          N
          N
          N
          N
          Y
          
            
              Mandiant Inc
              Mandiant Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        ABN AMRO Bank NV
        BFXS5XCH7N0Y05NIXW11
        ABN AMRO Bank NV
        000000000
        
          
        
        400000.00000000
        PA
        
        401007.69000000
        0.047488623343
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2027-09-22
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avangrid Inc
        549300OX0Q38NLSKPB49
        Avangrid Inc
        05351W103
        
          
        
        3155.00000000
        NS
        USD
        139924.25000000
        0.016570280746
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UniCredit SpA
        000000000
        
          
        
        200000.00000000
        PA
        
        169784.54000000
        0.020106432546
        Long
        DBT
        CORP
        IT
        Y
        
        2
        
          2027-06-03
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Automatic Data Processing Inc
        HGBOLILQXWER4SAL2I23
        Automatic Data Processing Inc
        053015103
        
          
        
        1678.00000000
        NS
        USD
        366106.04000000
        0.043355457440
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Southwestern Energy Co
        EFWMP121W54QV9MGOP87
        Southwestern Energy Co
        845467109
        
          
        
        118434.00000000
        NS
        USD
        888255.00000000
        0.105190020489
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FFX44
        
          
        
        5481922.23000000
        PA
        USD
        837892.08000000
        0.099225881152
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-03-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vonovia SE
        5299005A2ZEP6AP7KM81
        Vonovia SE
        000000000
        
          
        
        18855.00000000
        NS
        
        753944.44000000
        0.089284531009
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        Altus Group Ltd/Canada
        54930041VO1EIY4IV355
        Altus Group Ltd/Canada
        02215R107
        
          
        
        5283.00000000
        NS
        
        197847.76000000
        0.023429769523
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375UU57
        
          
        
        5064960.40000000
        PA
        USD
        485993.08000000
        0.057552867186
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-11-20
          Variable
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Russell Investments Trust Company Commingled Employee Benefit Funds Trust-U.S. Cash Management Fund
        845SLB3N6EI7ZN7PZ398
        U.S. Cash Management Fund
        000000000
        
          
        
        120900648.10000000
        NS
        USD
        120864377.90000000
        14.31314925080
        Long
        STIV
        PF
        US
        N
        
        N/A
        
          N
          N
          N
        
      
      
        Avista Corp
        Q0IK63NITJD6RJ47SW96
        Avista Corp
        05379B107
        
          
        
        1227.00000000
        NS
        USD
        49779.39000000
        0.005895035833
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YXY6
        
          
        
        1327572.93000000
        PA
        USD
        112066.80000000
        0.013271311715
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        10482.43000000
        0.001241363151
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            8244486.00000000
            SEK
            851075.78000000
            USD
            2022-06-15
            10482.43000000
          
        
        
          N
          N
          N
        
      
      
        Manulife Financial Corp
        5493007GBX87QOZACS27
        Manulife Financial Corp
        56501R106
        
          
        
        12445.00000000
        NS
        
        243349.08000000
        0.028818182516
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH849F2 IRS USD R V 00MSOFR 99NH849F2_FLO CCPVANILLA / Short: B9NH849F2 IRS USD P F  2.41150 99NH849F2_FIX CCPVANILLA
        000000000
        
          
        
        19003000.00000000
        OU
        Notional Amount
        USD
        298093.03000000
        0.035301137548
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-18
            0.00000000
            USD
            0.00000000
            USD
            19003000.00000000
            USD
            298093.03000000
          
        
        
          N
          N
          N
        
      
      
        Sands China Ltd
        549300EVO6UZDGY05787
        Sands China Ltd
        000000000
        
          
        
        70000.00000000
        NS
        
        153681.69000000
        0.018199481139
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        SFL CORP LTD
        549300RLYYPSB0C7RH77
        SFL Corp Ltd
        824689AG8
        
          
        
        2104000.00000000
        PA
        USD
        2123725.00000000
        0.251498360565
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2023-05-01
          Fixed
          4.88000000
          N
          N
          N
          N
          N
          
            
              SFL Corp Ltd
              SFL Corp Ltd
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Digital Realty Trust Inc
        549300HKCZ31D08NEI41
        Digital Realty Trust Inc
        253868103
        
          
        
        7302.00000000
        NS
        USD
        1066968.24000000
        0.126353818472
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Moscow Exchange MICEX-RTS PJSC
        253400M5M1222KPNWE87
        Moscow Exchange MICEX-RTS PJSC
        000000000
        
          
        
        182429.00000000
        NS
        
        0.00000000
        0.000000
        Long
        EC
        CORP
        RU
        N
        
        3
        
          N
          N
          N
        
      
      
        ICICI Bank Ltd
        R7RX8ER1V4666J8D1I38
        ICICI Bank Ltd
        45104G104
        
          
        
        114638.00000000
        NS
        USD
        2182707.52000000
        0.258483260721
        Long
        EC
        CORP
        IN
        N
        
        1
        
          N
          N
          N
        
      
      
        China Merchants Bank Co Ltd
        549300MKO5B60FFIHF58
        China Merchants Bank Co Ltd
        000000000
        
          
        
        37000.00000000
        NS
        
        222723.25000000
        0.026375605238
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Univar Solutions Inc
        549300VSXHFQVR770L55
        Univar Solutions Inc
        91336L107
        
          
        
        152669.00000000
        NS
        USD
        4445721.28000000
        0.526476645259
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Aluminum Corp of China Ltd
        529900TKZUWQLIQN6T48
        Aluminum Corp of China Ltd
        000000000
        
          
        
        1528000.00000000
        NS
        
        708331.50000000
        0.083882899616
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Turquoise Hill Resources Ltd
        549300R80B2163QFEC16
        Turquoise Hill Resources Ltd
        900435207
        
          
        
        54007.00000000
        NS
        USD
        1471150.68000000
        0.174218405944
        Long
        EC
        CORP
        CA
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Invincible Investment Corp
        353800JY6M2692VAV685
        Invincible Investment Corp
        000000000
        
          
        
        369.00000000
        NS
        
        120606.12000000
        0.014282565517
        Long
        EC
        
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1020.19000000
        0.000120814188
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            860535.42000000
            USD
            3422434545.00000000
            COP
            2022-05-24
            1020.19000000
          
        
        
          N
          N
          N
        
      
      
        IAMGOLD Corp
        254900E7II30XAB9LA72
        IAMGOLD Corp
        450913108
        
          
        
        87666.00000000
        NS
        USD
        247218.12000000
        0.029276366705
        Long
        EC
        CORP
        CA
        
        N
        
        1
        
          N
          N
          
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FW5T3
        
          
        
        4928025.18000000
        PA
        USD
        852461.62000000
        0.100951253046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEMAIN FINANCE CORP
        5493008I795YYBFWFU90
        OneMain Finance Corp
        682691AB6
        
          
        
        71000.00000000
        PA
        USD
        62374.92000000
        0.007386639098
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FR6Y2
        
          
        
        3809481.51000000
        PA
        USD
        822581.34000000
        0.097412733966
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HELIX ENERGY SOLUTIONS
        416AP2JOUTCWEGSOZW41
        Helix Energy Solutions Group Inc
        42330PAJ6
        
          
        
        359000.00000000
        PA
        USD
        346435.00000000
        0.041025949472
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          4.13000000
          N
          N
          N
          N
          Y
          
            
              Helix Energy Solutions Group Inc
              Helix Energy Solutions Group Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Genus PLC
        54930022EOITNKSIGH56
        Genus PLC
        000000000
        
          
        
        5554.00000000
        NS
        
        174142.29000000
        0.020622491349
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        K's Holdings Corp
        3538003LJ09YLR6NHG27
        K's Holdings Corp
        000000000
        
          
        
        27000.00000000
        NS
        
        267929.46000000
        0.031729070353
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RV78
        
          
        
        4002160.53000000
        PA
        USD
        248869.95000000
        0.029471981739
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-02-20
          Variable
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379V6K5
        
          
        
        158084.82000000
        PA
        USD
        28597.75000000
        0.003386637743
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-02-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prudential PLC
        5493001Z3ZE83NGK8Y12
        Prudential PLC
        000000000
        
          
        
        30377.00000000
        NS
        
        377599.98000000
        0.044716606867
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        T-Mobile US Inc
        549300QHIJYOHPACPG31
        T-Mobile US Inc
        872590104
        
          
        
        2235.00000000
        NS
        USD
        275217.90000000
        0.032592190913
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Novartis AG
        5493007HIVTX6SY6XD66
        Novartis AG
        000000000
        
          
        
        4937.00000000
        NS
        
        436763.67000000
        0.051722961758
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Segro PLC
        213800XC35KGM9NFC641
        Segro PLC
        000000000
        
          
        
        35245.00000000
        NS
        
        589817.14000000
        0.069848047060
        Long
        EC
        
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6264797  CDS USD R F  5.00000 26264797_FEE CCPCORPORATE / Short: S6264797  CDS USD P V 03MEVENT 26264797_PRO CCPCORPORATE
        000000000
        
          
        
        150000.00000000
        OU
        Notional Amount
        USD
        -1210.80000000
        -0.00014338683
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Navient Corp
                Navient Corp
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            1655.79000000
            USD
            0.00000000
            USD
            150000.00000000
            USD
            -2866.59000000
          
        
        
          N
          N
          N
        
      
      
        Lenta International Co PJSC
        213800OMCE8QATH73N15
        Lenta International Co PJSC
        52634T200
        
          
        
        105913.00000000
        NS
        USD
        0.00000000
        0.000000
        Long
        EC
        CORP
        RU
        Y
        
        3
        
          N
          N
          N
        
      
      
        Koninklijke DSM NV
        724500SNT1MK246AHP04
        Koninklijke DSM NV
        000000000
        
          
        
        6097.00000000
        NS
        
        1021186.57000000
        0.120932205528
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        Sumitomo Electric Industries Ltd
        5493005SP87FL5TOS202
        Sumitomo Electric Industries Ltd
        000000000
        
          
        
        119500.00000000
        NS
        
        1282972.25000000
        0.151933709650
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6106532  CDS USD R F  5.00000 26106532_FEE CCPCORPORATE / Short: S6106532  CDS USD P V 03MEVENT 26106532_PRO CCPCORPORATE
        000000000
        
          
        
        200000.00000000
        OU
        Notional Amount
        USD
        18123.13000000
        0.002146199476
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                FORD MOTOR COMPANY
                FORD MOTOR COMPANY
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            22929.26000000
            USD
            0.00000000
            USD
            200000.00000000
            USD
            -4806.13000000
          
        
        
          N
          N
          N
        
      
      
        Travelers Companies Inc/The
        549300Y650407RU8B149
        Travelers Cos Inc/The
        89417E109
        
          
        
        955.00000000
        NS
        USD
        163362.30000000
        0.019345890182
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        AIA Group Ltd
        ZP5ILWVSYE4LJGMMVD57
        AIA Group Ltd
        000000000
        
          
        
        149400.00000000
        NS
        
        1459625.47000000
        0.172853553423
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        Saputo Inc
        549300HH4U1DPY0TBT90
        Saputo Inc
        802912105
        
          
        
        4007.00000000
        NS
        
        85651.52000000
        0.010143129105
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        45255.42000000
        0.005359292722
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            850320.00000000
            CHF
            921286.72000000
            USD
            2022-06-15
            45255.42000000
          
        
        
          N
          N
          N
        
      
      
        Encompass Health Corp
        549300FVRPM9DRQZRG64
        Encompass Health Corp
        29261A100
        
          
        
        1342.00000000
        NS
        USD
        92369.86000000
        0.010938736585
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Jiangsu Expressway Co Ltd
        529900UWWTWZ6AKLYD43
        Jiangsu Expressway Co Ltd
        000000000
        
          
        
        194000.00000000
        NS
        
        191498.52000000
        0.022677872055
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Spirent Communications PLC
        213800HKCUNWP1916L38
        Spirent Communications PLC
        000000000
        
          
        
        25096.00000000
        NS
        
        72784.67000000
        0.008619395250
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Extra Space Storage Inc
        N/A
        Extra Space Storage Inc
        30225T102
        
          
        
        5686.00000000
        NS
        USD
        1080340.00000000
        0.127937345397
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        100569.46000000
        0.011909759650
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2025-01-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        China Datang Corp Renewable Power Co Ltd
        52990099S0ALQQ25XM62
        China Datang Corp Renewable Power Co Ltd
        000000000
        
          
        
        1806000.00000000
        NS
        
        687073.56000000
        0.081365465833
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Computacenter PLC
        549300XSXUZ1I19DB105
        Computacenter PLC
        000000000
        
          
        
        4485.00000000
        NS
        
        149791.93000000
        0.017738843221
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        CK Asset Holdings Ltd
        5299006GJZSGP78B8S35
        CK Asset Holdings Ltd
        000000000
        
          
        
        54500.00000000
        NS
        
        368956.83000000
        0.043693057182
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38375BHE5
        
          
        
        833838.97000000
        PA
        USD
        40800.16000000
        0.004831686471
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2060-10-20
          Variable
          2.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hon Hai Precision Industry Co Ltd
        30030004CM3GSZXX7O56
        Hon Hai Precision Industry Co Ltd
        000000000
        
          
        
        348000.00000000
        NS
        
        1190613.79000000
        0.140996323088
        Long
        EC
        CORP
        TW
        N
        
        2
        
          N
          N
          N
        
      
      
        Astec Industries Inc
        5493002DO2QKHLKB2A48
        Astec Industries Inc
        046224101
        
          
        
        12242.00000000
        NS
        USD
        478662.20000000
        0.056684720745
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B0WV4
        
          
        
        2375519.15000000
        PA
        USD
        445472.55000000
        0.052754295401
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796R35
        
          
        
        2244000.00000000
        PA
        USD
        2243120.16000000
        0.265637520296
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-09
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Korean Reinsurance Co
        988400GFST66YNV5UF89
        Korean Reinsurance Co
        000000000
        
          
        
        19418.00000000
        NS
        
        148784.60000000
        0.017619551955
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Tencent Holdings Ltd
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        000000000
        
          
        
        52500.00000000
        NS
        
        2462532.47000000
        0.291621033347
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        NIO Inc
        549300JBU4TV5OCKJV96
        NIO Inc
        62914V106
        
          
        
        35643.00000000
        NS
        USD
        595238.10000000
        0.070490014618
        Long
        EC
        CORP
        KY
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Spectris PLC
        213800Z4CO2CZO3M3T10
        Spectris PLC
        000000000
        
          
        
        2215.00000000
        NS
        
        80879.07000000
        0.009577960192
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Rexford Industrial Realty Inc
        549300MSLO0DF0EMX355
        Rexford Industrial Realty Inc
        76169C100
        
          
        
        3126.00000000
        NS
        USD
        243953.04000000
        0.028889705406
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BALL CORP
        0BGI85ALH27ZJP15DY16
        Ball Corp
        058498AW6
        
          
        
        39000.00000000
        PA
        USD
        32795.10000000
        0.003883701460
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Yellow Cake PLC
        213800CVMYUGOA9EZY95
        Yellow Cake PLC
        000000000
        
          
        
        81402.00000000
        NS
        
        401620.49000000
        0.047561193094
        Long
        EC
        CORP
        JE
        
        Y
        
        2
        
          N
          N
          N
        
      
      
        Barnes & Noble Education Inc
        549300JQGDS5THBPED41
        Barnes & Noble Education Inc
        06777U101
        
          
        
        87447.00000000
        NS
        USD
        265838.88000000
        0.031481497131
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Shenzhen Mindray Bio-Medical Electronics Co Ltd
        N/A
        Shenzhen Mindray Bio-Medical Electronics Co Ltd
        000000000
        
          
        
        17849.00000000
        NS
        
        840118.31000000
        0.099489518485
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Puma SE
        529900GRZ2BQY5ZM9N49
        Puma SE
        000000000
        
          
        
        918.00000000
        NS
        
        68496.53000000
        0.008111579888
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        HEIMSTADEN BOSTAD AB
        549300TJR3PR8EXILG79
        Heimstaden Bostad AB
        000000000
        
          
        
        100000.00000000
        PA
        
        85714.71000000
        0.010150612269
        Long
        DBT
        CORP
        SE
        Y
        
        2
        
          2027-02-01
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fastighets AB Balder
        549300GHKJCEZOAEUU82
        Fastighets AB Balder
        000000000
        
          
        
        3705.00000000
        NS
        
        183699.23000000
        0.021754254991
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        Muyuan Foods Co Ltd
        3003006NCTDQW4KZR676
        Muyuan Foods Co Ltd
        000000000
        
          
        
        40774.00000000
        NS
        
        319791.13000000
        0.037870696497
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        EZCORP INC
        5493003K6PG3ZQ7TUQ63
        EZCORP Inc
        302301AE6
        
          
        
        1654000.00000000
        PA
        USD
        1495216.00000000
        0.177068298716
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          2.38000000
          N
          N
          N
          N
          Y
          
            
              EZCORP Inc
              EZCORP Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        512.42000000
        0.000060682428
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            160927.83000000
            USD
            152781.08000000
            EUR
            2022-06-09
            512.42000000
          
        
        
          N
          N
          N
        
      
      
        North West Co Inc/The
        254900VT1HQAZR3IVM76
        North West Co Inc/The
        663278208
        
          
        
        8466.00000000
        NS
        
        236124.06000000
        0.027962572357
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6188044  CDS USD R F  1.00000 26188044_FEE CCPCORPORATE / Short: S6188044  CDS USD P V 03MEVENT 26188044_PRO CCPCORPORATE
        000000000
        
          
        
        500000.00000000
        OU
        Notional Amount
        USD
        -10281.99000000
        -0.00121762640
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Dell Inc
                Dell Inc
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -5655.46000000
            USD
            500000.00000000
            USD
            -4626.53000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6477169  CDS USD R F  5.00000 26477169_FEE CCPCORPORATE / Short: S6477169  CDS USD P V 03MEVENT 26477169_PRO CCPCORPORATE
        000000000
        
          
        
        83000.00000000
        OU
        Notional Amount
        USD
        1602.06000000
        0.000189721109
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GOODYEAR TIRE & RUBBER
                GOODYEAR TIRE & RUBBER
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            3682.52000000
            USD
            0.00000000
            USD
            83000.00000000
            USD
            -2080.46000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137H0SA7
        
          
        
        5847453.27000000
        PA
        USD
        651425.01000000
        0.077143849625
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sabina Gold & Silver Corp
        529900MU3GT5P0ZH7V65
        Sabina Gold & Silver Corp
        785246109
        
          
        
        149900.00000000
        NS
        
        154024.83000000
        0.018240116884
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Emlak Konut Gayrimenkul Yatirim Ortakligi AS
        789000IA5R88NAGSC462
        Emlak Konut Gayrimenkul Yatirim Ortakligi AS
        000000000
        
          
        
        283119.00000000
        NS
        
        50287.82000000
        0.005955245752
        Long
        EC
        
        TR
        N
        
        2
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Cash Management Bill
        912796W21
        
          
        
        558000.00000000
        PA
        USD
        557561.46000000
        0.066028225455
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99C965FG2 SWAPTION
        000000000
        
          
        
        7935700.00000000
        OU
        Notional Amount
        USD
        536997.31000000
        0.063592952521
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Call
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    7935700.00000000
                    OU
                    Notional Amount
                    N/A
                    536997.31000000
                    0.06000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2050-06-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7935700.00000000
                  USD
                
              
            
            1.00000000
            1.32500000
            USD
            2030-06-04
            XXXX
            -522021.86000000
          
        
        
          N
          N
          N
        
      
      
        T Rowe Price Group Inc
        549300SIV6FPS9Y7IH33
        T Rowe Price Group Inc
        74144T108
        
          
        
        1326.00000000
        NS
        USD
        163151.04000000
        0.019320872092
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SAMHALLSBYGGNADSBOLAGET
        549300HX9MRFY47AH564
        Samhallsbyggnadsbolaget i Norden AB
        000000000
        
          
        
        100000.00000000
        PA
        
        87033.40000000
        0.010306775789
        Long
        DBT
        CORP
        SE
        Y
        
        2
        
          2025-12-14
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD HKD
        000000000
        
          
        
        1.00000000
        NC
        
        6496.66000000
        0.000769355419
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            15727320.00000000
            HKD
            2012548.26000000
            USD
            2022-06-15
            6496.66000000
          
        
        
          N
          N
          N
        
      
      
        Volvo Car AB
        5299000EAMGGBEYP7J33
        Volvo Car AB
        000000000
        
          
        
        200000.00000000
        PA
        
        205482.79000000
        0.024333934388
        Long
        DBT
        CORP
        SE
        Y
        
        2
        
          2025-01-24
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Valmont Industries Inc
        5493009ZGZJJ8F77JN08
        Valmont Industries Inc
        920253101
        
          
        
        801.00000000
        NS
        USD
        199296.81000000
        0.023601370695
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fanniemae Strip
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        3136FGJ81
        
          
        
        176208.65000000
        PA
        USD
        37333.43000000
        0.004421145129
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-05-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B0QF6
        
          
        
        1343744.17000000
        PA
        USD
        164881.58000000
        0.019525808217
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-25
          Floating
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378GHD3
        
          
        
        502737.03000000
        PA
        USD
        85631.40000000
        0.010140746430
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-11-16
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merck & Co Inc
        4YV9Y5M8S0BRK1RP0397
        Merck & Co Inc
        58933Y105
        
          
        
        17375.00000000
        NS
        USD
        1540988.75000000
        0.182488855325
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Equinix Inc
        549300EVUN2BTLJ3GT74
        Equinix Inc
        29444U700
        
          
        
        588.00000000
        NS
        USD
        422819.04000000
        0.050071593721
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of Hawaii Corp
        5493006Q8BQ8AD8M2U33
        Bank of Hawaii Corp
        062540109
        
          
        
        1869.00000000
        NS
        USD
        138941.46000000
        0.016453895586
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        NUVASIVE INC
        549300C5ZB4NZ6TWM881
        NuVasive Inc
        670704AL9
        
          
        
        922000.00000000
        PA
        USD
        905865.00000000
        0.107275453457
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-01
          Fixed
          1.00000000
          N
          N
          N
          N
          Y
          
            
              NuVasive Inc
              NuVasive Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Healthpeak Properties Inc
        PZ9HF5U52KPF0MH0QN75
        Healthpeak Properties Inc
        42250P103
        
          
        
        19387.00000000
        NS
        USD
        636087.47000000
        0.075327528696
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Ambev SA
        549300TH5Q6VRP8OT012
        Ambev SA
        000000000
        
          
        
        62800.00000000
        NS
        
        184438.76000000
        0.021841832518
        Long
        EC
        CORP
        BR
        N
        
        1
        
          N
          N
          N
        
      
      
        Coloplast A/S
        529900NN7SOJ5QG82X67
        Coloplast A/S
        000000000
        
          
        
        1250.00000000
        NS
        
        168767.69000000
        0.019986013891
        Long
        EC
        CORP
        DK
        N
        
        2
        
          N
          N
          N
        
      
      
        Cemex SAB de CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        151290889
        
          
        
        91052.00000000
        NS
        USD
        400628.80000000
        0.047443753967
        Long
        EC
        CORP
        MX
        N
        
        1
        
          N
          N
          N
        
      
      
        West Pharmaceutical Services Inc
        5493007NKRGM1RJQ1P16
        West Pharmaceutical Services Inc
        955306105
        
          
        
        442.00000000
        NS
        USD
        139256.52000000
        0.016491206007
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48128BAD3
        
          
        
        50000.00000000
        PA
        USD
        47875.00000000
        0.005669511830
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morningstar Inc
        529900YGNQPOVAXQ7F29
        Morningstar Inc
        617700109
        
          
        
        577.00000000
        NS
        USD
        146113.71000000
        0.017303256552
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Standard Bank Group Ltd
        2549003PEZXUT7MDBU41
        Standard Bank Group Ltd
        000000000
        
          
        
        19465.00000000
        NS
        
        206434.91000000
        0.024446687508
        Long
        EC
        CORP
        ZA
        N
        
        2
        
          N
          N
          N
        
      
      
        NAVER Corp
        988400ULUQYDB2HQYJ61
        NAVER Corp
        000000000
        
          
        
        825.00000000
        NS
        
        186617.04000000
        0.022099791457
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Davide Campari-Milano NV
        213800ED5AN2J56N6Z02
        Davide Campari-Milano NV
        000000000
        
          
        
        87447.00000000
        NS
        
        984137.24000000
        0.116544704437
        Long
        EC
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NG839I0 IRS USD R V 00MSOFR 99NG839I0_FLO CCPVANILLA / Short: B9NG839I0 IRS USD P F  2.30700 99NG839I0_FIX CCPVANILLA
        000000000
        
          
        
        31620000.00000000
        OU
        Notional Amount
        USD
        239742.84000000
        0.028391119950
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-31
            0.00000000
            USD
            0.00000000
            USD
            31620000.00000000
            USD
            239742.84000000
          
        
        
          N
          N
          N
        
      
      
        Poshmark Inc
        N/A
        Poshmark Inc
        73739W104
        
          
        
        78414.00000000
        NS
        USD
        865690.56000000
        0.102517866765
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        TRANSOCEAN INC
        DOL4HJ22ADYSIWES4H94
        Transocean Inc
        893830BJ7
        
          
        
        1345000.00000000
        PA
        USD
        1255396.07000000
        0.148668049519
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-01-30
          Fixed
          0.50000000
          N
          N
          N
          N
          N
          
            
              Transocean Ltd
              Transocean Ltd
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99C216CG3 SWAPTION
        000000000
        
          
        
        -15265200.00000000
        OU
        Notional Amount
        USD
        -279725.48000000
        -0.03312599306
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    15265200.00000000
                    OU
                    Notional Amount
                    N/A
                    -279725.48000000
                    -0.03000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2040-03-28
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  15265200.00000000
                  USD
                
              
            
            1.00000000
            0.90500000
            USD
            2030-03-26
            XXXX
            750675.52000000
          
        
        
          N
          N
          N
        
      
      
        NOVELIS CORP
        549300G5F3W3B52WYL23
        Novelis Corp
        670001AE6
        
          
        
        241000.00000000
        PA
        USD
        221654.93000000
        0.026249091340
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2030-01-30
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AX2B0
        
          
        
        1036045.06000000
        PA
        USD
        193586.16000000
        0.022925097113
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPOTIFY USA INC
        N/A
        Spotify USA Inc
        84921RAB6
        
          
        
        528000.00000000
        PA
        USD
        429924.22000000
        0.050913012041
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          None
          0.00000000
          N
          N
          N
          N
          Y
          
            
              Spotify Technology SA
              Spotify Technology SA
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Henry Schein Inc
        VGO3WGL8H45T73F4RR92
        Henry Schein Inc
        806407102
        
          
        
        1998.00000000
        NS
        USD
        162037.80000000
        0.019189038623
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625H100
        
          
        
        2394.00000000
        NS
        USD
        285747.84000000
        0.033839180353
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99C038FG8 SWAPTION
        000000000
        
          
        
        10848100.00000000
        OU
        Notional Amount
        USD
        422425.34000000
        0.050024970498
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Call
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    10848100.00000000
                    OU
                    Notional Amount
                    N/A
                    422425.34000000
                    0.05000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2040-06-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10848100.00000000
                  USD
                
              
            
            1.00000000
            1.32750000
            USD
            2030-06-10
            XXXX
            -383859.69000000
          
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135106
        
          
        
        1181.00000000
        NS
        USD
        2935529.03000000
        0.347634810739
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Schneider Electric SE
        969500A1YF1XUYYXS284
        Schneider Electric SE
        000000000
        
          
        
        1814.00000000
        NS
        
        258357.26000000
        0.030595499572
        Long
        EC
        CORP
        FR
        
        N
        
        2
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99P185AG8 SWAPTION
        000000000
        
          
        
        4513100.00000000
        OU
        Notional Amount
        USD
        777151.08000000
        0.092032736127
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    4513100.00000000
                    OU
                    Notional Amount
                    N/A
                    777151.08000000
                    0.09000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2050-01-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4513100.00000000
                  USD
                
              
            
            1.00000000
            2.02750000
            USD
            2030-01-22
            XXXX
            253857.13000000
          
        
        
          N
          N
          N
        
      
      
        ARDAGH METAL PACKAGING
        N/A
        Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        85991.10000000
        0.010183343263
        Long
        DBT
        CORP
        XX
        
        Y
        
        2
        
          2029-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENEFITFOCUS INC
        254900W89KP1OS3RXO89
        Benefitfocus Inc
        08180DAB2
        
          
        
        268000.00000000
        PA
        USD
        252456.00000000
        0.029896653340
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-15
          Fixed
          1.25000000
          N
          N
          N
          N
          Y
          
            
              Benefitfocus Inc
              Benefitfocus Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        CGN Power Co Ltd
        529900D2UINCGWQYBK45
        CGN Power Co Ltd
        000000000
        
          
        
        1068000.00000000
        NS
        
        299793.33000000
        0.035502492556
        Long
        EC
        CORP
        CN
        Y
        
        2
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        TOPIX INDX FUTR JUN22
        000000000
        
          
        
        19.00000000
        NC
        
        220211.57000000
        0.026078163996
        N/A
        DE
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Long
            
              
                TSE TOPIX (Tokyo Price Index) Future
                TPM2 INDEX
              
            
            2022-06-09
            332992043.00000000
            JPY
            220211.57000000
          
        
        
          N
          N
          N
        
      
      
        Infineon Technologies AG
        TSI2PJM6EPETEQ4X1U25
        Infineon Technologies AG
        000000000
        
          
        
        31153.00000000
        NS
        
        901267.26000000
        0.106730974265
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH919T7 IRS USD R F  2.61250 99NH919T7_FIX CCPVANILLA / Short: S9NH919T7 IRS USD P V 00MSOFR 99NH919T7_FLO CCPVANILLA
        000000000
        
          
        
        3257000.00000000
        OU
        Notional Amount
        USD
        -26904.45000000
        -0.00318611169
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-25
            0.00000000
            USD
            0.00000000
            USD
            3257000.00000000
            USD
            -26904.45000000
          
        
        
          N
          N
          N
        
      
      
        LIBERTY TRIPADVISOR HOLD
        5299006PCRAU736ZJ155
        Liberty TripAdvisor Holdings Inc
        531465AA0
        
          
        
        829000.00000000
        PA
        USD
        654495.50000000
        0.077507466949
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2051-06-30
          Fixed
          0.50000000
          N
          N
          N
          N
          N
          
            
              TripAdvisor Inc
              TripAdvisor Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032666
        
          
        
        -17000000.00000000
        PA
        USD
        -16443620.09000000
        -1.94730649891
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-06-13
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379YKE7
        
          
        
        613245.17000000
        PA
        USD
        77784.26000000
        0.009211462815
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-10-20
          Floating
          5.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S6246016  CDS USD R F  5.00000 26246016_FEE CCPCORPORATE / Short: S6246016  CDS USD P V 03MEVENT 26246016_PRO CCPCORPORATE
        000000000
        
          
        
        793000.00000000
        OU
        Notional Amount
        USD
        118168.44000000
        0.013993887594
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Lennar Corp
                Lennar Corp
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            136251.42000000
            USD
            0.00000000
            USD
            793000.00000000
            USD
            -18082.98000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99C793FY9 FNMA TBA 30 YR 4.5
        000000000
        
          
        
        45000000.00000000
        OU
        Notional Amount
        USD
        339345.00000000
        0.040186328816
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                UMBS, TBA
                UMBS, TBA
                
                  
                  
                
              
            
            1.00000000
            101.10937500
            USD
            2022-06-06
            XXXX
            190809.84000000
          
        
        
          N
          N
          N
        
      
      
        Bank of New York Mellon
        HPFHU0OQ28E4N0NFVK49
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -4933.71000000
        -0.00058426584
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of New York Mellon
              HPFHU0OQ28E4N0NFVK49
            
            363535.25000000
            GBP
            452192.77000000
            USD
            2022-06-09
            -4933.71000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8872.93000000
        0.001050760973
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            510190.37000000
            USD
            2061921630.00000000
            COP
            2022-05-24
            8872.93000000
          
        
        
          N
          N
          N
        
      
      
        SMART Global Holdings Inc
        529900RDGHQY8XKXPN14
        SMART Global Holdings Inc
        000000000
        
          
        
        24487.00000000
        NS
        USD
        554875.42000000
        0.065710135939
        Long
        EC
        CORP
        KY
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Dana Inc
        KVWHW7YLZPFJM8QYNJ51
        Dana Inc
        235825205
        
          
        
        37338.00000000
        NS
        USD
        552975.78000000
        0.065485174447
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NJ659Q3 IRS USD R V 00MSOFR 99NJ659Q3_FLO CCPVANILLA / Short: B9NJ659Q3 IRS USD P F  2.70000 99NJ659Q3_FIX CCPVANILLA
        000000000
        
          
        
        2061000.00000000
        OU
        Notional Amount
        USD
        1230.62000000
        0.000145733987
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-26
            0.00000000
            USD
            0.00000000
            USD
            2061000.00000000
            USD
            1230.62000000
          
        
        
          N
          N
          N
        
      
      
        Howden Joinery Group PLC
        213800KC1LJOJTY3JP45
        Howden Joinery Group PLC
        000000000
        
          
        
        17385.00000000
        NS
        
        164319.05000000
        0.019459191601
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        639057AD0
        
          
        
        200000.00000000
        PA
        USD
        167545.27000000
        0.019841250974
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-06-28
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NF229C3 IRS USD R V 00MSOFR 99NF229C3_FLO CCPVANILLA / Short: B9NF229C3 IRS USD P F  1.79550 99NF229C3_FIX CCPVANILLA
        000000000
        
          
        
        4944000.00000000
        OU
        Notional Amount
        USD
        388803.08000000
        0.046043314083
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-02-25
            0.00000000
            USD
            0.00000000
            USD
            4944000.00000000
            USD
            388803.08000000
          
        
        
          N
          N
          N
        
      
      
        WESTERN DIGITAL CORP
        549300QQXOOYEF89IC56
        Western Digital Corp
        958102AQ8
        
          
        
        74000.00000000
        PA
        USD
        65541.25000000
        0.007761606104
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Obayashi Corp
        529900YT4O5S0LCXWD54
        Obayashi Corp
        000000000
        
          
        
        52000.00000000
        NS
        
        358320.93000000
        0.042433519618
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        5688.16000000
        0.000673610243
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            1129350.00000000
            PEN
            298461.90000000
            USD
            2022-06-14
            5688.16000000
          
        
        
          N
          N
          N
        
      
      
        Anhui Conch Cement Co Ltd
        300300JVKW56SSAEQZ33
        Anhui Conch Cement Co Ltd
        000000000
        
          
        
        120000.00000000
        NS
        
        649811.16000000
        0.076952732306
        Long
        EC
        CORP
        CN
        N
        
        2
        
          N
          N
          N
        
      
      
        Euronext Eqf, Equities And Indices Derivatives
        N/A
        AMSTERDAM IDX FUT MAY22
        000000000
        
          
        
        4.00000000
        NC
        
        174.84000000
        0.000020705116
        N/A
        DE
        
        NL
        N
        
        1
        
          
            
              Euronext Eqf, Equities And Indices Derivatives
              N/A
            
            Long
            
              
                EUX Amsterdam Index Future
                EOK2 INDEX
              
            
            2022-05-20
            565010.27000000
            EUR
            174.84000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379HTX3
        
          
        
        1838295.29000000
        PA
        USD
        238200.97000000
        0.028208526734
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        99P780EY3 FNMA TBA 30 YR 4.5
        000000000
        
          
        
        -85000000.00000000
        OU
        Notional Amount
        USD
        -675495.00000000
        -0.07999429543
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                UMBS, TBA
                UMBS, TBA
                
                  
                  
                
              
            
            1.00000000
            102.50000000
            USD
            2022-05-05
            XXXX
            -89557.50000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380CG31
        
          
        
        2354616.75000000
        PA
        USD
        332410.67000000
        0.039365143104
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-02-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGNITE INC
        54930018FR2YX1HHSB02
        Magnite Inc
        55955DAB6
        
          
        
        1050000.00000000
        PA
        USD
        817005.00000000
        0.096752365807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          0.25000000
          N
          N
          N
          N
          Y
          
            
              Magnite Inc
              Magnite Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMERICAN PIPE
        5521FA2ITF25TVH63740
        Plains All American Pipeline LP
        726503AE5
        
          
        
        756000.00000000
        PA
        USD
        629370.00000000
        0.074532024244
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Maxar Technologies Inc
        549300OEN2G821MIJ922
        Maxar Technologies Inc
        57778K105
        
          
        
        49183.00000000
        NS
        USD
        1584184.43000000
        0.187604226996
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SAMHALLSBYGGNADSBOLAGET
        549300HX9MRFY47AH564
        Samhallsbyggnadsbolaget i Norden AB
        000000000
        
          
        
        100000.00000000
        PA
        
        88088.35000000
        0.010431706369
        Long
        DBT
        CORP
        SE
        Y
        
        2
        
          2025-01-30
          Fixed
          2.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        9102.71000000
        0.001077972261
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            1129350.00000000
            PEN
            301876.45000000
            USD
            2022-06-14
            9102.71000000
          
        
        
          N
          N
          N
        
      
      
        Sprott Inc
        254900QHJAD5TP2JNM15
        Sprott Inc
        852066208
        
          
        
        4419.00000000
        NS
        
        203501.37000000
        0.024099288244
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: S9NH849X3 IRS USD R F  2.43250 99NH849X3_FIX CCPVANILLA / Short: S9NH849X3 IRS USD P V 00MSOFR 99NH849X3_FLO CCPVANILLA
        000000000
        
          
        
        30964000.00000000
        OU
        Notional Amount
        USD
        -285952.54000000
        -0.03386342158
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2052-04-19
            0.00000000
            USD
            0.00000000
            USD
            30964000.00000000
            USD
            -285952.54000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FPW35
        
          
        
        1369223.02000000
        PA
        USD
        203029.62000000
        0.024043422089
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-11-25
          Floating
          5.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REXEL SA
        969500N6AVPA51648T62
        Rexel SA
        000000000
        
          
        
        100000.00000000
        PA
        
        96488.28000000
        0.011426453158
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2028-06-15
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PTC THERAPEUTICS INC
        549300UJLWOIWFDGB318
        PTC Therapeutics Inc
        69366JAB7
        
          
        
        437000.00000000
        PA
        USD
        435252.00000000
        0.051543944923
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-15
          Fixed
          3.00000000
          N
          N
          N
          N
          Y
          
            
              PTC Therapeutics Inc
              PTC Therapeutics Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Samsung Electronics Co Ltd
        9884007ER46L6N7EI764
        Samsung Electronics Co Ltd
        000000000
        
          
        
        1729.00000000
        NS
        
        80741.73000000
        0.009561695946
        Long
        EP
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Bharti Airtel Ltd
        335800KQ1FPKOQ84OR26
        Bharti Airtel Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        198672.37000000
        0.023527422498
        Long
        DBT
        CORP
        IN
        Y
        
        2
        
          2025-06-10
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bristol-Myers Squibb Co
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122108
        
          
        
        2964.00000000
        NS
        USD
        223100.28000000
        0.026420254346
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RYY6
        
          
        
        7454812.11000000
        PA
        USD
        446791.49000000
        0.052910488528
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-09-20
          Variable
          2.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invitation Homes Inc
        N/A
        Invitation Homes Inc
        46187W107
        
          
        
        26017.00000000
        NS
        USD
        1035996.94000000
        0.122686097287
        Long
        EC
        
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Impala Platinum Holdings Ltd
        254900BZFIFB4PD2Z778
        Impala Platinum Holdings Ltd
        000000000
        
          
        
        37729.00000000
        NS
        
        492410.06000000
        0.058312786644
        Long
        EC
        CORP
        ZA
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NC049S3 IRS USD R V 00MSOFR 99NC049S3_FLO CCPVANILLA / Short: B9NC049S3 IRS USD P F  1.67100 99NC049S3_FIX CCPVANILLA
        000000000
        
          
        
        1096500.00000000
        OU
        Notional Amount
        USD
        86970.10000000
        0.010299279599
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-01-07
            0.00000000
            USD
            0.00000000
            USD
            1096500.00000000
            USD
            86970.10000000
          
        
        
          N
          N
          N
        
      
      
        ONEMAIN FINANCE CORP
        5493008I795YYBFWFU90
        OneMain Finance Corp
        682691AA8
        
          
        
        14000.00000000
        PA
        USD
        11461.35000000
        0.001357290013
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VTB Bank PJSC
        253400V1H6ART1UQ0N98
        VTB Bank PJSC
        000000000
        
          
        
        294650000.00000000
        NS
        
        0.00000000
        0.000000
        Long
        EC
        CORP
        RU
        N
        
        3
        
          N
          N
          N
        
      
      
        Genpact Ltd
        529900OSEC6Q0L4L5B35
        Genpact Ltd
        000000000
        
          
        
        3009.00000000
        NS
        USD
        121172.43000000
        0.014349629773
        Long
        EC
        CORP
        BM
        
        N
        
        1
        
          N
          N
          N
        
      
      
        HERBALIFE LTD
        549300BA7TYPBSZZIA41
        Herbalife Nutrition Ltd
        42703MAD5
        
          
        
        1590000.00000000
        PA
        USD
        1473135.00000000
        0.174453395516
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-03-15
          Fixed
          2.63000000
          N
          N
          N
          N
          Y
          
            
              Herbalife Nutrition Ltd
              Herbalife Nutrition Ltd
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        99P476IF5 SWAPTION
        000000000
        
          
        
        19321600.00000000
        OU
        Notional Amount
        USD
        2175648.87000000
        0.257647352633
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            Put
            Purchased
            
              
                
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                  
                  
                    Goldman Sachs International
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    19321600.00000000
                    OU
                    Notional Amount
                    N/A
                    2175648.87000000
                    0.26000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2039-09-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19321600.00000000
                  USD
                
              
            
            1.00000000
            1.80375000
            USD
            2029-09-25
            XXXX
            760974.42000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -32701.45000000
        -0.00387261112
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            516376.09000000
            USD
            415966083.00000000
            CLP
            2022-06-14
            -32701.45000000
          
        
        
          N
          N
          N
        
      
      
        SILGAN HOLDINGS INC
        KAF673KJXD92C8KSLU49
        Silgan Holdings Inc
        000000000
        
          
        
        300000.00000000
        PA
        
        274756.52000000
        0.032537552806
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CH Robinson Worldwide Inc
        529900WNWN5L0OVDHA79
        CH Robinson Worldwide Inc
        12541W209
        
          
        
        1739.00000000
        NS
        USD
        184594.85000000
        0.021860317199
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Teleperformance
        9695004GI61FHFFNRG61
        Teleperformance
        000000000
        
          
        
        4592.00000000
        NS
        
        1641829.32000000
        0.194430720695
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Hanover Insurance Group Inc/The
        JJYR6MFKFF6CF8DBZ078
        Hanover Insurance Group Inc/The
        410867105
        
          
        
        1181.00000000
        NS
        USD
        173394.42000000
        0.020533926172
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Asustek Computer Inc
        254900B3WB4OGRB7HM13
        Asustek Computer Inc
        000000000
        
          
        
        13000.00000000
        NS
        
        156654.51000000
        0.018551532067
        Long
        EC
        CORP
        TW
        N
        
        2
        
          N
          N
          N
        
      
      
        Equinox Gold Corp
        5493005IN4V1SNP9PN75
        Equinox Gold Corp
        29446Y502
        
          
        
        94023.00000000
        NS
        
        670416.60000000
        0.079392894935
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Semen Indonesia Persero Tbk PT
        2549006ADJYJS2SD8T24
        Semen Indonesia Persero Tbk PT
        000000000
        
          
        
        564146.00000000
        NS
        
        248664.88000000
        0.029447696688
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RU53
        
          
        
        1790178.95000000
        PA
        USD
        211124.75000000
        0.025002073479
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2067-02-20
          Variable
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        National Fuel Gas Co
        8JB38FFW1Y3C1HM8E841
        National Fuel Gas Co
        636180101
        
          
        
        2892.00000000
        NS
        USD
        202815.96000000
        0.024018119783
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH849W5 IRS USD R V 00MSOFR 99NH849W5_FLO CCPVANILLA / Short: B9NH849W5 IRS USD P F  2.58050 99NH849W5_FIX CCPVANILLA
        000000000
        
          
        
        98931000.00000000
        OU
        Notional Amount
        USD
        1092683.00000000
        0.129399043246
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-19
            0.00000000
            USD
            0.00000000
            USD
            98931000.00000000
            USD
            1092683.00000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -693.93000000
        -0.00008217742
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            580299.78000000
            USD
            562793.88000000
            CHF
            2022-06-09
            -693.93000000
          
        
        
          N
          N
          N
        
      
      
        American International Group Inc
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874784
        
          
        
        17639.00000000
        NS
        USD
        1032057.89000000
        0.122219622288
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Yoma Strategic Holdings Ltd
        529900WRBT4SP5D5ZN49
        Yoma Strategic Holdings Ltd
        000000000
        
          
        
        1492508.00000000
        NS
        
        163165.19000000
        0.019322547781
        Long
        EC
        CORP
        SG
        
        N
        
        2
        
          N
          N
          N
        
      
      
        DIGITALBRIDGE GROUP INC
        549300XG87L902AGBO89
        DigitalBridge Group Inc
        19624RAA4
        
          
        
        3222000.00000000
        PA
        USD
        3219117.70000000
        0.381218295221
        Long
        DBT
        
        US
        N
        
        2
        
          2023-04-15
          Fixed
          5.00000000
          N
          N
          N
          N
          N
          
            
              DigitalBridge Group Inc
              DigitalBridge Group Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Artemis Gold Inc
        N/A
        Artemis Gold Inc
        04302L100
        
          
        
        67395.00000000
        NS
        
        372478.50000000
        0.044110104696
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        TERNA RETE ELETTRICA
        8156009E94ED54DE7C31
        Terna - Rete Elettrica Nazionale
        000000000
        
          
        
        100000.00000000
        PA
        
        96708.56000000
        0.011452539426
        Long
        DBT
        CORP
        IT
        Y
        
        2
        
          2027-11-09
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fastenal Co
        529900PP0C7H2HHPSJ32
        Fastenal Co
        311900104
        
          
        
        3105.00000000
        NS
        USD
        171737.55000000
        0.020337714286
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Celestica Inc
        549300J3CG5T6RZWLN53
        Celestica Inc
        15101Q108
        
          
        
        32121.00000000
        NS
        USD
        360718.83000000
        0.042717486666
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        11945.55000000
        0.001414630538
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            8244486.00000000
            SEK
            852538.90000000
            USD
            2022-06-15
            11945.55000000
          
        
        
          N
          N
          N
        
      
      
        Loblaw Cos Ltd
        5493008LN3O1DIDTSH67
        Loblaw Cos Ltd
        539481101
        
          
        
        2592.00000000
        NS
        
        237096.42000000
        0.028077722363
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022659
        
          
        
        15000000.00000000
        PA
        USD
        13683303.15000000
        1.620420868686
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-05-12
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617LES54
        
          
        
        24283.83000000
        PA
        USD
        23936.43000000
        0.002834629202
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alpha Services and Holdings SA
        5299009N55YRQC69CN08
        Alpha Services and Holdings SA
        000000000
        
          
        
        461520.00000000
        NS
        
        518443.65000000
        0.061395768294
        Long
        EC
        CORP
        GR
        N
        
        2
        
          N
          N
          N
        
      
      
        Kirin Holdings Co Ltd
        353800GBVL72LLMTYM96
        Kirin Holdings Co Ltd
        000000000
        
          
        
        101400.00000000
        NS
        
        1489095.74000000
        0.176343517798
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Eaton Corp PLC
        549300VDIGTMXUNT7H71
        Eaton Corp PLC
        000000000
        
          
        
        44.00000000
        NS
        USD
        6380.88000000
        0.000755644379
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        BLACKSTONE MORTGAGE TR
        549300OLDJ20R2Y2UW20
        Blackstone Mortgage Trust Inc
        09257WAC4
        
          
        
        3003000.00000000
        PA
        USD
        3004501.50000000
        0.355802752977
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          4.75000000
          N
          N
          N
          N
          Y
          
            
              Blackstone Mortgage Trust Inc
              Blackstone Mortgage Trust Inc
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Mitsubishi Corp
        KVIPTY4PULAPGC1VVD26
        Mitsubishi Corp
        000000000
        
          
        
        31700.00000000
        NS
        
        1063736.92000000
        0.125971155141
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Comet Holding AG
        506700PGOL747J76WC96
        Comet Holding AG
        000000000
        
          
        
        2454.00000000
        NS
        
        530295.86000000
        0.062799345209
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        LG Chem Ltd
        988400IES4EIG7O06940
        LG Chem Ltd
        000000000
        
          
        
        1101.00000000
        NS
        
        442248.73000000
        0.052372520245
        Long
        EC
        CORP
        KR
        N
        
        2
        
          N
          N
          N
        
      
      
        Timken Co/The
        B0I35MLPFXZSE70ASS73
        Timken Co/The
        887389104
        
          
        
        36094.00000000
        NS
        USD
        2080458.16000000
        0.246374561897
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ISS A/S
        213800LEZA58SZNCBN19
        ISS A/S
        000000000
        
          
        
        58416.00000000
        NS
        
        953605.90000000
        0.112929084733
        Long
        EC
        CORP
        DK
        N
        
        2
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137H3WP3
        
          
        
        6442112.76000000
        PA
        USD
        647336.34000000
        0.076659656144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ILIAD SA
        969500FZ9BTRZS3JNB97
        Iliad SA
        000000000
        
          
        
        300000.00000000
        PA
        
        262682.61000000
        0.031107721463
        Long
        DBT
        CORP
        FR
        Y
        
        2
        
          2028-02-11
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: B9NH539B6 IRS USD R V 00MSOFR 99NH539B6_FLO CCPVANILLA / Short: B9NH539B6 IRS USD P F  2.38250 99NH539B6_FIX CCPVANILLA
        000000000
        
          
        
        4484000.00000000
        OU
        Notional Amount
        USD
        126935.76000000
        0.015032141890
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-11
            0.00000000
            USD
            0.00000000
            USD
            4484000.00000000
            USD
            126935.76000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        99C467CI8 PUTNAM
        000000000
        
          
        
        129290100.00000000
        OU
        Notional Amount
        USD
        6862811.60000000
        0.812716272715
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    129290100.00000000
                    OU
                    Notional Amount
                    N/A
                    6862811.60000000
                    0.81000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2042-03-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  129290100.00000000
                  USD
                
              
            
            1.00000000
            1.72200000
            USD
            2032-03-18
            XXXX
            -875200.89000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376RQ41
        
          
        
        3834717.80000000
        PA
        USD
        235410.76000000
        0.027878101072
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2066-12-20
          Variable
          2.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Polyus PJSC
        549300FUXVT7TF6ZKV71
        Polyus PJSC
        73181M117
        
          
        
        9738.00000000
        NS
        USD
        0.00000000
        0.000000
        Long
        EC
        CORP
        RU
        Y
        
        3
        
          N
          N
          N
        
      
      
        UPC BROADBAND FINCO BV
        213800MNFBDEQRS6HZ22
        UPC Broadband Finco BV
        90320BAA7
        
          
        
        200000.00000000
        PA
        USD
        175750.00000000
        0.020812881549
        Long
        DBT
        CORP
        NL
        Y
        
        2
        
          2031-07-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Zillow Group Inc
        2549002XEELQDIR6FU05
        Zillow Group Inc
        98954M101
        
          
        
        19871.00000000
        NS
        USD
        768014.15000000
        0.090950711422
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2022-06-09
      RUSSELL INVESTMENT CO
      Mark Swanson
      Mark Swanson
      Treasurer, Chief Accounting Officer and Chief Financial Officer
    
  





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