Form NPORT-P SUNAMERICA SERIES TRUST For: Jul 31

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September 28, 2021 4:06 PM EDT
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    NPORT-P
    false
    
      
      
        
          0000892538
          XXXXXXXX
        
      
      
      
      
        S000008097
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        C000022015
      
      
      
    
  
  
    
      SUNAMERICA SERIES TRUST
      811-07238
      0000892538
      549300YDIAXUNCUXFM44
      21650 Oxnard Street, 10th Floor
      Woodland Hills
      
      91367
      800-445-7862
      SA Goldman Sachs Global Bond Portfolio
      S000008097
      3FB0L8OH80Z6N1SBMD85
      2022-01-31
      2021-07-31
      N
    
    
      509094726.48
      82786178.14
      426308548.34
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      12709963.38000000
      0.00000000
      0.00000000
      3467762.87000000
      
        
          AUD
          
          
        
        
          BRL
          
          
        
        
          CAD
          
          
        
        
          CNY
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          JPY
          
          
        
        
          KRW
          
          
        
        
          MXN
          
          
        
        
          NOK
          
          
        
        
          NZD
          
          
        
        
          PLN
          
          
        
        
          SEK
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -6624.74000000
        -0.00155397775
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1282698.75000000
            TRY
            142262.06000000
            USD
            2021-09-15
            -6624.74000000
          
        
        
          N
          N
          N
        
      
      
        CNP ASSURANCES
        969500QKVPV2H8UXM738
        CNP Assurances
        000000000
        
          
        
        200000.00000000
        PA
        
        235555.94000000
        0.055254800992
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-03-08
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        6982.71000000
        0.001637947450
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            471445.83000000
            AUD
            353023.35000000
            USD
            2021-09-15
            6982.71000000
          
        
        
          N
          N
          N
        
      
      
        TELEFONICA EUROPE BV
        7245007FZS0M65WUGP67
        Telefonica Europe BV
        000000000
        
          
        
        500000.00000000
        PA
        
        584583.74000000
        0.137126910139
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-02-12
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFRICAN EXPORT-IMPORT BA
        21380068LJCDYA42GJ76
        African Export-Import Bank/The
        00831TAC5
        
          
        
        200000.00000000
        PA
        USD
        206831.60000000
        0.048516878398
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2031-05-17
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PTJPMUSKR202108041142 PUT USD KRW 1142 AUG21
        000000000
        
          
        
        -2921000.00000000
        OU
        Notional Amount
        USD
        -584.20000000
        -0.00013703689
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -584.20000000
                    0.00000000
                    DFE
                    
                    KR
                  
                  -2921000.00000000
                  USD
                  -3335782000.00000000
                  KRW
                  2021-08-04
                
              
            
            1.00000000
            1142.00000000
            USD
            2021-08-04
            XXXX
            8567.29000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS DE VENEZUELA S
        549300YWR8TN1OFD4P06
        Petroleos de Venezuela SA
        000000000
        
          
        
        390000.00000000
        PA
        USD
        16575.00000000
        0.003888029002
        Long
        DBT
        CORP
        VE
        Y
        
        2
        
          2027-04-12
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAW8
        
          
        
        900000.00000000
        PA
        USD
        931297.64000000
        0.218456243400
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2022-09-01
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stratton Mortgage Funding PLC
        213800RHNWAD2QXB3483
        Stratton Mortgage Funding 2019-1 PLC
        000000000
        
          
        
        1139980.72000000
        PA
        
        1591752.33000000
        0.373380345338
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2051-05-25
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS03641A SWAPTION EUR006M
        000000000
        
          
        
        -4170000.00000000
        NC
        
        -183.03000000
        -0.00004293369
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    4170000.00000000
                    OU
                    Notional Amount
                    N/A
                    -183.03000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-08-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4170000.00000000
                  EUR
                
              
            
            1.00000000
            -0.02200000
            EUR
            2021-08-19
            XXXX
            7431.50000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS03612A SWAPTION EUR006M
        000000000
        
          
        
        -3450000.00000000
        NC
        
        -3654.66000000
        -0.00085728048
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    3450000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3654.66000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-11-17
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3450000.00000000
                  EUR
                
              
            
            1.00000000
            -0.14500000
            EUR
            2021-11-15
            XXXX
            20110.49000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3029.28000000
        -0.00071058392
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            142871.02000000
            USD
            2059985.80000000
            ZAR
            2021-09-15
            -3029.28000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1568.30000000
        -0.00036787908
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            359145.45000000
            USD
            3077122.30000000
            SEK
            2021-09-15
            -1568.30000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BTP FUTURE SEP21
        000000000
        
          
        
        4.00000000
        NC
        
        18552.94000000
        0.004351998117
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Long-Term Euro-BTP (FBTP)
                IKU1 Comdty
              
            
            2021-09-08
            601480.00000000
            EUR
            18552.94000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        2348.99000000
        0.000551007013
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            291788.52000000
            EUR
            348774.82000000
            USD
            2021-09-15
            2348.99000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -15098.17000000
        -0.00354160620
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1734308.79000000
            USD
            11153339.82000000
            CNY
            2021-09-15
            -15098.17000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -670.13000000
        -0.00015719365
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            797185.04000000
            ILS
            246025.02000000
            USD
            2021-09-17
            -670.13000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED HUF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -19564.98000000
        -0.00458939424
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            360172.37000000
            USD
            103087455.22000000
            HUF
            2021-09-15
            -19564.98000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1967.28000000
        -0.00046146857
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            249129.40000000
            GBP
            290047.91000000
            EUR
            2021-09-15
            -1967.28000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        70000.00000000
        PA
        
        83457.30000000
        0.019576736221
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2032-01-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBERTSONS COS/SAFEWAY
        N/A
        Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
        013092AA9
        
          
        
        24000.00000000
        PA
        USD
        26160.00000000
        0.006136400525
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        CTMSIUSBR20210810547 CALL USD BRL 5.47 AUG21
        000000000
        
          
        
        -1458000.00000000
        OU
        Notional Amount
        USD
        -1768.55000000
        -0.00041485210
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -1768.55000000
                    0.00000000
                    DFE
                    
                    BR
                  
                  -1458000.00000000
                  USD
                  -7975260.00000000
                  BRL
                  2021-08-10
                
              
            
            1.00000000
            5.47000000
            USD
            2021-08-10
            XXXX
            10986.03000000
          
        
        
          N
          N
          N
        
      
      
        AIB GROUP PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        000000000
        
          
        
        200000.00000000
        PA
        
        269278.63000000
        0.063165195970
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-06-23
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -9007.27000000
        -0.00211285230
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            38665489.00000000
            JPY
            289373.36000000
            EUR
            2021-09-15
            -9007.27000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DT9
        
          
        
        200000.00000000
        PA
        USD
        186524.00000000
        0.043753286375
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2051-05-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKWM3
        
          
        
        8831.25000000
        PA
        USD
        10471.47000000
        0.002456312462
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -38748.98000000
        -0.00908942130
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1128323.27000000
            EUR
            11491408.34000000
            NOK
            2021-09-15
            -38748.98000000
          
        
        
          N
          N
          N
        
      
      
        Asian Development Bank
        549300X0MVH42CY8Q105
        Asian Development Bank
        000000000
        
          
        
        40000000.00000000
        PA
        
        419444.87000000
        0.098389974030
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2027-06-21
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -655.46000000
        -0.00015375248
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            731137.73000000
            USD
            615272.66000000
            EUR
            2021-09-15
            -655.46000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1363.81000000
        0.000319911483
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            143598.33000000
            USD
            10618593.91000000
            RUB
            2021-08-18
            1363.81000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6024.82000000
        -0.00141325338
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            365152.15000000
            USD
            3172441.88000000
            NOK
            2021-09-15
            -6024.82000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OA1
        126694A32
        
          
        
        161711.15000000
        PA
        USD
        137126.27000000
        0.032165967709
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-03-20
          Floating
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215969  IRS EUR R F   .00000 2 CCPVANILLA / Short: SR215969  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        260000.00000000
        OU
        Notional Amount
        
        -24273.52000000
        -0.00569388535
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2051-09-15
            0.00000000
            EUR
            -36119.43000000
            EUR
            260000.00000000
            EUR
            18437.75000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2631.58000000
        -0.00061729468
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7963584.70000000
            CZK
            309602.08000000
            EUR
            2021-09-15
            -2631.58000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1044.41000000
        -0.00024498922
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            336160.66000000
            EUR
            286345.35000000
            GBP
            2021-09-15
            -1044.41000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7722.11000000
        0.001811389902
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            143305.72000000
            USD
            1301144.28000000
            TRY
            2021-09-15
            7722.11000000
          
        
        
          N
          N
          N
        
      
      
        DEXIA CREDIT LOCAL
        F4G136OIPBYND1F41110
        Dexia Credit Local SA
        000000000
        
          
        
        5600000.00000000
        PA
        
        7845498.62000000
        1.840333404185
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-06-15
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215095  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR215095  IRS NOK P F  1.24000 2 CCPVANILLA
        000000000
        
          
        
        98930000.00000000
        OU
        Notional Amount
        
        208910.12000000
        0.049004440753
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-10-29
            2303730.55000000
            NOK
            0.00000000
            NOK
            98930000.00000000
            NOK
            -58796.25000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3901.80000000
        0.000915252582
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            445561.34000000
            USD
            560760.33000000
            CAD
            2021-08-20
            3901.80000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416WMD1
        
          
        
        7751.72000000
        PA
        USD
        8356.52000000
        0.001960204652
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216428  IRS JPY R V 12MLIBOR CCPVANILLA / Short: BR216428  IRS JPY P F   .00000 CCPVANILLA
        000000000
        
          
        
        124270000.00000000
        OU
        Notional Amount
        
        -1595.04000000
        -0.00037415154
        N/A
        DIR
        
        JP
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-09-15
            0.00000000
            JPY
            -115106.00000000
            JPY
            124270000.00000000
            JPY
            -543.38000000
          
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAN5
        
          
        
        400000.00000000
        PA
        USD
        401972.00000000
        0.094291329968
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-15
          Fixed
          1.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -102135.56000000
        -0.02395813088
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1512959.11000000
            USD
            20782611.48000000
            ZAR
            2021-09-15
            -102135.56000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -12644.56000000
        -0.00296605828
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            190888.60000000
            USD
            1574563.71000000
            NOK
            2021-09-15
            -12644.56000000
          
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272BD9
        
          
        
        375000.00000000
        PA
        USD
        377790.86000000
        0.088619114364
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-04-27
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        931.36000000
        0.000218470871
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            335319.22000000
            USD
            36876228.00000000
            JPY
            2021-09-15
            931.36000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3969.89000000
        -0.00093122458
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            143930.75000000
            USD
            1236379.54000000
            NOK
            2021-09-15
            -3969.89000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA1
        35564KCN7
        
          
        
        620000.00000000
        PA
        USD
        622712.50000000
        0.146070845265
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-25
          Floating
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-C38
        95001MAP5
        
          
        
        200000.00000000
        PA
        USD
        186331.36000000
        0.043708098447
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN TREASURY DISC BILL
        353800WZS8AXZXFUC241
        Japan Treasury Discount Bill
        000000000
        
          
        
        918000000.00000000
        PA
        
        8368705.65000000
        1.963063063733
        Long
        STIV
        NUSS
        JP
        N
        
        2
        
          2021-09-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        16469.55000000
        0.003863293397
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            10075846.99000000
            ZAR
            703620.60000000
            USD
            2021-08-10
            16469.55000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128284F4
        
          
        
        2730000.00000000
        PA
        USD
        2942641.39000000
        0.690260939279
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-03-31
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA3
        35565WAH5
        
          
        
        64566.75000000
        PA
        USD
        64893.01000000
        0.015222075713
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          3.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2017-COR2 Mortgage Trust
        12595EAN5
        
          
        
        250000.00000000
        PA
        USD
        239142.03000000
        0.056095996885
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-10
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1144.65000000
        0.000268502708
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            364765.00000000
            USD
            5287998205.00000000
            IDR
            2021-08-16
            1144.65000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        80844.90000000
        0.018963940628
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2347800.00000000
            EUR
            2868269.70000000
            USD
            2021-09-15
            80844.90000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        10086.73000000
        0.002366063274
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            219728854.00000000
            JPY
            2013652.68000000
            USD
            2021-09-15
            10086.73000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        9456.54000000
        0.002218238418
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            883125.75000000
            CAD
            78665750.00000000
            JPY
            2021-09-15
            9456.54000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -15288.20000000
        -0.00358618190
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            24066577.20000000
            RUB
            310536.48000000
            USD
            2021-10-01
            -15288.20000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2335.55000000
        -0.00054785436
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            306631.64000000
            EUR
            109475161.27000000
            HUF
            2021-09-15
            -2335.55000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        1527.65000000
        0.000358343740
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            480199.35000000
            AUD
            353993.36000000
            USD
            2021-09-15
            1527.65000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -535.35000000
        -0.00012557805
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            359770.83000000
            USD
            39396956.00000000
            JPY
            2021-09-15
            -535.35000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -895.18000000
        -0.00020998406
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            480070.10000000
            NZD
            333511.90000000
            USD
            2021-09-15
            -895.18000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -684.00000000
        -0.00016044716
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            278295883.00000000
            CLP
            365919.28000000
            USD
            2021-08-12
            -684.00000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        139.95000000
        0.000032828335
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            440333.38000000
            CAD
            353077.37000000
            USD
            2021-09-15
            139.95000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -346341.06000000
        -0.08124187547
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            6444224.47000000
            USD
            8308760.08000000
            AUD
            2021-08-20
            -346341.06000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        46511.13000000
        0.010910203462
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            740213.08000000
            USD
            6777835.07000000
            TRY
            2021-09-15
            46511.13000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03898A SWAPTION SONIO SEP22 0.281 CALL
        000000000
        
          
        
        11500000.00000000
        NC
        
        18632.13000000
        0.004370573865
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    11500000.00000000
                    OU
                    Notional Amount
                    N/A
                    18632.13000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  11500000.00000000
                  GBP
                
              
            
            1.00000000
            0.28100000
            GBP
            2022-09-08
            XXXX
            -3338.18000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3808.14000000
        0.000893282580
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            958578.99000000
            USD
            6243464.62000000
            CNY
            2021-09-15
            3808.14000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1016.43000000
        -0.00023842590
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            298871.35000000
            EUR
            7611057.80000000
            CZK
            2021-09-15
            -1016.43000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -19309.40000000
        -0.00452944236
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            562144.13000000
            USD
            779285.91000000
            NZD
            2021-09-15
            -19309.40000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1208.10000000
        -0.00028338629
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            306649.02000000
            EUR
            362860.85000000
            USD
            2021-09-15
            -1208.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2653.27000000
        -0.00062238254
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144953.84000000
            USD
            2096206.47000000
            ZAR
            2021-09-15
            -2653.27000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5138.58000000
        -0.00120536639
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            290005.05000000
            USD
            388102.13000000
            AUD
            2021-09-15
            -5138.58000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS03651A SWAPTION EUR006M
        000000000
        
          
        
        -7550000.00000000
        NC
        
        -456.77000000
        -0.00010714540
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    7550000.00000000
                    OU
                    Notional Amount
                    N/A
                    -456.77000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-08-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7550000.00000000
                  EUR
                
              
            
            1.00000000
            -0.09300000
            EUR
            2021-08-20
            XXXX
            19853.10000000
          
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CQ7
        
          
        
        275000.00000000
        PA
        USD
        277750.00000000
        0.065152341204
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Diameter Capital CLO 1 Ltd.
        25490018I1ROE4V49X69
        Diameter Capital Clo 1 Ltd
        25255DAA8
        
          
        
        1100000.00000000
        PA
        USD
        1099725.00000000
        0.257964566810
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2036-07-15
          Floating
          1.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEAGATE HDD CAYMAN
        529900BD50TRWEG1SF63
        Seagate HDD Cayman
        81180WBB6
        
          
        
        455000.00000000
        PA
        USD
        447606.25000000
        0.104995842035
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-07-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1849.36000000
        -0.00043380786
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7925376.17000000
            CZK
            308764.85000000
            EUR
            2021-09-15
            -1849.36000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA4
        35565RAH6
        
          
        
        304660.67000000
        PA
        USD
        306839.21000000
        0.071975852043
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Floating
          3.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9120.10000000
        0.002139319053
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            291182.30000000
            USD
            2587183.85000000
            TRY
            2021-09-15
            9120.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1334.70000000
        -0.00031308309
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            240500.13000000
            EUR
            284199.00000000
            USD
            2021-09-15
            -1334.70000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1689.35000000
        -0.00039627401
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            311302.00000000
            EUR
            367866.20000000
            USD
            2021-09-10
            -1689.35000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        11531.13000000
        0.002704878906
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2927083.40000000
            SEK
            351673.00000000
            USD
            2021-09-15
            11531.13000000
          
        
        
          N
          N
          N
        
      
      
        AIRBUS SE
        MINO79WLOO247M1IL051
        Airbus SE
        000000000
        
          
        
        300000.00000000
        PA
        
        429740.22000000
        0.100804973691
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2040-06-09
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        480.40000000
        0.000112688333
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            309536.20000000
            EUR
            111371124.76000000
            HUF
            2021-09-15
            480.40000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -129.21000000
        -0.00003030903
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            115405.56000000
            EUR
            136886.00000000
            USD
            2021-09-15
            -129.21000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        460.27000000
        0.000107966401
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            365423.68000000
            USD
            422161038.00000000
            KRW
            2021-09-15
            460.27000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215950  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215950  IRS USD P F   .50000 2 CCPVANILLA
        000000000
        
          
        
        3060000.00000000
        OU
        Notional Amount
        USD
        49137.51000000
        0.011526278370
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-09-15
            54577.85000000
            USD
            0.00000000
            USD
            3060000.00000000
            USD
            -5440.34000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        684.10000000
        0.000160470626
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            215364.00000000
            USD
            310155.62000000
            NZD
            2021-09-15
            684.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8656.45000000
        -0.00203055979
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            143950.70000000
            USD
            1992997.44000000
            ZAR
            2021-09-15
            -8656.45000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4569.41000000
        0.001071855119
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            145890.08000000
            USD
            1296247.95000000
            TRY
            2021-09-15
            4569.41000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A9EA2
        
          
        
        61361.59000000
        PA
        USD
        74575.28000000
        0.017493264043
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS MORTGAGE TRUST 2017-C1
        07332VAA3
        
          
        
        150000.00000000
        PA
        USD
        140397.80000000
        0.032933376669
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-15
          Variable
          3.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10797.46000000
        -0.00253278055
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            461254.23000000
            USD
            562000.00000000
            CAD
            2021-08-20
            -10797.46000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        2839.14000000
        0.000665982423
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            271439.81000000
            EUR
            233864.40000000
            GBP
            2021-09-15
            2839.14000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6073.20000000
        -0.00142460197
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            355498.39000000
            USD
            403170724.00000000
            KRW
            2021-09-15
            -6073.20000000
          
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        6800000.00000000
        PA
        
        8267965.21000000
        1.939432188773
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2025-03-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -513.99000000
        -0.00012056760
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            203373.40000000
            GBP
            282205.00000000
            USD
            2021-09-15
            -513.99000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1453.00000000
        0.000340832949
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            311715.39000000
            EUR
            371537.00000000
            USD
            2021-09-15
            1453.00000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        636.67000000
        0.000149344882
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1044888.30000000
            NZD
            728484.63000000
            USD
            2021-09-15
            636.67000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -5560.03000000
        -0.00130422672
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            677165.27000000
            EUR
            798322.33000000
            USD
            2021-09-10
            -5560.03000000
          
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AF2
        
          
        
        145000.00000000
        PA
        USD
        174202.84000000
        0.040863088642
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        11308.55000000
        0.002652667896
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            120535788.00000000
            CLP
            170092.13000000
            USD
            2021-08-12
            11308.55000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT SEP21
        000000000
        
          
        
        32.00000000
        NC
        USD
        170891.59000000
        0.040086362486
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US 10 Year Ultra Bond
                UXYU1 Comdty
              
            
            2021-09-21
            4637108.41000000
            USD
            170891.59000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        1934.17000000
        0.000453701903
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1983723.54000000
            NOK
            226496.00000000
            USD
            2021-09-15
            1934.17000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -8286.67000000
        -0.00194381980
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1298472.58000000
            TRY
            142431.04000000
            USD
            2021-09-15
            -8286.67000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        3178.57000000
        0.000745603158
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            274696446.00000000
            CLP
            365040.26000000
            USD
            2021-08-12
            3178.57000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (40 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Forty Year Bond
        000000000
        
          
        
        788000000.00000000
        PA
        
        7123425.19000000
        1.670955278222
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2061-03-20
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        2907.06000000
        0.000681914545
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            5310550.37000000
            ZAR
            363412.74000000
            USD
            2021-09-15
            2907.06000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1980.11000000
        0.000464478136
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            365171.02000000
            USD
            7350870.72000000
            MXN
            2021-09-15
            1980.11000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        5493000F4ZO33MV32P92
        Long: SR216254  IRS CNY R F  2.75000 CCPVANILLA / Short: SR216254  IRS CNY P V 03MLIBOR CCPVANILLA
        000000000
        
          
        
        13310000.00000000
        OU
        Notional Amount
        
        21661.56000000
        0.005081192972
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              LCH Limited
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-09-15
            87691.15000000
            CNY
            0.00000000
            CNY
            13310000.00000000
            CNY
            8114.46000000
          
        
        
          N
          N
          N
        
      
      
        Bausch Health Cos., Inc.
        KOO0397YRO83WY5MGD97
        Bausch Health Americas Inc
        91911XAV6
        
          
        
        24000.00000000
        PA
        USD
        25980.00000000
        0.006094177585
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        750.59000000
        0.000176067311
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            142000.00000000
            USD
            10456596.00000000
            RUB
            2021-08-18
            750.59000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        782.51000000
        0.000183554846
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            53400.45000000
            GBP
            75017.00000000
            USD
            2021-09-15
            782.51000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1031.59000000
        -0.00024198201
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            102223.00000000
            USD
            126248.88000000
            CAD
            2021-09-15
            -1031.59000000
          
        
        
          N
          N
          N
        
      
      
        AXALTA COATING SYSTEMS
        549300G80QONCHILSF69
        Axalta Coating Systems LLC
        05453GAC9
        
          
        
        280000.00000000
        PA
        USD
        275450.00000000
        0.064612825868
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELGIUM KINGDOM
        549300SZ25JZFHRHWD76
        Kingdom of Belgium Government Bond
        000000000
        
          
        
        600000.00000000
        PA
        
        1232236.57000000
        0.289048055639
        Long
        DBT
        NUSS
        BE
        N
        
        2
        
          2041-03-28
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABD6
        
          
        
        450000.00000000
        PA
        USD
        501696.00000000
        0.117683776680
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAE6
        
          
        
        125000.00000000
        PA
        USD
        145667.02000000
        0.034169387540
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA2
        35564KFV6
        
          
        
        410000.00000000
        PA
        USD
        411027.38000000
        0.096415467529
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-25
          Floating
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kingdom of Denmark
        549300PTO6LS1PTM6607
        Denmark Government Bond
        000000000
        
          
        
        4700000.00000000
        PA
        
        1358668.00000000
        0.318705314563
        Long
        DBT
        NUSS
        DK
        N
        
        2
        
          2039-11-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -93245.89000000
        -0.02187286423
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            18336393.68000000
            TRY
            2035115.84000000
            USD
            2021-09-15
            -93245.89000000
          
        
        
          N
          N
          N
        
      
      
        AIB GROUP PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        000000000
        
          
        
        375000.00000000
        PA
        
        478318.03000000
        0.112199962178
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2031-05-30
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        8956.37000000
        0.002100912598
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            371376.89000000
            GBP
            525224.97000000
            USD
            2021-09-15
            8956.37000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4060.23000000
        0.000952415806
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3181466.67000000
            NOK
            306767.14000000
            EUR
            2021-09-15
            4060.23000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1220.81000000
        0.000286367703
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            193794.93000000
            USD
            3904483.35000000
            MXN
            2021-09-15
            1220.81000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3281.12000000
        -0.00076965850
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            145300.00000000
            USD
            2082454.13000000
            ZAR
            2021-08-10
            -3281.12000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215699  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215699  IRS USD P F  2.43100 2 CCPVANILLA
        000000000
        
          
        
        7190000.00000000
        OU
        Notional Amount
        USD
        -141103.03000000
        -0.03309880380
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2036-02-25
            28513.49000000
            USD
            0.00000000
            USD
            7190000.00000000
            USD
            -169616.52000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        -1453.49000000
        -0.00034094788
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            496373.86000000
            SGD
            364866.76000000
            USD
            2021-09-15
            -1453.49000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7506.57000000
        0.001760830278
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1072632.79000000
            USD
            118476850.00000000
            JPY
            2021-08-26
            7506.57000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        99667.17000000
        0.023379115991
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3266876.81000000
            GBP
            4640647.51000000
            USD
            2021-08-05
            99667.17000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300MHMWVKFEDI8G73
        SLM Student Loan Trust 2008-2
        784442AC9
        
          
        
        230339.88000000
        PA
        USD
        227628.16000000
        0.053395166690
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-04-25
          Floating
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAY5
        
          
        
        150000.00000000
        PA
        USD
        207623.27000000
        0.048702581922
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-15
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1891.88000000
        0.000443781858
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            719252.37000000
            USD
            607407.41000000
            EUR
            2021-09-15
            1891.88000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -601.53000000
        -0.00014110202
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            261778.96000000
            GBP
            306009.59000000
            EUR
            2021-09-15
            -601.53000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        3965.61000000
        0.000930220614
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1043585.15000000
            NZD
            731031.40000000
            USD
            2021-08-03
            3965.61000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        9112.72000000
        0.002137587912
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            713361.49000000
            AUD
            448700.18000000
            EUR
            2021-09-15
            9112.72000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -7336.95000000
        -0.00172104219
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1051185.75000000
            EUR
            1240683.00000000
            USD
            2021-09-15
            -7336.95000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417E6Y2
        
          
        
        64628.34000000
        PA
        USD
        75404.70000000
        0.017687822656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FCC Aqualia SA
        959800BYDMFZGPTXHN28
        FCC Aqualia SA
        000000000
        
          
        
        500000.00000000
        PA
        
        661630.64000000
        0.155199946746
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-06-08
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1087.97000000
        -0.00025520717
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            296429.04000000
            EUR
            503671.47000000
            NZD
            2021-09-15
            -1087.97000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1636.91000000
        -0.00038397306
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            376241.76000000
            EUR
            445056.00000000
            USD
            2021-09-15
            -1636.91000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -28386.51000000
        -0.00665867717
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            18254210.05000000
            CNY
            2795009.96000000
            USD
            2021-08-04
            -28386.51000000
          
        
        
          N
          N
          N
        
      
      
        Erste Group Bank AG
        PQOH26KWDF7CG10L6792
        Erste Group Bank AG
        000000000
        
          
        
        200000.00000000
        PA
        
        265321.30000000
        0.062236917611
        Long
        DBT
        CORP
        AT
        N
        
        2
        
          2024-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2851.59000000
        0.000668902843
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            364625.00000000
            USD
            2375860.04000000
            CNY
            2021-08-04
            2851.59000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        334.12000000
        0.000078375158
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            261339.00000000
            USD
            2251822.27000000
            SEK
            2021-09-15
            334.12000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        687.79000000
        0.000161336197
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            335875.00000000
            USD
            2896283.71000000
            SEK
            2021-09-15
            687.79000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -1389.04000000
        -0.00032582973
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            8190960.23000000
            TWD
            292054.49000000
            USD
            2021-09-10
            -1389.04000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -6610.28000000
        -0.00155058584
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1303355.76000000
            TRY
            144674.24000000
            USD
            2021-09-15
            -6610.28000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215096  IRS AUD R F  1.24000 2 CCPVANILLA / Short: SR215096  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        5290000.00000000
        OU
        Notional Amount
        
        -104907.16000000
        -0.02460827032
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-10-28
            0.00000000
            AUD
            -192794.93000000
            AUD
            5290000.00000000
            AUD
            39280.68000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7648.09000000
        -0.00179402689
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            154451.20000000
            USD
            111441174.00000000
            CLP
            2021-08-12
            -7648.09000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215707  IRS AUD R F   .50000 2 CCPVANILLA / Short: SR215707  IRS AUD P V 03MBBSW 1 CCPVANILLA
        000000000
        
          
        
        17420000.00000000
        OU
        Notional Amount
        
        33902.03000000
        0.007952463100
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-02-24
            46375.13000000
            AUD
            0.00000000
            AUD
            17420000.00000000
            AUD
            -3281.22000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        7587.53000000
        0.001779821218
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            287076.71000000
            EUR
            348419.26000000
            USD
            2021-09-15
            7587.53000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN HOMES 4 RENT
        549300N4PXZ37U8QKI55
        American Homes 4 Rent LP
        02666TAC1
        
          
        
        75000.00000000
        PA
        USD
        75889.62000000
        0.017801571255
        Long
        DBT
        
        US
        N
        
        2
        
          2031-07-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        132.49000000
        0.000031078429
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            87919.00000000
            USD
            79674.04000000
            CHF
            2021-09-15
            132.49000000
          
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        000000000
        
          
        
        450000.00000000
        PA
        
        669798.34000000
        0.157115859536
        Long
        DBT
        
        US
        N
        
        2
        
          2028-06-05
          Fixed
          3.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -363.64000000
        -0.00008529972
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2359774.61000000
            CNY
            364625.00000000
            USD
            2021-08-04
            -363.64000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1797.77000000
        -0.00042170629
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1199565.77000000
            EUR
            1422386.31000000
            USD
            2021-09-15
            -1797.77000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        12261.53000000
        0.002876210211
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            536477.15000000
            USD
            40195550.76000000
            RUB
            2021-08-18
            12261.53000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2503.08000000
        -0.00058715219
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            361983.65000000
            USD
            516065.25000000
            NZD
            2021-09-15
            -2503.08000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215957  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215957  IRS USD P F  1.25000 2 CCPVANILLA
        000000000
        
          
        
        4330000.00000000
        OU
        Notional Amount
        USD
        442722.84000000
        0.103850331344
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-09-15
            611037.48000000
            USD
            0.00000000
            USD
            4330000.00000000
            USD
            -168314.64000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2019-3 Trust
        949831AA9
        
          
        
        65401.24000000
        PA
        USD
        66068.43000000
        0.015497796198
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PTMSLUSZA202108051405 PUT USD ZAR 14.05 AUG21
        000000000
        
          
        
        1453000.00000000
        OU
        Notional Amount
        USD
        49.40000000
        0.000011587851
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Put
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    49.40000000
                    0.00000000
                    DFE
                    
                    US
                  
                  20414650.00000000
                  ZAR
                  1453000.00000000
                  USD
                  2021-08-05
                
              
            
            1.00000000
            14.05000000
            USD
            2021-08-05
            XXXX
            -10054.76000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9033.62000000
        -0.00211903327
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            346811.00000000
            USD
            460187.97000000
            AUD
            2021-09-15
            -9033.62000000
          
        
        
          N
          N
          N
        
      
      
        AEROPORTI DI ROMA SPA
        8156007259ABDEA3F444
        Aeroporti di Roma SpA
        000000000
        
          
        
        250000.00000000
        PA
        
        316114.13000000
        0.074151487515
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2029-02-02
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6628.90000000
        -0.00155495357
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            341936.86000000
            USD
            241203.18000000
            GBP
            2021-09-15
            -6628.90000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215864  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR215864  IRS GBP P F  1.00000 2 CCPOIS
        000000000
        
          
        
        6490000.00000000
        OU
        Notional Amount
        
        -127861.10000000
        -0.02999261931
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-02-10
            0.00000000
            GBP
            -13924.13000000
            GBP
            6490000.00000000
            GBP
            -108226.41000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215654  IRS EUR R F   .50000 2 CCPVANILLA / Short: SR215654  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        8820000.00000000
        OU
        Notional Amount
        
        182759.35000000
        0.042870205327
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-02-12
            83988.34000000
            EUR
            0.00000000
            EUR
            8820000.00000000
            EUR
            82238.52000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1125.41000000
        -0.00026398954
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1062973.40000000
            USD
            1446836.48000000
            AUD
            2021-08-20
            -1125.41000000
          
        
        
          N
          N
          N
        
      
      
        HILLENBRAND INC
        U246OE781574J2BUD366
        Hillenbrand Inc
        431571AE8
        
          
        
        175000.00000000
        PA
        USD
        178060.75000000
        0.041768045865
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        1614.00000000
        0.000378599023
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            385506270.00000000
            CLP
            509447.11000000
            USD
            2021-08-12
            1614.00000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CC1
        
          
        
        300000.00000000
        PA
        USD
        307878.76000000
        0.072219701246
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-09-18
          Fixed
          2.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        560000.00000000
        PA
        
        818190.04000000
        0.191924380401
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2067-03-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007ZK0X40BI7UF30
        Freddie Mac STACR Remic Trust 2020-DNA2
        35565KBD9
        
          
        
        195000.00000000
        PA
        USD
        195312.94000000
        0.045814924603
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-25
          Floating
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3218.22000000
        -0.00075490393
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            143181.36000000
            USD
            1236399.68000000
            NOK
            2021-09-15
            -3218.22000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2016-GC36
        17324TAM1
        
          
        
        200000.00000000
        PA
        USD
        211920.74000000
        0.049710647563
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-10
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADLER GROUP SA
        391200OYYFJ3DWAMEC69
        ADLER Group SA
        000000000
        
          
        
        400000.00000000
        PA
        
        449248.81000000
        0.105381140432
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2029-01-14
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1893.55000000
        -0.00044417359
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            279736.00000000
            USD
            398866.72000000
            NZD
            2021-09-15
            -1893.55000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        CTHSBUSCA2021081312685 CALL USD CAD 1.2685 AUG21
        000000000
        
          
        
        -1455000.00000000
        OU
        Notional Amount
        USD
        -1543.76000000
        -0.00036212269
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            Call
            Written
            
              
                
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                  
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -1543.76000000
                    0.00000000
                    DFE
                    
                    CA
                  
                  -1455000.00000000
                  USD
                  -1845667.50000000
                  CAD
                  2021-08-13
                
              
            
            1.00000000
            1.26850000
            USD
            2021-08-13
            XXXX
            3087.51000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1584.38000000
        -0.00037165100
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1083580.98000000
            EUR
            140913205.00000000
            JPY
            2021-09-15
            -1584.38000000
          
        
        
          N
          N
          N
        
      
      
        MANITOWOC COMPANY INC
        2RTSLGQ89VMY18RHX631
        Manitowoc Co Inc/The
        563571AL2
        
          
        
        28000.00000000
        PA
        USD
        30246.44000000
        0.007094964461
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        CTHSBNZUS202107300709 CALL NZD USD 0.709 JUL21
        000000000
        
          
        
        4144000.00000000
        OU
        Notional Amount
        
        2.88000000
        0.000000675567
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            Call
            Purchased
            
              
                
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                  
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    2.88000000
                    0.00000000
                    DFE
                    
                    NZ
                  
                  2938096.00000000
                  USD
                  4144000.00000000
                  NZD
                  2021-07-30
                
              
            
            1.00000000
            0.70900000
            NZD
            2021-07-30
            XXXX
            -8009.66000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -5528.25000000
        -0.00129677202
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            369953.83000000
            CAD
            291000.00000000
            USD
            2021-08-16
            -5528.25000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2286.21000000
        -0.00053628059
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            142801.40000000
            USD
            2069906.29000000
            ZAR
            2021-09-15
            -2286.21000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        3293.25000000
        0.000772503862
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            440696.08000000
            CAD
            356521.38000000
            USD
            2021-09-15
            3293.25000000
          
        
        
          N
          N
          N
        
      
      
        1011778 BC / NEW RED FIN
        N/A
        1011778 BC ULC / New Red Finance Inc
        68245XAP4
        
          
        
        260000.00000000
        PA
        USD
        258572.60000000
        0.060653862327
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2029-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        755.82000000
        0.000177294122
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2917622.08000000
            NOK
            331037.00000000
            USD
            2021-09-15
            755.82000000
          
        
        
          N
          N
          N
        
      
      
        GAZPROM PJSC (GAZ FN)
        213800UNP9N6BPNYMQ45
        Gazprom PJSC via Gaz Finance PLC
        000000000
        
          
        
        230000.00000000
        PA
        USD
        229160.50000000
        0.053754610573
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2030-02-25
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        2671.96000000
        0.000626766695
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            442703.39000000
            CAD
            357509.00000000
            USD
            2021-09-15
            2671.96000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBT7
        
          
        
        5800000.00000000
        PA
        USD
        5824921.90000000
        1.366362913125
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-03-31
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        36700.58000000
        0.008608924250
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1780257.50000000
            EUR
            2150310.73000000
            USD
            2021-09-15
            36700.58000000
          
        
        
          N
          N
          N
        
      
      
        EUROPEAN UNION
        529900FZRK8FGMPEOM08
        European Union
        000000000
        
          
        
        190000.00000000
        PA
        
        231797.42000000
        0.054373157869
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2026-07-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        24128.78000000
        0.005659933420
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3027329.35000000
            EUR
            3618324.59000000
            USD
            2021-09-15
            24128.78000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        327.25000000
        0.000076763649
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            632569.00000000
            USD
            5446374.81000000
            SEK
            2021-09-15
            327.25000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        3035.54000000
        0.000712052341
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            744396.48000000
            BRL
            145800.00000000
            USD
            2021-08-12
            3035.54000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XAH3
        
          
        
        83015.15000000
        PA
        USD
        83468.00000000
        0.019579246141
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          3.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARCELORMITTAL
        2EULGUTUI56JI9SAL165
        ArcelorMittal SA
        03938LBC7
        
          
        
        155000.00000000
        PA
        USD
        174918.24000000
        0.041030901369
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2029-07-16
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OVINTIV INC
        N/A
        Ovintiv Inc
        292505AD6
        
          
        
        135000.00000000
        PA
        USD
        179852.37000000
        0.042188309547
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        9128.95000000
        0.002141395014
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            593933.37000000
            EUR
            714276.15000000
            USD
            2021-09-15
            9128.95000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1575.68000000
        0.000369610228
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            422175.33000000
            USD
            356918.19000000
            EUR
            2021-09-15
            1575.68000000
          
        
        
          N
          N
          N
        
      
      
        Harben Finance
        213800J7WLPUU61CJY65
        Harben Finance 2017-1 PLC
        000000000
        
          
        
        518690.32000000
        PA
        
        721747.13000000
        0.169301585157
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-08-20
          Floating
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        5887.56000000
        0.001381056050
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1805471.17000000
            ZAR
            128686.47000000
            USD
            2021-08-31
            5887.56000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1257.22000000
        -0.00029490846
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            343186.94000000
            USD
            288001.53000000
            EUR
            2021-09-15
            -1257.22000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9638.63000000
        -0.00226095161
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1161811.00000000
            USD
            1654042.46000000
            NZD
            2021-09-15
            -9638.63000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SL3
        
          
        
        1100000.00000000
        PA
        USD
        1121871.09000000
        0.263159416898
        Long
        DBT
        UST
        US
        N
        
        2
        
          2050-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DO BRASIL (CAYMAN)
        QE0Q0253K88YAGNPE356
        Banco do Brasil SA/Cayman
        000000000
        
          
        
        240000.00000000
        PA
        USD
        242102.40000000
        0.056790416458
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2024-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFRICAN EXPORT-IMPORT BA
        21380068LJCDYA42GJ76
        African Export-Import Bank/The
        00831TAB7
        
          
        
        200000.00000000
        PA
        USD
        203814.80000000
        0.047809221934
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2026-05-17
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBF5
        
          
        
        200000.00000000
        PA
        USD
        221840.26000000
        0.052037488073
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412UQ94
        
          
        
        1043.76000000
        PA
        USD
        1181.71000000
        0.000277195942
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCRIPPS ESCROW INC
        N/A
        Scripps Escrow Inc
        81104PAA7
        
          
        
        26000.00000000
        PA
        USD
        26910.00000000
        0.006312329439
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANPACK SA EASTERN LAND
        N/A
        CANPACK SA / Eastern PA Land Investment Holding LLC
        000000000
        
          
        
        200000.00000000
        PA
        
        243838.32000000
        0.057197614485
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2027-11-01
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        000000000
        
          
        
        200000.00000000
        PA
        USD
        202000.00000000
        0.047383520876
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        5478.28000000
        0.001285050469
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1220705.27000000
            NOK
            143664.78000000
            USD
            2021-09-15
            5478.28000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1808.09000000
        0.000424127080
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144780.92000000
            USD
            1262902.68000000
            TRY
            2021-09-15
            1808.09000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        4820000.00000000
        PA
        
        6314276.05000000
        1.481151638780
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2027-04-30
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2954.29000000
        0.000692993375
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            365808.00000000
            USD
            7383128.47000000
            MXN
            2021-09-15
            2954.29000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216032  IRS CHF R F   .00000 CCPVANILLA / Short: SR216032  IRS CHF P V 06MLIBOR CCPVANILLA
        000000000
        
          
        
        150000.00000000
        OU
        Notional Amount
        
        -305.82000000
        -0.00007173677
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-09-15
            0.00000000
            CHF
            -347.45000000
            CHF
            150000.00000000
            CHF
            75.87000000
          
        
        
          N
          N
          N
        
      
      
        SPCM SA
        969500F7036FEDYPRV54
        SPCM SA
        000000000
        
          
        
        275000.00000000
        PA
        
        335167.43000000
        0.078620856022
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2029-02-01
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -12358.92000000
        -0.00289905516
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            155535.56000000
            USD
            108688249.00000000
            CLP
            2021-08-12
            -12358.92000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AU2
        
          
        
        300000.00000000
        PA
        USD
        313016.51000000
        0.073424872951
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2032-05-14
          Fixed
          3.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS03542A SWAPTION US0003M V1
        000000000
        
          
        
        -33450000.00000000
        NC
        USD
        -135439.05000000
        -0.03177019333
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    33450000.00000000
                    OU
                    Notional Amount
                    N/A
                    -135439.05000000
                    -0.03000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2025-04-22
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  33450000.00000000
                  USD
                
              
            
            1.00000000
            0.63000000
            USD
            2022-04-20
            XXXX
            -1181.23000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        2570.02000000
        0.000602854437
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            488753.43000000
            NZD
            343025.73000000
            USD
            2021-09-15
            2570.02000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2373.41000000
        0.000556735258
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            152477.76000000
            USD
            11342973.04000000
            RUB
            2021-08-18
            2373.41000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215701  IRS USD R F  2.20900 2 CCPVANILLA / Short: SR215701  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        6060000.00000000
        OU
        Notional Amount
        USD
        137498.25000000
        0.032253223759
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-02-25
            0.00000000
            USD
            -43194.57000000
            USD
            6060000.00000000
            USD
            180692.82000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -9166.40000000
        -0.00215017973
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1231268.57000000
            EUR
            1452656.82000000
            USD
            2021-09-15
            -9166.40000000
          
        
        
          N
          N
          N
        
      
      
        IRISH TSY 0.2% 2030
        549300KXBEJAOJ9OVF93
        Ireland Government Bond
        000000000
        
          
        
        320000.00000000
        PA
        
        392213.93000000
        0.092002361089
        Long
        DBT
        NUSS
        IE
        N
        
        2
        
          2030-10-18
          Fixed
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -2725.18000000
        -0.00063925061
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            449566.43000000
            CAD
            357612.75000000
            USD
            2021-09-15
            -2725.18000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA3
        35565WBD3
        
          
        
        625000.00000000
        PA
        USD
        653562.56000000
        0.153307402008
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -17547.33000000
        -0.00411611028
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            188145681.00000000
            JPY
            1698032.00000000
            USD
            2021-09-15
            -17547.33000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -1185.72000000
        -0.00027813657
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            106648.96000000
            CHF
            116677.00000000
            USD
            2021-09-15
            -1185.72000000
          
        
        
          N
          N
          N
        
      
      
        CELLNEX FINANCE CO SA
        549300OUROMFTRFA7T23
        Cellnex Finance Co SA
        000000000
        
          
        
        200000.00000000
        PA
        
        235157.82000000
        0.055161413233
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2029-01-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        549300664283JRAXM588
        BANK 2018-BNK13
        06539LAJ9
        
          
        
        300000.00000000
        PA
        USD
        274589.79000000
        0.064411044786
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Austria
        529900QWWUI4XRVR7I03
        Republic of Austria Government Bond
        000000000
        
          
        
        1100000.00000000
        PA
        
        1891655.57000000
        0.443729213820
        Long
        DBT
        NUSS
        AT
        N
        
        2
        
          2086-11-02
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -2434.25000000
        -0.00057100661
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2373161.81000000
            CNY
            364625.00000000
            USD
            2021-08-04
            -2434.25000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416VJD7
        
          
        
        18067.62000000
        PA
        USD
        21450.20000000
        0.005031613858
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PEE4
        
          
        
        150000.00000000
        PA
        USD
        151351.50000000
        0.035502806732
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2060-01-30
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -8216.18000000
        -0.00192728483
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            298871.35000000
            EUR
            104906832.56000000
            HUF
            2021-09-15
            -8216.18000000
          
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        000000000
        
          
        
        200000.00000000
        PA
        USD
        217900.00000000
        0.051113213856
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2024-03-28
          Fixed
          8.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215739  IRS CAD R F   .80400 2 CCPVANILLA / Short: SR215739  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        80520000.00000000
        OU
        Notional Amount
        
        5035.40000000
        0.001181163272
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-02-28
            11814.33000000
            CAD
            0.00000000
            CAD
            80520000.00000000
            CAD
            -4155.75000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -12716.46000000
        -0.00298292399
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2542736.22000000
            TRY
            282426.77000000
            USD
            2021-09-15
            -12716.46000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -48667.05000000
        -0.01141592168
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1610367.64000000
            USD
            1948412.80000000
            CAD
            2021-08-20
            -48667.05000000
          
        
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        CAN 10YR BOND FUT SEP21
        000000000
        
          
        
        13.00000000
        NC
        
        43740.76000000
        0.010260352547
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Long
            
              
                10 Year Canadian Bond
                CNU1 Comdty
              
            
            2021-09-21
            1869559.03000000
            CAD
            43740.76000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216044  IRS SEK R F   .50000 2 CCPVANILLA / Short: SR216044  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        100170000.00000000
        OU
        Notional Amount
        
        149463.97000000
        0.035060045261
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-09-15
            1007460.05000000
            SEK
            0.00000000
            SEK
            100170000.00000000
            SEK
            32975.89000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2807.61000000
        0.000658586371
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            606098.95000000
            USD
            512923.78000000
            EUR
            2021-09-10
            2807.61000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        439.75000000
        0.000103152986
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            755077.41000000
            BRL
            145416.93000000
            USD
            2021-08-03
            439.75000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -231.33000000
        -0.00005426351
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            362982.07000000
            USD
            39782471.00000000
            JPY
            2021-09-15
            -231.33000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -215.13000000
        -0.00005046344
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            175420.00000000
            USD
            251521.65000000
            NZD
            2021-09-15
            -215.13000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        397.11000000
        0.000093150841
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            239903.95000000
            EUR
            285223.00000000
            USD
            2021-09-15
            397.11000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        560.99000000
        0.000131592482
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            5833401.37000000
            MXN
            291919.66000000
            USD
            2021-09-15
            560.99000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -838.34000000
        -0.00019665099
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            26936472.00000000
            JPY
            244778.00000000
            USD
            2021-09-15
            -838.34000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -82142.48000000
        -0.01926831641
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            918173502.00000000
            JPY
            8289525.14000000
            USD
            2021-09-07
            -82142.48000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        N/A
        SLM Student Loan Trust 2003-1
        78442GFK7
        
          
        
        1162204.96000000
        PA
        USD
        1115364.61000000
        0.261633179616
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-12-15
          Floating
          0.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1279.89000000
        -0.00030022621
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            260050.17000000
            USD
            371486.98000000
            NZD
            2021-09-15
            -1279.89000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT SEP21
        000000000
        
          
        
        68.00000000
        NC
        USD
        562138.63000000
        0.131861918366
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Ultra Long Bond
                WNU1 Comdty
              
            
            2021-09-21
            13005986.37000000
            USD
            562138.63000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -743.72000000
        -0.00017445580
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            40210192.00000000
            JPY
            308197.29000000
            EUR
            2021-09-15
            -743.72000000
          
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY PARTNERS
        549300WH1375KZXLJ231
        Valero Energy Partners LP
        91914JAA0
        
          
        
        300000.00000000
        PA
        USD
        341649.48000000
        0.080141362712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAN1
        
          
        
        364000.00000000
        PA
        USD
        397454.56000000
        0.093231665550
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MSCI INC
        549300HTIN2PD78UB763
        MSCI Inc
        55354GAK6
        
          
        
        165000.00000000
        PA
        USD
        173456.25000000
        0.040687959618
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6764.42000000
        0.001586742753
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            899402.00000000
            USD
            7797995.22000000
            SEK
            2021-09-15
            6764.42000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216005  IRS CAD R F  1.75000 2 CCPVANILLA / Short: SR216005  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        6250000.00000000
        OU
        Notional Amount
        
        -492887.19000000
        -0.11561747750
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2051-09-15
            0.00000000
            CAD
            -761632.73000000
            CAD
            6250000.00000000
            CAD
            130739.19000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        549300R1KUK063S4I339
        Citigroup Mortgage Loan Trust Inc
        17307GP77
        
          
        
        110000.00000000
        PA
        USD
        110117.71000000
        0.025830518864
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          0.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216243  IRS EUR R F   .50000 2 CCPVANILLA / Short: SR216243  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        6490000.00000000
        OU
        Notional Amount
        
        105925.69000000
        0.024847188828
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-09-16
            11593.72000000
            EUR
            0.00000000
            EUR
            6490000.00000000
            EUR
            92231.24000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAK7
        
          
        
        75000.00000000
        PA
        USD
        75680.90000000
        0.017752611411
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215941  IRS CNY R F  2.50000 CCPVANILLA / Short: SR215941  IRS CNY P V 03MLIBOR CCPVANILLA
        000000000
        
          
        
        69876603.00000000
        OU
        Notional Amount
        
        33882.51000000
        0.007947884257
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-09-15
            81562.21000000
            CNY
            0.00000000
            CNY
            69876603.00000000
            CNY
            21284.00000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3133.68000000
        0.000735073226
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1241679.13000000
            USD
            8075694.81000000
            CNY
            2021-09-15
            3133.68000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -649.93000000
        -0.00015245530
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            118766.50000000
            GBP
            164453.00000000
            USD
            2021-09-15
            -649.93000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -857.61000000
        -0.00020117119
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1072291.98000000
            USD
            902450.75000000
            EUR
            2021-09-15
            -857.61000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UMM1
        
          
        
        2868599.86000000
        PA
        USD
        3054843.22000000
        0.716580334101
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -13942.46000000
        -0.00327050913
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            302353.00000000
            USD
            392930.57000000
            AUD
            2021-09-15
            -13942.46000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        4242.52000000
        0.000995175915
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            5028374.08000000
            ZAR
            345592.72000000
            USD
            2021-09-15
            4242.52000000
          
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        6380000.00000000
        PA
        
        8131133.90000000
        1.907335410388
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2022-11-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -13726.09000000
        -0.00321975481
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1676973.06000000
            USD
            33300492.56000000
            MXN
            2021-09-15
            -13726.09000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213187  IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187  IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
        000000000
        
          
        
        8360000.00000000
        OU
        Notional Amount
        USD
        -411.73000000
        -0.00009658028
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            2207.63000000
            USD
            0.00000000
            USD
            8360000.00000000
            USD
            -2619.36000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        1793.40000000
        0.000420681219
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            455028.86000000
            AUD
            335784.00000000
            USD
            2021-09-15
            1793.40000000
          
        
        
          N
          N
          N
        
      
      
        Lehman XS Trust
        N/A
        Lehman XS Trust Series 2007-7N
        52524GAC6
        
          
        
        246395.87000000
        PA
        USD
        225552.38000000
        0.052908247061
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-25
          Floating
          0.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        8136.92000000
        0.001908692666
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            111726234.00000000
            CLP
            155315.54000000
            USD
            2021-08-12
            8136.92000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS03642A SWAPTION EUR006M
        000000000
        
          
        
        4170000.00000000
        NC
        
        365.07000000
        0.000085635158
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    4170000.00000000
                    OU
                    Notional Amount
                    N/A
                    365.07000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-08-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4170000.00000000
                  EUR
                
              
            
            1.00000000
            -0.16500000
            EUR
            2021-08-19
            XXXX
            -19432.70000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4046.73000000
        0.000949249086
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            728155.19000000
            USD
            616721.09000000
            EUR
            2021-09-15
            4046.73000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        870.58000000
        0.000204213592
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            366268.53000000
            USD
            5305765925.58000000
            IDR
            2021-08-16
            870.58000000
          
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PP EUR HOLD
        213800Y3B5GQFBGVHP79
        Blackstone Property Partners Europe Holdings Sarl
        000000000
        
          
        
        350000.00000000
        PA
        
        437856.54000000
        0.102708834177
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2029-03-12
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6ZQ4
        
          
        
        57123.52000000
        PA
        USD
        65152.20000000
        0.015282874400
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS03650A SWAPTION EUR006M
        000000000
        
          
        
        7550000.00000000
        NC
        
        722.77000000
        0.000169541521
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    7550000.00000000
                    OU
                    Notional Amount
                    N/A
                    722.77000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-08-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7550000.00000000
                  EUR
                
              
            
            1.00000000
            -0.16500000
            EUR
            2021-08-20
            XXXX
            -33434.74000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) SEP21
        000000000
        
          
        
        256.00000000
        NC
        USD
        23949.74000000
        0.005617935669
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                2 Year US Treasury Note
                TUU1 Comdty
              
            
            2021-09-30
            56464050.26000000
            USD
            23949.74000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215974  IRS EUR R V 12MLIBOR CCPVANILLA / Short: BR215974  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        9200000.00000000
        OU
        Notional Amount
        
        6225.06000000
        0.001460224061
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-09-15
            54189.09000000
            EUR
            0.00000000
            EUR
            9200000.00000000
            EUR
            -59786.41000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        834.52000000
        0.000195754929
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            149360.48000000
            NZD
            104876.00000000
            USD
            2021-09-15
            834.52000000
          
        
        
          N
          N
          N
        
      
      
        ABN AMRO BANK NV
        BFXS5XCH7N0Y05NIXW11
        ABN AMRO Bank NV
        00084DAU4
        
          
        
        500000.00000000
        PA
        USD
        500795.41000000
        0.117472523586
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2027-06-16
          Fixed
          1.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        7815.04000000
        0.001833188668
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3141834.00000000
            NOK
            363477.49000000
            USD
            2021-09-15
            7815.04000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1280.81000000
        0.000300442016
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            352832.32000000
            USD
            38835194.00000000
            JPY
            2021-09-15
            1280.81000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1056.54000000
        0.000247834579
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            145284.47000000
            USD
            10719596.69000000
            RUB
            2021-08-18
            1056.54000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        90DAY EUR FUTR DEC23
        000000000
        
          
        
        -33.00000000
        NC
        USD
        4137.95000000
        0.000970646733
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                Eurodollar Time Deposit
                EDZ3 Comdty
              
            
            2023-12-18
            -8179475.45000000
            USD
            4137.95000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9520.04000000
        -0.00223313373
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            355766.62000000
            USD
            471726.40000000
            AUD
            2021-09-15
            -9520.04000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -3304.85000000
        -0.00077522489
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1043959.46000000
            NZD
            723896.10000000
            USD
            2021-09-15
            -3304.85000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -246.88000000
        -0.00005791110
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            193214.80000000
            EUR
            229123.96000000
            USD
            2021-09-10
            -246.88000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCR0
        
          
        
        12380000.00000000
        PA
        USD
        12370328.13000000
        2.901731194030
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-07-31
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        113.02000000
        0.000026511314
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            202734.00000000
            USD
            253076.91000000
            CAD
            2021-09-15
            113.02000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7550.93000000
        -0.00177123588
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            143492.99000000
            USD
            1200878.48000000
            NOK
            2021-09-15
            -7550.93000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4590.75000000
        0.001076860883
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3190883.45000000
            NOK
            308111.86000000
            EUR
            2021-09-15
            4590.75000000
          
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBZ1
        
          
        
        750000.00000000
        PA
        USD
        793461.50000000
        0.186123760147
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-21
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        -197.66000000
        -0.00004636547
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            810532.56000000
            SGD
            597969.39000000
            USD
            2021-09-15
            -197.66000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216068  IRS NZD R F  1.25000 2 CCPVANILLA / Short: SR216068  IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        8100000.00000000
        OU
        Notional Amount
        
        -61134.45000000
        -0.01434042320
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-09-15
            0.00000000
            NZD
            -45857.40000000
            NZD
            8100000.00000000
            NZD
            -28929.08000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216386  IRS AUD R V 06MBBSW 1 CCPVANILLA / Short: BR216386  IRS AUD P F  2.00000 2 CCPVANILLA
        000000000
        
          
        
        6680000.00000000
        OU
        Notional Amount
        
        -11298.94000000
        -0.00265041366
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-09-17
            5893.60000000
            AUD
            0.00000000
            AUD
            6680000.00000000
            AUD
            -15774.96000000
          
        
        
          N
          N
          N
        
      
      
        ELECTRICITE DE FRANCE SA
        549300X3UK4GG3FNMO06
        Electricite de France SA
        000000000
        
          
        
        600000.00000000
        PA
        
        741999.04000000
        0.174052113871
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-12-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JX62
        
          
        
        570000.00000000
        PA
        USD
        606542.70000000
        0.142277864791
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2050-05-29
          Fixed
          8.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAH3
        
          
        
        130000.00000000
        PA
        USD
        134925.70000000
        0.031649775854
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2031-02-14
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -379.47000000
        -0.00008901299
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            141135.83000000
            EUR
            167184.00000000
            USD
            2021-09-15
            -379.47000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03895A SWAPTION SONIO SEP22 0.300 CALL
        000000000
        
          
        
        15030000.00000000
        NC
        
        26373.70000000
        0.006186528537
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    15030000.00000000
                    OU
                    Notional Amount
                    N/A
                    26373.70000000
                    0.01000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  15030000.00000000
                  GBP
                
              
            
            1.00000000
            0.30000000
            GBP
            2022-09-08
            XXXX
            -2879.19000000
          
        
        
          N
          N
          N
        
      
      
        LPL HOLDINGS INC
        549300Z5YF8CCRMYUL26
        LPL Holdings Inc
        50212YAD6
        
          
        
        170000.00000000
        PA
        USD
        172550.00000000
        0.040475378847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3404.37000000
        0.000798569489
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1117927.05000000
            PLN
            247318.05000000
            EUR
            2021-09-15
            3404.37000000
          
        
        
          N
          N
          N
        
      
      
        BUNDESREPUB. DEUTSCHLAND
        529900AQBND3S6YJLY83
        Bundesrepublik Deutschland Bundesanleihe
        000000000
        
          
        
        160000.00000000
        PA
        
        254806.77000000
        0.059770504483
        Long
        DBT
        NUSS
        DE
        N
        
        2
        
          2048-08-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        1100000.00000000
        PA
        
        1093445.50000000
        0.256491572655
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2033-04-21
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Western Digital Corp
        549300QQXOOYEF89IC56
        Western Digital Corp
        958102AM7
        
          
        
        155000.00000000
        PA
        USD
        172050.00000000
        0.040358092904
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        1640000.00000000
        PA
        
        2562299.77000000
        0.601043488331
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2026-07-30
          Fixed
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5657.90000000
        0.001327184271
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            365409.91000000
            USD
            27181016.16000000
            RUB
            2021-08-18
            5657.90000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        44105.37000000
        0.010345879802
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3086361.98000000
            USD
            343370424.00000000
            JPY
            2021-08-26
            44105.37000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GDUL4
        
          
        
        255309.86000000
        PA
        USD
        291175.33000000
        0.068301546176
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3435.22000000
        -0.00080580603
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            670142.91000000
            USD
            561556.43000000
            EUR
            2021-09-15
            -3435.22000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876AAB9
        
          
        
        225000.00000000
        PA
        USD
        224999.96000000
        0.052778664860
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-06-25
          Floating
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTESA SANPAOLO SPA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        000000000
        
          
        
        350000.00000000
        PA
        
        422707.19000000
        0.099155222583
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2031-02-24
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        1220000.00000000
        PA
        
        1747477.10000000
        0.409908998260
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2027-10-25
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQT CORP
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAN9
        
          
        
        245000.00000000
        PA
        USD
        259504.00000000
        0.060872342581
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS03629A SWAPTION RUR006M
        000000000
        
          
        
        -2350000.00000000
        NC
        
        -1817.57000000
        -0.00042635082
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    2350000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1817.57000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-11-22
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2350000.00000000
                  EUR
                
              
            
            1.00000000
            -0.07500000
            EUR
            2021-11-18
            XXXX
            10250.97000000
          
        
        
          N
          N
          N
        
      
      
        SASOL FINANCING INT
        N/A
        Sasol Financing International Ltd
        803865AA2
        
          
        
        200000.00000000
        PA
        USD
        204600.00000000
        0.047993407778
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2022-11-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        1630.74000000
        0.000382525756
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            418561044.00000000
            KRW
            365125.00000000
            USD
            2021-08-06
            1630.74000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBJ9
        
          
        
        440000.00000000
        PA
        USD
        434603.13000000
        0.101945675659
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-01-31
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216410  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR216410  IRS EUR P F   .61000 2 CCPVANILLA
        000000000
        
          
        
        6300000.00000000
        OU
        Notional Amount
        
        17004.32000000
        0.003988735404
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2041-07-22
            22211.68000000
            EUR
            0.00000000
            EUR
            6300000.00000000
            EUR
            -9232.96000000
          
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAG5
        
          
        
        550000.00000000
        PA
        USD
        609907.89000000
        0.143067243754
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-02-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7226.48000000
        0.001695129039
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1453713.21000000
            USD
            1230524.39000000
            EUR
            2021-09-15
            7226.48000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CZK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3520.23000000
        0.000825746988
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            365806.40000000
            USD
            7944656.56000000
            CZK
            2021-09-15
            3520.23000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03276A SWAPTION US0003M
        000000000
        
          
        
        -13340000.00000000
        NC
        USD
        -1427.38000000
        -0.00033482321
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    13340000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1427.38000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-08-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  13340000.00000000
                  USD
                
              
            
            1.00000000
            1.00600000
            USD
            2021-08-10
            XXXX
            25252.62000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6615.55000000
        0.001551822037
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144569.16000000
            USD
            1302495.85000000
            TRY
            2021-09-15
            6615.55000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7538.54000000
        -0.00176832954
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            330188.68000000
            USD
            402546.23000000
            CAD
            2021-09-15
            -7538.54000000
          
        
        
          N
          N
          N
        
      
      
        London Wall Mortgage Capital
        213800QSO8J75OTK5919
        London Wall Mortgage Capital PLC
        000000000
        
          
        
        386198.20000000
        PA
        
        537950.67000000
        0.126188102981
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2049-11-15
          Floating
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215993  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR215993  IRS GBP P F  1.00000 2 CCPOIS
        000000000
        
          
        
        300000.00000000
        OU
        Notional Amount
        
        -42540.13000000
        -0.00997871850
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-09-15
            0.00000000
            GBP
            -8667.67000000
            GBP
            300000.00000000
            GBP
            -30308.25000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8246.46000000
        -0.00193438767
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            143866.61000000
            USD
            1198034.81000000
            NOK
            2021-09-15
            -8246.46000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        2330.86000000
        0.000546754225
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            288461.54000000
            EUR
            344806.73000000
            USD
            2021-09-15
            2330.86000000
          
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        1020000.00000000
        PA
        
        2861505.04000000
        0.671228632675
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2068-07-22
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        000000000
        
          
        
        200000.00000000
        PA
        USD
        210450.64000000
        0.049365803434
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-21
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -2119.10000000
        -0.00049708128
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3151426.06000000
            MXN
            155283.97000000
            USD
            2021-09-15
            -2119.10000000
          
        
        
          N
          N
          N
        
      
      
        MATTEL INC
        549300VELLG24KHTJ564
        Mattel Inc
        577081BD3
        
          
        
        160000.00000000
        PA
        USD
        175400.00000000
        0.041143908721
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -212.44000000
        -0.00004983245
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            297524.22000000
            NZD
            207072.69000000
            USD
            2021-08-03
            -212.44000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2647.46000000
        -0.00062101968
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            142262.06000000
            USD
            2056639.92000000
            ZAR
            2021-09-15
            -2647.46000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGZ6
        
          
        
        1000000.00000000
        PA
        USD
        1076701.69000000
        0.252563945572
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-23
          Fixed
          3.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        156700BA3
        
          
        
        143000.00000000
        PA
        USD
        160834.96000000
        0.037727359825
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -6840.21000000
        -0.00160452095
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            295971.36000000
            EUR
            1327194.77000000
            PLN
            2021-09-15
            -6840.21000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7027.16000000
        0.001648374171
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144028.81000000
            USD
            1301386.72000000
            TRY
            2021-09-15
            7027.16000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        5493000F4ZO33MV32P92
        Long: SR216461  IRS BRL R F  7.96000 CCPNDFPREDISWAP / Short: SR216461  IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
        000000000
        
          
        
        2500000.00000000
        OU
        Notional Amount
        
        -2999.33000000
        -0.00070355849
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-02
            0.00000000
            BRL
            0.00000000
            BRL
            2500000.00000000
            BRL
            -2999.33000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUXL 30Y BND SEP21
        000000000
        
          
        
        -3.00000000
        NC
        
        -6951.42000000
        -0.00163060769
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                Euro-Buxl (FGBX)
                UBU1 Comdty
              
            
            2021-09-08
            -639260.00000000
            EUR
            -6951.42000000
          
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        3030000.00000000
        PA
        
        6421094.54000000
        1.506208253389
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2045-01-22
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216253  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR216253  IRS USD P F   .45000 2 CCPVANILLA
        000000000
        
          
        
        35720000.00000000
        OU
        Notional Amount
        USD
        -43463.38000000
        -0.01019528699
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-06-15
            0.00000000
            USD
            -497.17000000
            USD
            35720000.00000000
            USD
            -42966.21000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216064  IRS NZD R F   .50000 2 CCPVANILLA / Short: SR216064  IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        105610000.00000000
        OU
        Notional Amount
        
        -295263.11000000
        -0.06926042443
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-09-15
            0.00000000
            NZD
            -441359.27000000
            NZD
            105610000.00000000
            NZD
            12698.73000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF IRELAND GROUP
        635400C8EK6DRI12LJ39
        Bank of Ireland Group PLC
        000000000
        
          
        
        600000.00000000
        PA
        
        713634.40000000
        0.167398566784
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2031-08-11
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        CTMSLUSZA202108051490 CALL USD ZAR 14.90 AUG21
        000000000
        
          
        
        -1453000.00000000
        OU
        Notional Amount
        USD
        -2474.46000000
        -0.00058043874
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -2474.46000000
                    0.00000000
                    DFE
                    
                    ZA
                  
                  -1453000.00000000
                  USD
                  -21649700.00000000
                  ZAR
                  2021-08-05
                
              
            
            1.00000000
            14.90000000
            USD
            2021-08-05
            XXXX
            4499.94000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Alternative Loan Trust
        N/A
        Wells Fargo Alternative Loan 2007-PA6 Trust
        94985KAA5
        
          
        
        158836.02000000
        PA
        USD
        156327.76000000
        0.036670097423
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-12-28
          Variable
          2.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1324.43000000
        -0.00031067404
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            298765.67000000
            EUR
            507314.56000000
            NZD
            2021-09-15
            -1324.43000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4325.13000000
        0.001014553899
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            106692287.03000000
            HUF
            300562.82000000
            EUR
            2021-09-15
            4325.13000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -8811.37000000
        -0.00206689967
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            298331.48000000
            EUR
            470549.29000000
            AUD
            2021-09-15
            -8811.37000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -4924.93000000
        -0.00115525011
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7986246.48000000
            CZK
            308557.77000000
            EUR
            2021-09-15
            -4924.93000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3671.61000000
        -0.00086125648
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            649310.04000000
            USD
            926709.37000000
            NZD
            2021-08-03
            -3671.61000000
          
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        55342UAJ3
        
          
        
        300000.00000000
        PA
        USD
        322950.00000000
        0.075754990430
        Long
        DBT
        
        US
        N
        
        2
        
          2029-08-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -68230.74000000
        -0.01600501333
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1675449.64000000
            USD
            13830887.03000000
            SEK
            2021-09-15
            -68230.74000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216417  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR216417  IRS USD P F   .50000 2 CCPVANILLA
        000000000
        
          
        
        72210000.00000000
        OU
        Notional Amount
        USD
        -48355.43000000
        -0.01134282439
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-09-21
            0.00000000
            USD
            -29047.27000000
            USD
            72210000.00000000
            USD
            -19308.16000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -887.27000000
        -0.00020812859
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            111217098.97000000
            HUF
            308764.85000000
            EUR
            2021-09-15
            -887.27000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -2561.86000000
        -0.00060094033
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            437564.20000000
            CAD
            348156.00000000
            USD
            2021-09-15
            -2561.86000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        1494.60000000
        0.000350591140
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            438000.72000000
            NZD
            306597.00000000
            USD
            2021-09-15
            1494.60000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR215887  IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR215887  IRS BRL P F  8.49500 CCPNDFPREDISWAP
        000000000
        
          
        
        2800000.00000000
        OU
        Notional Amount
        
        1569.92000000
        0.000368259094
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-01-04
            0.00000000
            BRL
            -24918.11000000
            BRL
            2800000.00000000
            BRL
            6168.55000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5291.07000000
        -0.00124113626
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            148648.65000000
            USD
            2111777.05000000
            ZAR
            2021-09-15
            -5291.07000000
          
        
        
          N
          N
          N
        
      
      
        VEREIT OPERATING PARTNER
        5493005TQOUJE1LCS698
        VEREIT Operating Partnership LP
        92340LAD1
        
          
        
        650000.00000000
        PA
        USD
        739555.54000000
        0.173478937469
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITYCON OYJ
        549300P8N0P6KDGTJ206
        Citycon Oyj
        000000000
        
          
        
        675000.00000000
        PA
        
        800558.25000000
        0.187788458175
        Long
        DBT
        CORP
        FI
        N
        
        2
        
          2026-06-10
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216252  IRS CAD R F  1.10000 2 CCPVANILLA / Short: SR216252  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        39980000.00000000
        OU
        Notional Amount
        
        37330.80000000
        0.008756756144
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-06-15
            1422.64000000
            CAD
            0.00000000
            CAD
            39980000.00000000
            CAD
            36169.02000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-RC1
        95001FAC9
        
          
        
        150000.00000000
        PA
        USD
        141711.05000000
        0.033241428198
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WPC EUROBOND BV
        5493005XDMOLBARL5M14
        WPC Eurobond BV
        000000000
        
          
        
        700000.00000000
        PA
        
        871086.24000000
        0.204332341772
        Long
        DBT
        
        NL
        
        N
        
        2
        
          2028-04-15
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        173.59000000
        0.000040719333
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            110821608.67000000
            HUF
            308557.77000000
            EUR
            2021-09-15
            173.59000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -932.45000000
        -0.00021872655
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            334849.91000000
            USD
            281252.94000000
            EUR
            2021-09-15
            -932.45000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -4335.11000000
        -0.00101689492
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            500743.97000000
            GBP
            691772.79000000
            USD
            2021-09-15
            -4335.11000000
          
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CR5
        
          
        
        95000.00000000
        PA
        USD
        91437.50000000
        0.021448666782
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        CTHSBUSCA202108131271 CALL USD CAD 1.271 AUG21
        000000000
        
          
        
        -1455000.00000000
        OU
        Notional Amount
        USD
        -1239.66000000
        -0.00029078938
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            Call
            Written
            
              
                
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                  
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -1239.66000000
                    0.00000000
                    DFE
                    
                    CA
                  
                  -1455000.00000000
                  USD
                  -1849305.00000000
                  CAD
                  2021-08-13
                
              
            
            1.00000000
            1.27100000
            USD
            2021-08-13
            XXXX
            3698.61000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128284V9
        
          
        
        2980000.00000000
        PA
        USD
        3359717.20000000
        0.788095198438
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-08-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF IRELAND GROUP
        635400C8EK6DRI12LJ39
        Bank of Ireland Group PLC
        000000000
        
          
        
        375000.00000000
        PA
        
        446191.43000000
        0.104663965040
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2027-05-10
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        1100000.00000000
        PA
        
        1767227.96000000
        0.414541994731
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2066-05-25
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PTMSIUSBR202108104975 PUT USD BRL 4.975 AUG21
        000000000
        
          
        
        2911000.00000000
        OU
        Notional Amount
        USD
        2410.31000000
        0.000565390961
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Put
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    2410.31000000
                    0.00000000
                    DFE
                    
                    US
                  
                  14482225.00000000
                  BRL
                  2911000.00000000
                  USD
                  2021-08-10
                
              
            
            1.00000000
            4.97500000
            USD
            2021-08-10
            XXXX
            -22333.19000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        8599.51000000
        0.002017203275
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1989923.27000000
            ZAR
            143685.07000000
            USD
            2021-09-15
            8599.51000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -25346.71000000
        -0.00594562555
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            971743.08000000
            USD
            797133.40000000
            EUR
            2021-09-15
            -25346.71000000
          
        
        
          N
          N
          N
        
      
      
        Commerzbank AG
        851WYGNLUQLFZBSYGB56
        Commerzbank AG
        000000000
        
          
        
        300000.00000000
        PA
        
        404043.92000000
        0.094777344149
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-03-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        2450000.00000000
        PA
        
        5201646.04000000
        1.220159919442
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2041-04-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PIONEER NATURAL RESOURCE
        FY8JBF7CCL2VE4F1B628
        Pioneer Natural Resources Co
        723787AT4
        
          
        
        25000.00000000
        PA
        USD
        24854.43000000
        0.005830150508
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4517.82000000
        0.001059753555
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            145646.00000000
            USD
            1293700.60000000
            TRY
            2021-09-15
            4517.82000000
          
        
        
          N
          N
          N
        
      
      
        T-Mobile USA Inc
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264AAV7
        
          
        
        100000.00000000
        PA
        USD
        106305.00000000
        0.024936164290
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2021-6
        46653PAC1
        
          
        
        589268.21000000
        PA
        USD
        602158.45000000
        0.141249443001
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        1046.06000000
        0.000245376266
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1087690.55000000
            NOK
            124175.00000000
            USD
            2021-09-15
            1046.06000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -14073.02000000
        -0.00330113483
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            388759.46000000
            USD
            284431971.00000000
            CLP
            2021-08-12
            -14073.02000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        92459.33000000
        0.021688359372
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            19105073.74000000
            SEK
            2312565.36000000
            USD
            2021-09-15
            92459.33000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1060.79000000
        0.000248831510
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            441799.38000000
            USD
            1431084.06000000
            ILS
            2021-09-17
            1060.79000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1043.91000000
        -0.00024487193
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            111648999.01000000
            HUF
            309834.88000000
            EUR
            2021-09-15
            -1043.91000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        10166.70000000
        0.002384821988
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            295540.91000000
            EUR
            361047.55000000
            USD
            2021-09-15
            10166.70000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAC8
        
          
        
        210000.00000000
        PA
        USD
        220817.10000000
        0.051797483503
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        4778.78000000
        0.001120967435
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            257753.26000000
            CAD
            211374.00000000
            USD
            2021-09-15
            4778.78000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        2873.56000000
        0.000674056387
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            578724.79000000
            EUR
            689964.38000000
            USD
            2021-09-15
            2873.56000000
          
        
        
          N
          N
          N
        
      
      
        Jeld-Wen Inc
        549300XWE6NM0N1HFW16
        Jeld-Wen Inc
        475795AD2
        
          
        
        28000.00000000
        PA
        USD
        29050.00000000
        0.006814313274
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215962  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215962  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        27180000.00000000
        OU
        Notional Amount
        
        240634.95000000
        0.056446193944
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-09-15
            305799.53000000
            EUR
            0.00000000
            EUR
            27180000.00000000
            EUR
            -121611.69000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216465  IRS JPY R V 12MLIBOR CCPVANILLA / Short: BR216465  IRS JPY P F   .00000 CCPVANILLA
        000000000
        
          
        
        695060000.00000000
        OU
        Notional Amount
        
        16851.68000000
        0.003952930351
        N/A
        DIR
        
        JP
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-07-30
            2065365.00000000
            JPY
            0.00000000
            JPY
            695060000.00000000
            JPY
            -2018.73000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAF6
        
          
        
        400000.00000000
        PA
        USD
        437016.07000000
        0.102511683545
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-05-28
          Fixed
          3.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -178111.60000000
        -0.04177997384
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            6244988.62000000
            USD
            5110026.24000000
            EUR
            2021-09-15
            -178111.60000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        000000000
        
          
        
        200000.00000000
        PA
        
        253372.92000000
        0.059434163585
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-09-14
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        9000.31000000
        0.002111219687
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1582910.53000000
            SGD
            1177176.60000000
            USD
            2021-09-15
            9000.31000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4890.50000000
        -0.00114717380
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            142226.05000000
            USD
            1213188.21000000
            NOK
            2021-09-15
            -4890.50000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2017-P7
        17325HAA2
        
          
        
        125000.00000000
        PA
        USD
        107374.54000000
        0.025187048305
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-04-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2265.58000000
        -0.00053144137
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7909288.33000000
            CZK
            307784.35000000
            EUR
            2021-09-15
            -2265.58000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAB0
        
          
        
        50042.11000000
        PA
        USD
        52281.11000000
        0.012263678550
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-25
          Floating
          5.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2250.38000000
        -0.00052787587
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            298331.48000000
            EUR
            505245.24000000
            NZD
            2021-09-15
            -2250.38000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2C4
        
          
        
        250000.00000000
        PA
        USD
        267985.15000000
        0.062861781928
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-04-09
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASONITE INTERNATIONAL C
        549300H0H07ZFT4JYM32
        Masonite International Corp
        575385AE9
        
          
        
        175000.00000000
        PA
        USD
        176344.00000000
        0.041365344581
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2030-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTER-AMERICAN DEVEL BK
        VKU1UKDS9E7LYLMACP54
        Inter-American Development Bank
        458182BV3
        
          
        
        850000.00000000
        PA
        USD
        1061357.36000000
        0.248964597152
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2025-06-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        609.92000000
        0.000143070084
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            110777948.42000000
            HUF
            308803.77000000
            EUR
            2021-09-15
            609.92000000
          
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAZ4
        
          
        
        162000.00000000
        PA
        USD
        163215.00000000
        0.038285650296
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-01
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CELLNEX FINANCE
        549300OUROMFTRFA7T23
        Cellnex Finance Co SA
        15118JAA3
        
          
        
        200000.00000000
        PA
        USD
        203344.18000000
        0.047698827713
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2041-07-07
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        29278GAQ1
        
          
        
        425000.00000000
        PA
        USD
        425908.49000000
        0.099906157560
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2041-07-12
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -621.04000000
        -0.00014567852
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            364595.96000000
            USD
            493195.88000000
            SGD
            2021-09-15
            -621.04000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED PLN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7113.01000000
        -0.00166851216
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            355960.99000000
            USD
            1343743.84000000
            PLN
            2021-09-15
            -7113.01000000
          
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BR9
        
          
        
        350000.00000000
        PA
        USD
        396690.00000000
        0.093052321269
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEREIT OPERATING PARTNER
        5493005TQOUJE1LCS698
        VEREIT Operating Partnership LP
        92340LAG4
        
          
        
        175000.00000000
        PA
        USD
        187469.42000000
        0.043975055327
        Long
        DBT
        
        US
        N
        
        2
        
          2032-12-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3218.03000000
        0.000754859364
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            321812.15000000
            EUR
            348631.97000000
            CHF
            2021-09-15
            3218.03000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        11381.81000000
        0.002669852632
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3318665.72000000
            NOK
            387062.00000000
            USD
            2021-09-15
            11381.81000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -23086.34000000
        -0.00541540630
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1183928.78000000
            USD
            835049.93000000
            GBP
            2021-09-15
            -23086.34000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2D5
        
          
        
        2050000.00000000
        PA
        USD
        2207374.85000000
        0.517788080627
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOGICOR FINANCING SARL
        254900IS16Q1A2TQFN22
        Logicor Financing Sarl
        000000000
        
          
        
        350000.00000000
        PA
        
        446877.73000000
        0.104824951725
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2025-05-13
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2457.95000000
        0.000576565966
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            729928.34000000
            USD
            992403.27000000
            SGD
            2021-09-15
            2457.95000000
          
        
        
          N
          N
          N
        
      
      
        CHEMOURS CO
        549300M1BOLNXL8DOV14
        Chemours Co/The
        163851AF5
        
          
        
        290000.00000000
        PA
        USD
        307762.50000000
        0.072192429919
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -7154.36000000
        -0.00167821171
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            290047.91000000
            EUR
            1298895.45000000
            PLN
            2021-09-15
            -7154.36000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -3429.33000000
        -0.00080442440
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            782261.83000000
            TRY
            88893.39000000
            USD
            2021-08-13
            -3429.33000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1820.16000000
        -0.00042695836
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            363078.00000000
            USD
            450714.14000000
            CAD
            2021-09-15
            -1820.16000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -1030.29000000
        -0.00024167706
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            430075.49000000
            GBP
            596777.48000000
            USD
            2021-08-05
            -1030.29000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -385.71000000
        -0.00009047672
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2250076.99000000
            CNY
            346448.18000000
            USD
            2021-09-15
            -385.71000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        2903.41000000
        0.000681058358
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            868913189.00000000
            KRW
            755984.26000000
            USD
            2021-09-15
            2903.41000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        23094.05000000
        0.005417214852
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            254454337.00000000
            CLP
            358290.51000000
            USD
            2021-08-12
            23094.05000000
          
        
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746AG3
        
          
        
        400000.00000000
        PA
        USD
        441843.28000000
        0.103644011296
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -1496.68000000
        -0.00035107904
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2926542.86000000
            MXN
            144674.24000000
            USD
            2021-09-15
            -1496.68000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023BS3
        
          
        
        25000.00000000
        PA
        USD
        24452.15000000
        0.005735786930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-06-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        CTBOAUSCN202108026530 CALL USD CNH 6.530 AUG21
        000000000
        
          
        
        5834000.00000000
        OU
        Notional Amount
        USD
        5.83000000
        0.000001367554
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America, National Association
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    5.83000000
                    0.00000000
                    DFE
                    
                    US
                  
                  38096020.00000000
                  CNY
                  5834000.00000000
                  USD
                  2021-08-02
                
              
            
            1.00000000
            6.53000000
            USD
            2021-08-02
            XXXX
            -9124.38000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BX003037  CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX003037  CDS EUR P F  1.00000 2 CCPCDX
        000000000
        
          
        
        6100000.00000000
        OU
        Notional Amount
        
        -190652.27000000
        -0.04472166245
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe S35.V1
                2I666VCY9
              
            
            Y
            buy protection
            
            2026-06-20
            0.00000000
            EUR
            -135741.16000000
            EUR
            6100000.00000000
            EUR
            -30454.30000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        3015.92000000
        0.000707450040
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            274455998.00000000
            CLP
            364560.86000000
            USD
            2021-08-12
            3015.92000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8695.73000000
        -0.00203977378
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            145399.85000000
            USD
            2013766.11000000
            ZAR
            2021-09-15
            -8695.73000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        880000.00000000
        PA
        
        1033610.86000000
        0.242456048330
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2031-04-30
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LAZ9
        
          
        
        200000.00000000
        PA
        USD
        249219.47000000
        0.058459880987
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002967  CDS USD R F  1.00000 2 CCPCDX / Short: SX002967  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        9800000.00000000
        OU
        Notional Amount
        USD
        134554.00000000
        0.031562585485
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S34.V1
                2I65BYDW2
              
            
            Y
            
            sell protection
            2023-06-20
            74214.57000000
            USD
            0.00000000
            USD
            9800000.00000000
            USD
            60339.43000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        508.80000000
        0.000119350175
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2330075.56000000
            CNY
            359673.92000000
            USD
            2021-09-15
            508.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -1327.85000000
        -0.00031147627
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7325595.29000000
            MXN
            364560.86000000
            USD
            2021-09-15
            -1327.85000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -8417.41000000
        -0.00197448773
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            298765.67000000
            EUR
            471788.34000000
            AUD
            2021-09-15
            -8417.41000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -778.91000000
        -0.00018271038
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2930240.40000000
            MXN
            145576.69000000
            USD
            2021-09-15
            -778.91000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        390000.00000000
        PA
        
        752488.81000000
        0.176512718998
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2066-07-30
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        11029.04000000
        0.002587102708
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            11343641.34000000
            THB
            356082.26000000
            USD
            2021-09-15
            11029.04000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSCN202108026530 CALL USD CNH 6.530 AUG21
        000000000
        
          
        
        -5834000.00000000
        OU
        Notional Amount
        USD
        -5.83000000
        -0.00000136755
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -5.83000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -5834000.00000000
                  USD
                  -38096020.00000000
                  CNY
                  2021-08-02
                
              
            
            1.00000000
            6.53000000
            USD
            2021-08-02
            XXXX
            13949.10000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300EQOYJZL2D96G46
        SLM Student Loan Trust 2008-4
        78445AAD8
        
          
        
        481684.08000000
        PA
        USD
        486131.47000000
        0.114032775531
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-07-25
          Floating
          1.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005871  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005871  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1220000.00000000
        OU
        Notional Amount
        USD
        19636.75000000
        0.004606229473
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                REPUBLIC OF INDONESIA
                REPUBLIC OF INDONESIA
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            4595.41000000
            USD
            0.00000000
            USD
            1220000.00000000
            USD
            15041.34000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -2800.83000000
        -0.00065699597
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2375531.87000000
            CNY
            364625.00000000
            USD
            2021-08-04
            -2800.83000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) SEP21
        000000000
        
          
        
        -28.00000000
        NC
        USD
        -201019.40000000
        -0.04715349968
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Long Bond
                USU1 Comdty
              
            
            2021-09-21
            -4411105.60000000
            USD
            -201019.40000000
          
        
        
          N
          N
          N
        
      
      
        BP CAPITAL MARKETS PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        000000000
        
          
        
        200000.00000000
        PA
        
        260628.02000000
        0.061136006072
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-03-22
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        11492.86000000
        0.002695901840
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1013991.84000000
            AUD
            755761.58000000
            USD
            2021-09-15
            11492.86000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
        
        1105400000.00000000
        PA
        
        10263730.44000000
        2.407582601842
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2022-06-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329KLV4
        
          
        
        2615.47000000
        PA
        USD
        2886.19000000
        0.000677019030
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1532.59000000
        0.000359502526
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            353511.02000000
            USD
            5151362622.50000000
            IDR
            2021-09-17
            1532.59000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -44.32000000
        -0.00001039622
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            95882.00000000
            USD
            824729.02000000
            SEK
            2021-09-15
            -44.32000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        12262.07000000
        0.002876336880
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1457267441.00000000
            KRW
            1275842.62000000
            USD
            2021-08-17
            12262.07000000
          
        
        
          N
          N
          N
        
      
      
        JBS USA/FOOD/FINANCE
        N/A
        JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
        46590XAC0
        
          
        
        170000.00000000
        PA
        USD
        174675.00000000
        0.040973844104
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2031-12-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -6571.79000000
        -0.00154155717
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            456435.90000000
            CAD
            359272.18000000
            USD
            2021-09-15
            -6571.79000000
          
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        2280000.00000000
        PA
        
        2726226.48000000
        0.639496085784
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2024-01-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300SRMXHPGI3BJ386
        SLM Student Loan Trust 2008-5
        78444YAD7
        
          
        
        569841.72000000
        PA
        USD
        575504.69000000
        0.134997220262
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-07-25
          Floating
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAF1
        
          
        
        256451.41000000
        PA
        USD
        258124.35000000
        0.060548715479
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-25
          Floating
          2.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8934.56000000
        -0.00209579658
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3587997.88000000
            USD
            392575406.00000000
            JPY
            2021-08-26
            -8934.56000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
        
        483550000.00000000
        PA
        
        5125220.08000000
        1.202232537901
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2034-09-20
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR215745  IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR215745  IRS BRL P F  5.80000 CCPNDFPREDISWAP
        000000000
        
          
        
        11540000.00000000
        OU
        Notional Amount
        
        32647.99000000
        0.007658300572
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-01-02
            53262.03000000
            BRL
            0.00000000
            BRL
            11540000.00000000
            BRL
            23065.06000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSCN202108106570 CALL USD CNH 6.570 AUG21
        000000000
        
          
        
        8759000.00000000
        OU
        Notional Amount
        USD
        972.25000000
        0.000228062515
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    972.25000000
                    0.00000000
                    DFE
                    
                    US
                  
                  57546630.00000000
                  CNY
                  8759000.00000000
                  USD
                  2021-08-10
                
              
            
            1.00000000
            6.57000000
            USD
            2021-08-10
            XXXX
            -16204.15000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -5065.40000000
        -0.00118820042
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            296429.04000000
            EUR
            2984981.15000000
            SEK
            2021-09-15
            -5065.40000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -2386.89000000
        -0.00055989728
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7330780.87000000
            MXN
            363760.82000000
            USD
            2021-09-15
            -2386.89000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        14988.98000000
        0.003515993300
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            4018710.13000000
            SEK
            481828.36000000
            USD
            2021-08-04
            14988.98000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAD1
        
          
        
        600000.00000000
        PA
        USD
        632610.02000000
        0.148392525194
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2024-06-27
          Fixed
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAE2
        
          
        
        75000.00000000
        PA
        USD
        74922.12000000
        0.017574622956
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -684.20000000
        -0.00016049408
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            174155.62000000
            EUR
            206082.00000000
            USD
            2021-09-15
            -684.20000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912834AT5
        
          
        
        670000.00000000
        PA
        USD
        490505.59000000
        0.115058821107
        Long
        DBT
        UST
        US
        N
        
        2
        
          2038-08-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELGIUM KINGDOM
        549300SZ25JZFHRHWD76
        Kingdom of Belgium Government Bond
        000000000
        
          
        
        2170000.00000000
        PA
        
        2628434.97000000
        0.616556946895
        Long
        DBT
        NUSS
        BE
        N
        
        2
        
          2023-10-22
          Fixed
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        12250.67000000
        0.002873662760
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1615489.54000000
            EUR
            1930044.74000000
            USD
            2021-09-10
            12250.67000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215991  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR215991  IRS GBP P F   .25000 2 CCPOIS
        000000000
        
          
        
        450000.00000000
        OU
        Notional Amount
        
        36301.22000000
        0.008515245622
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2036-09-15
            39228.31000000
            GBP
            0.00000000
            GBP
            450000.00000000
            GBP
            -19062.26000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1625.99000000
        0.000381411540
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            181516.00000000
            USD
            165717.39000000
            CHF
            2021-09-15
            1625.99000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAJ9
        
          
        
        150000.00000000
        PA
        USD
        158629.50000000
        0.037210020915
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2051-02-14
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        740000.00000000
        PA
        
        668049.13000000
        0.156705544048
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2039-06-21
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        9788.12000000
        0.002296017764
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1229551.26000000
            EUR
            1329753.54000000
            CHF
            2021-09-15
            9788.12000000
          
        
        
          N
          N
          N
        
      
      
        BRF SA
        254900MTXR9LUVQFU480
        BRF SA
        000000000
        
          
        
        200000.00000000
        PA
        USD
        207163.00000000
        0.048594615521
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2030-01-24
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -409.11000000
        -0.00009596570
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            285738.00000000
            USD
            240327.62000000
            EUR
            2021-09-15
            -409.11000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -631.75000000
        -0.00014819078
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144250.43000000
            USD
            10520183.86000000
            RUB
            2021-08-18
            -631.75000000
          
        
        
          N
          N
          N
        
      
      
        IHS Markit Ltd
        549300HLPTRASHS0E726
        IHS Markit Ltd
        44962LAB3
        
          
        
        250000.00000000
        PA
        USD
        279375.00000000
        0.065533520518
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-02-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        6570000.00000000
        PA
        
        9220677.99000000
        2.162911821943
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2028-12-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002829  CDS USD R F  1.00000 2I65BYDN2 / Short: SX002829  CDS USD P V 03MEVENT 2I65BYDN2
        000000000
        
          
        
        18850000.00000000
        OU
        Notional Amount
        USD
        127520.25000000
        0.029912665485
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S28.V1
                2I65BYDN2
              
            
            Y
            
            sell protection
            2022-06-20
            115149.40000000
            USD
            0.00000000
            USD
            18850000.00000000
            USD
            12370.85000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -968.26000000
        -0.00022712657
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            5392960.91000000
            ZAR
            365131.85000000
            USD
            2021-09-15
            -968.26000000
          
        
        
          N
          N
          N
        
      
      
        PILGRIM'S PRIDE CORP
        549300ZSLGV64ZL3HD75
        Pilgrim's Pride Corp
        72147KAF5
        
          
        
        165000.00000000
        PA
        USD
        175439.55000000
        0.041153186039
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -2681.22000000
        -0.00062893883
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2169881.14000000
            ZAR
            145300.00000000
            USD
            2021-08-10
            -2681.22000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7HT6
        
          
        
        17832.22000000
        PA
        USD
        20375.06000000
        0.004779416241
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
        
        704800000.00000000
        PA
        
        6431697.52000000
        1.508695414399
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2041-06-20
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216331  IRS AUD R V 03MBBSW 1 CCPVANILLA / Short: BR216331  IRS AUD P F   .48625 2 CCPVANILLA
        000000000
        
          
        
        6290000.00000000
        OU
        Notional Amount
        
        -18969.63000000
        -0.00444974187
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-29
            299.83000000
            AUD
            0.00000000
            AUD
            6290000.00000000
            AUD
            -19196.67000000
          
        
        
          N
          N
          N
        
      
      
        FMS WERTMANAGEMENT
        HZFDOR6TCRSIQLKQTX32
        FMS Wertmanagement
        000000000
        
          
        
        600000.00000000
        PA
        
        862269.82000000
        0.202264257509
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-03-07
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR215575  IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR215575  IRS BRL P F  6.32000 CCPNDFPREDISWAP
        000000000
        
          
        
        8767529.00000000
        OU
        Notional Amount
        
        72280.90000000
        0.016955067000
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-01-02
            73288.66000000
            BRL
            0.00000000
            BRL
            8767529.00000000
            BRL
            58981.70000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3125.78000000
        0.000733220108
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            619804.70000000
            EUR
            6359351.17000000
            SEK
            2021-09-15
            3125.78000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        7677.14000000
        0.001800841205
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            11685215.12000000
            THB
            363120.42000000
            USD
            2021-09-15
            7677.14000000
          
        
        
          N
          N
          N
        
      
      
        BRITISH COLUMBIA PROV OF
        54930058TO7MEKUHWL16
        Province of British Columbia Canada
        11070TAF5
        
          
        
        3600000.00000000
        PA
        
        3097359.09000000
        0.726553361892
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2025-06-18
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215959  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215959  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        960000.00000000
        OU
        Notional Amount
        
        316.51000000
        0.000074244347
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-09-15
            872.72000000
            EUR
            0.00000000
            EUR
            960000.00000000
            EUR
            -747.29000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411JPQ3
        
          
        
        155961.96000000
        PA
        USD
        179646.07000000
        0.042139917367
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS03643A SWAPTION EUR006M
        000000000
        
          
        
        -4170000.00000000
        NC
        
        -234.47000000
        -0.00005500006
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    4170000.00000000
                    OU
                    Notional Amount
                    N/A
                    -234.47000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-08-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4170000.00000000
                  EUR
                
              
            
            1.00000000
            -0.09350000
            EUR
            2021-08-19
            XXXX
            11948.78000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216405  IRS AUD R V 03MBBSW 1 CCPVANILLA / Short: BR216405  IRS AUD P F   .30000 2 CCPVANILLA
        000000000
        
          
        
        12330000.00000000
        OU
        Notional Amount
        
        -12333.47000000
        -0.00289308531
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-09-15
            2304.13000000
            AUD
            0.00000000
            AUD
            12330000.00000000
            AUD
            -14040.44000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -5299.38000000
        -0.00124308555
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            4047436.68000000
            BRL
            770940.32000000
            USD
            2021-08-12
            -5299.38000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        3329.80000000
        0.000781077464
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            11884419.99000000
            THB
            364832.54000000
            USD
            2021-09-15
            3329.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3842.80000000
        0.000901412841
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            109389810.76000000
            HUF
            307663.65000000
            EUR
            2021-09-15
            3842.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02949A SWAPTION US0003M
        000000000
        
          
        
        -1400000.00000000
        NC
        USD
        -34291.60000000
        -0.00804384526
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    1400000.00000000
                    OU
                    Notional Amount
                    N/A
                    -34291.60000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1400000.00000000
                  USD
                
              
            
            1.00000000
            1.06000000
            USD
            2022-11-14
            XXXX
            38427.46000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215971  IRS EUR R V 12MLIBOR CCPVANILLA / Short: BR215971  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        15420000.00000000
        OU
        Notional Amount
        
        64465.46000000
        0.015121784503
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-09-15
            63607.13000000
            EUR
            0.00000000
            EUR
            15420000.00000000
            EUR
            -10598.96000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -1068.51000000
        -0.00025064240
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2644571.04000000
            NOK
            298274.98000000
            USD
            2021-08-09
            -1068.51000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        2140.30000000
        0.000502054206
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            312347.18000000
            NZD
            219715.00000000
            USD
            2021-09-15
            2140.30000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1714.44000000
        0.000402159423
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            365058.78000000
            USD
            308926.78000000
            EUR
            2021-09-15
            1714.44000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PTMSIUSBR20210810511 PUT USD BRL 5.11 AUG21
        000000000
        
          
        
        1458000.00000000
        OU
        Notional Amount
        USD
        7123.79000000
        0.001671040852
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Put
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    7123.79000000
                    0.00000000
                    DFE
                    
                    US
                  
                  7450380.00000000
                  BRL
                  1458000.00000000
                  USD
                  2021-08-10
                
              
            
            1.00000000
            5.11000000
            USD
            2021-08-10
            XXXX
            -6623.69000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        CTMSIUSRU202108067720 CALL USD RUB 77.20 AUG21
        000000000
        
          
        
        -1458000.00000000
        OU
        Notional Amount
        USD
        -115.18000000
        -0.00002701798
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -115.18000000
                    0.00000000
                    DFE
                    
                    RU
                  
                  -1458000.00000000
                  USD
                  -112557600.00000000
                  RUB
                  2021-08-06
                
              
            
            1.00000000
            77.20000000
            USD
            2021-08-06
            XXXX
            8972.53000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -7907.29000000
        -0.00185482792
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            34763514.00000000
            JPY
            385614.30000000
            CAD
            2021-09-15
            -7907.29000000
          
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government AID Bond
        46513EFF4
        
          
        
        300000.00000000
        PA
        USD
        333109.25000000
        0.078138064858
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2023-09-18
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBR5
        
          
        
        550000.00000000
        PA
        USD
        553253.71000000
        0.129777765928
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-25
          Fixed
          2.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) SEP21
        000000000
        
          
        
        147.00000000
        NC
        USD
        41742.26000000
        0.009791560634
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                5 Year US Treasury Note
                FVU1 Comdty
              
            
            2021-09-30
            18251718.75000000
            USD
            41742.26000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F050684
        
          
        
        4000000.00000000
        PA
        USD
        4376875.00000000
        1.026691821461
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6282.91000000
        0.001473794045
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            146596.16000000
            USD
            1317093.20000000
            TRY
            2021-09-15
            6282.91000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5553.80000000
        0.001302765337
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1104750.81000000
            USD
            935190.49000000
            EUR
            2021-09-15
            5553.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -4350.13000000
        -0.00102041819
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            4783353.04000000
            CNY
            732970.84000000
            USD
            2021-09-15
            -4350.13000000
          
        
        
          N
          N
          N
        
      
      
        ALLISON TRANSMISSION INC
        MWKQ3I0U1GXP2YDSZW75
        Allison Transmission Inc
        019736AG2
        
          
        
        200000.00000000
        PA
        USD
        199000.00000000
        0.046679805219
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-30
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -19647.22000000
        -0.00460868544
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            56150620.38000000
            RUB
            747578.49000000
            USD
            2021-08-09
            -19647.22000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7126.04000000
        -0.00167156863
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            355761.46000000
            USD
            402259483.00000000
            KRW
            2021-09-15
            -7126.04000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005905  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005905  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        70000.00000000
        OU
        Notional Amount
        USD
        1709.37000000
        0.000400970143
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                STATE OF QATAR
                STATE OF QATAR
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            997.47000000
            USD
            0.00000000
            USD
            70000.00000000
            USD
            711.90000000
          
        
        
          N
          N
          N
        
      
      
        LA MONDIALE
        969500L0T16HX3R78P61
        La Mondiale SAM
        000000000
        
          
        
        300000.00000000
        PA
        
        363328.28000000
        0.085226599704
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-04-20
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LITHIA MOTORS INC
        SE8N1EZEHPZQBCBVKD53
        Lithia Motors Inc
        536797AF0
        
          
        
        160000.00000000
        PA
        USD
        174496.00000000
        0.040931855736
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03278A SWAPTION US0003M
        000000000
        
          
        
        -13340000.00000000
        NC
        USD
        -9464.73000000
        -0.00222015956
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    13340000.00000000
                    OU
                    Notional Amount
                    N/A
                    -9464.73000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-08-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  13340000.00000000
                  USD
                
              
            
            1.00000000
            0.87800000
            USD
            2021-08-10
            XXXX
            31889.27000000
          
        
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        549300BZ5TGIFZUZDZ37
        State Street Institutional US Government Money Market Fund
        857492656
        
          
        
        31609633.08000000
        NS
        USD
        31609633.08000000
        7.414731232363
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254CB4
        
          
        
        200000.00000000
        PA
        USD
        201064.78000000
        0.047164144557
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-23
          Fixed
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216056  IRS NOK R F  1.50000 2 CCPVANILLA / Short: SR216056  IRS NOK P V 06MNIBOR 1 CCPVANILLA
        000000000
        
          
        
        14470000.00000000
        OU
        Notional Amount
        
        13003.98000000
        0.003050368107
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-09-15
            69178.27000000
            NOK
            0.00000000
            NOK
            14470000.00000000
            NOK
            5253.46000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        7750000.00000000
        PA
        
        71637.25000000
        0.016804084806
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2051-06-20
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        2281.80000000
        0.000535246128
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            289925.34000000
            EUR
            346495.57000000
            USD
            2021-09-15
            2281.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -647.35000000
        -0.00015185011
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2322412.43000000
            CNY
            357336.55000000
            USD
            2021-09-15
            -647.35000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -673.37000000
        -0.00015795367
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            114767.24000000
            GBP
            158870.00000000
            USD
            2021-09-15
            -673.37000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (5 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Five Year Bond
        000000000
        
          
        
        283000000.00000000
        PA
        
        2598167.27000000
        0.609456995436
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2024-09-20
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        63895.86000000
        0.014988172357
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2108433565.00000000
            KRW
            1891260.16000000
            USD
            2021-09-15
            63895.86000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03896A SWAPTION SONIO SEP22 0.401 CALL
        000000000
        
          
        
        -1560000.00000000
        NC
        
        -32191.00000000
        -0.00755110356
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    1560000.00000000
                    OU
                    Notional Amount
                    N/A
                    -32191.00000000
                    -0.01000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1560000.00000000
                  GBP
                
              
            
            1.00000000
            0.40100000
            GBP
            2022-09-08
            XXXX
            -2768.36000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -7237.26000000
        -0.00169765772
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            21870874.80000000
            RUB
            291600.00000000
            USD
            2021-08-09
            -7237.26000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR215672  IRS BRL R F  3.39000 CCPNDFPREDISWAP / Short: SR215672  IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
        000000000
        
          
        
        15280000.00000000
        OU
        Notional Amount
        
        -30254.12000000
        -0.00709676597
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            0.00000000
            BRL
            0.00000000
            BRL
            15280000.00000000
            BRL
            -30254.12000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -7204.51000000
        -0.00168997549
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1283998.40000000
            TRY
            141833.14000000
            USD
            2021-09-15
            -7204.51000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -805.23000000
        -0.00018888431
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144636.02000000
            USD
            10535721.60000000
            RUB
            2021-08-18
            -805.23000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215926  IRS KRW R V 03MLIBOR CCPNDF / Short: BR215926  IRS KRW P F  1.25000 CCPNDF
        000000000
        
          
        
        10870370000.00000000
        OU
        Notional Amount
        
        23242.23000000
        0.005451973714
        N/A
        DIR
        
        KR
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-09-15
            14549150.00000000
            KRW
            0.00000000
            KRW
            10870370000.00000000
            KRW
            10177.81000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1290.28000000
        -0.00030266341
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144449.61000000
            USD
            10486536.11000000
            RUB
            2021-08-18
            -1290.28000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -6574.96000000
        -0.00154230076
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            780156.42000000
            EUR
            919571.15000000
            USD
            2021-09-10
            -6574.96000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3305.02000000
        0.000775264773
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            145989.79000000
            USD
            1286213.85000000
            TRY
            2021-09-15
            3305.02000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PTHSBUSCA202108131235 PUT USD CAD 1.235 AUG21
        000000000
        
          
        
        2910000.00000000
        OU
        Notional Amount
        USD
        2525.88000000
        0.000592500434
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            Put
            Purchased
            
              
                
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                  
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    2525.88000000
                    0.00000000
                    DFE
                    
                    US
                  
                  3593850.00000000
                  CAD
                  2910000.00000000
                  USD
                  2021-08-13
                
              
            
            1.00000000
            1.23500000
            USD
            2021-08-13
            XXXX
            -6288.51000000
          
        
        
          N
          N
          N
        
      
      
        MUELLER WATER PRODUCTS
        549300F7ZU4P1F8V8L60
        Mueller Water Products Inc
        624758AF5
        
          
        
        170000.00000000
        PA
        USD
        175737.50000000
        0.041223076732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Logicor Financing Sarl
        254900IS16Q1A2TQFN22
        Logicor Financing Sarl
        000000000
        
          
        
        300000.00000000
        PA
        
        419212.73000000
        0.098335520512
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-11-13
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAF8
        
          
        
        250000.00000000
        PA
        USD
        267097.81000000
        0.062653636911
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-07-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWEDISH GOVERNMENT
        ERE94C0BSULG2RM19605
        Sweden Government Bond
        000000000
        
          
        
        7130000.00000000
        PA
        
        854654.13000000
        0.200477830746
        Long
        DBT
        NUSS
        SE
        N
        
        2
        
          2022-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        326.26000000
        0.000076531423
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            479578.05000000
            NZD
            334390.59000000
            USD
            2021-09-15
            326.26000000
          
        
        
          N
          N
          N
        
      
      
        OFFICE CHERIFIEN DES PHO
        213800D26TAPVTCVWG40
        OCP SA
        67091TAE5
        
          
        
        200000.00000000
        PA
        USD
        203800.00000000
        0.047805750270
        Long
        DBT
        CORP
        MA
        N
        
        2
        
          2051-06-23
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -19851.68000000
        -0.00465664600
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            55436563.76000000
            RUB
            736953.15000000
            USD
            2021-08-18
            -19851.68000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216231  IRS ZAR R F  5.80000 2 CCPVANILLA / Short: SR216231  IRS ZAR P V 03MJIBAR 1 CCPVANILLA
        000000000
        
          
        
        1555000.00000000
        OU
        Notional Amount
        
        -171.11000000
        -0.00004013759
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-09-15
            15.79000000
            ZAR
            0.00000000
            ZAR
            1555000.00000000
            ZAR
            -172.31000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216416  IRS CAD R F  1.20000 2 CCPVANILLA / Short: SR216416  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        84770000.00000000
        OU
        Notional Amount
        
        46052.07000000
        0.010802520892
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-09-21
            44312.62000000
            CAD
            0.00000000
            CAD
            84770000.00000000
            CAD
            10789.08000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        12775.40000000
        0.002996749666
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            286249.96000000
            USD
            2576181.80000000
            TRY
            2021-09-15
            12775.40000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX003038  CDS EUR R F  5.00000 2 CCPCDX / Short: SX003038  CDS EUR P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        1850000.00000000
        OU
        Notional Amount
        
        264740.49000000
        0.062100675914
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Crossover S35.V1
                2I667KJN9
              
            
            Y
            
            sell protection
            2026-06-20
            187881.05000000
            EUR
            0.00000000
            EUR
            1850000.00000000
            EUR
            43008.43000000
          
        
        
          N
          N
          N
        
      
      
        NEWELL BRANDS INC
        549300LWGYFM1TVO1Z12
        Newell Brands Inc
        651229BB1
        
          
        
        155000.00000000
        PA
        USD
        171662.50000000
        0.040267196299
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (2 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Two Year Bond
        000000000
        
          
        
        48500000.00000000
        PA
        
        443314.89000000
        0.103989209629
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2022-10-01
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPIRIT REALTY LP
        549300GTBVIBJRX5BW73
        Spirit Realty LP
        84861TAH1
        
          
        
        175000.00000000
        PA
        USD
        176912.13000000
        0.041498611906
        Long
        DBT
        
        US
        N
        
        2
        
          2028-03-15
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AECOM
        0EEB8GF0W0NPCIHZX097
        AECOM
        00774CAB3
        
          
        
        155000.00000000
        PA
        USD
        172437.50000000
        0.040448989510
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -363.09000000
        -0.00008517070
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            330774.32000000
            USD
            412229.15000000
            CAD
            2021-09-15
            -363.09000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        260000.00000000
        PA
        USD
        187343.00000000
        0.043945400750
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-05-29
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        549300BZ5TGIFZUZDZ37
        State Street Institutional US Government Money Market Fund
        857492656
        
          
        
        404794.02000000
        NS
        USD
        404794.02000000
        0.094953296521
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4846.35000000
        0.001136817457
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            393864.00000000
            USD
            286811.58000000
            GBP
            2021-09-15
            4846.35000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3741.08000000
        -0.00087755218
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            296382.75000000
            EUR
            105367031.45000000
            HUF
            2021-09-15
            -3741.08000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        11618.21000000
        0.002725305426
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            102838671.41000000
            HUF
            295981.21000000
            EUR
            2021-09-15
            11618.21000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -16370.13000000
        -0.00383997226
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            713259.73000000
            USD
            804079091.00000000
            KRW
            2021-09-15
            -16370.13000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -1126.54000000
        -0.00026425461
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            4733145.47000000
            CNY
            728455.28000000
            USD
            2021-09-15
            -1126.54000000
          
        
        
          N
          N
          N
        
      
      
        DCP MIDSTREAM OPERATING
        549300Y6CTBSE0QIPL28
        DCP Midstream Operating LP
        23311VAJ6
        
          
        
        155000.00000000
        PA
        USD
        176312.50000000
        0.041357955566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRITISH COLUMBIA PROV OF
        54930058TO7MEKUHWL16
        Province of British Columbia Canada
        110709FY3
        
          
        
        400000.00000000
        PA
        
        450470.02000000
        0.105667601964
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2040-06-18
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR214655  IRS BRL R F  4.93000 2 CCPNDFPREDISWAP / Short: SR214655  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
        000000000
        
          
        
        6055000.00000000
        OU
        Notional Amount
        
        -49399.41000000
        -0.01158771274
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-02
            6297.31000000
            BRL
            0.00000000
            BRL
            6055000.00000000
            BRL
            -50578.64000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215986  IRS GBP R F   .00000 2 CCPOIS / Short: SR215986  IRS GBP P V 00MSONIA 1 CCPOIS
        000000000
        
          
        
        21460000.00000000
        OU
        Notional Amount
        
        -638880.23000000
        -0.14986334017
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-09-15
            0.00000000
            GBP
            -514644.08000000
            GBP
            21460000.00000000
            GBP
            80235.97000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        000000000
        
          
        
        600000.00000000
        PA
        
        845579.80000000
        0.198349248048
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-06-27
          Fixed
          2.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PTJPMUSKR202108121134 PUT USD KRW 1134 AUG21
        000000000
        
          
        
        4396000.00000000
        OU
        Notional Amount
        USD
        1969.41000000
        0.000461968217
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    1969.41000000
                    0.00000000
                    DFE
                    
                    US
                  
                  4985064000.00000000
                  KRW
                  4396000.00000000
                  USD
                  2021-08-12
                
              
            
            1.00000000
            1134.00000000
            USD
            2021-08-12
            XXXX
            -8624.95000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        13333.33000000
        0.003127624358
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            478630.04000000
            AUD
            364647.17000000
            USD
            2021-09-15
            13333.33000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
        
        83700000.00000000
        PA
        
        756508.23000000
        0.177455561927
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2039-12-20
          Fixed
          0.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1304.00000000
        0.000305881738
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            365988.70000000
            USD
            497691.56000000
            SGD
            2021-09-15
            1304.00000000
          
        
        
          N
          N
          N
        
      
      
        CRED SUIS GP FUN LTD
        549300PXR5FKNXF0OH19
        Credit Suisse Group Funding Guernsey Ltd
        000000000
        
          
        
        350000.00000000
        PA
        
        419272.76000000
        0.098349601862
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2022-04-14
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        Bank 2019-BNK19
        06540WAJ2
        
          
        
        100000.00000000
        PA
        USD
        95595.13000000
        0.022423929891
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -9324.64000000
        -0.00218729838
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3837911.07000000
            BRL
            727566.08000000
            USD
            2021-08-03
            -9324.64000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215741  IRS CAD R F   .75000 2 CCPVANILLA / Short: SR215741  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        34000000.00000000
        OU
        Notional Amount
        
        -12848.38000000
        -0.00301386872
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-03-01
            2659.45000000
            CAD
            0.00000000
            CAD
            34000000.00000000
            CAD
            -14964.08000000
          
        
        
          N
          N
          N
        
      
      
        CELLNEX FINANCE CO SA
        549300OUROMFTRFA7T23
        Cellnex Finance Co SA
        000000000
        
          
        
        200000.00000000
        PA
        
        239320.61000000
        0.056137886732
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2033-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1331.92000000
        0.000312430985
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            346827.70000000
            EUR
            413103.00000000
            USD
            2021-09-15
            1331.92000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        CTDEUUSZA202108270155
        000000000
        
          
        
        -1445000.00000000
        OU
        Notional Amount
        USD
        -4624.00000000
        -0.00108466039
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -4624.00000000
                    0.00000000
                    DFE
                    
                    ZA
                  
                  -1445000.00000000
                  USD
                  -22397500.00000000
                  ZAR
                  2021-08-27
                
              
            
            1.00000000
            15.50000000
            USD
            2021-08-27
            XXXX
            4239.63000000
          
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2017-2
        59980AAQ0
        
          
        
        201690.54000000
        PA
        USD
        209572.71000000
        0.049159865739
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          2.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8159.78000000
        -0.00191405498
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            155088.85000000
            USD
            111536799.00000000
            CLP
            2021-08-12
            -8159.78000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -68769.62000000
        -0.01613141943
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            13173345.08000000
            TRY
            1483585.05000000
            USD
            2021-08-16
            -68769.62000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        634.47000000
        0.000148828824
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            206511.34000000
            USD
            5782111.11000000
            TWD
            2021-09-10
            634.47000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        13697.16000000
        0.003212968647
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            165710428.00000000
            CLP
            231989.96000000
            USD
            2021-08-12
            13697.16000000
          
        
        
          N
          N
          N
        
      
      
        Elmwood CLO IV Ltd
        N/A
        Elmwood CLO IV Ltd
        29002GAB7
        
          
        
        2600000.00000000
        PA
        USD
        2612092.60000000
        0.612723486350
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          1.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2636.48000000
        0.000618444084
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            294863.64000000
            USD
            1551212.74000000
            BRL
            2021-08-12
            2636.48000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1066.80000000
        0.000250241287
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            163757.90000000
            USD
            12073542.45000000
            RUB
            2021-08-18
            1066.80000000
          
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        2550000.00000000
        PA
        
        3092077.63000000
        0.725314479862
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2023-03-01
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3696.28000000
        0.000867043369
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            142009.40000000
            USD
            2917228.10000000
            MXN
            2021-09-15
            3696.28000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PTMSIUSBR202108105110 PUT USD BRL 5.11 AUG21
        000000000
        
          
        
        -1458000.00000000
        OU
        Notional Amount
        USD
        -7263.76000000
        -0.00170387387
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -7263.76000000
                    0.00000000
                    DFE
                    
                    BR
                  
                  -1458000.00000000
                  USD
                  -7450380.00000000
                  BRL
                  2021-08-10
                
              
            
            1.00000000
            5.11000000
            USD
            2021-08-10
            XXXX
            23574.40000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Securities (Europe) Limited
        DL6FFRRLF74S01HE2M14
        Long: SR214327  IRS BRL R F  4.12000 CCPNDFPREDISWAP / Short: SR214327  IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
        000000000
        
          
        
        6350000.00000000
        OU
        Notional Amount
        
        13325.09000000
        0.003125691486
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Credit Suisse Securities (Europe) Limited
              DL6FFRRLF74S01HE2M14
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            66053.53000000
            BRL
            0.00000000
            BRL
            6350000.00000000
            BRL
            1178.43000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR215886  IRS BRL R F  7.37000 CCPNDFPREDISWAP / Short: SR215886  IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
        000000000
        
          
        
        4550000.00000000
        OU
        Notional Amount
        
        -8322.30000000
        -0.00195217760
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-02
            20497.36000000
            BRL
            0.00000000
            BRL
            4550000.00000000
            BRL
            -12098.03000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAH9
        
          
        
        75000.00000000
        PA
        USD
        97096.14000000
        0.022776024637
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -8104.11000000
        -0.00190099636
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            298271.98000000
            EUR
            104725380.08000000
            HUF
            2021-09-15
            -8104.11000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        -2482.46000000
        -0.00058231532
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            5267099155.31000000
            IDR
            360537.97000000
            USD
            2021-09-17
            -2482.46000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        39.10000000
        0.000009171760
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            334721.91000000
            USD
            240809.73000000
            GBP
            2021-09-15
            39.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5603.43000000
        0.001314407140
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            365061.01000000
            USD
            3193371.18000000
            TRY
            2021-09-15
            5603.43000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        933.18000000
        0.000218897792
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3013688.77000000
            SEK
            295758.37000000
            EUR
            2021-09-15
            933.18000000
          
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214EP4
        
          
        
        525000.00000000
        PA
        USD
        523518.41000000
        0.122802700541
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2035-11-15
          Fixed
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -2164.77000000
        -0.00050779418
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            870588.85000000
            CAD
            695636.32000000
            USD
            2021-08-16
            -2164.77000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        12059.42000000
        0.002828800887
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            361075.22000000
            USD
            3214652.68000000
            TRY
            2021-09-15
            12059.42000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -4890.99000000
        -0.00114728874
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            8006008.66000000
            CZK
            309360.15000000
            EUR
            2021-09-15
            -4890.99000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CE7
        
          
        
        150000.00000000
        PA
        USD
        153242.08000000
        0.035946283647
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-11-24
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XBD1
        
          
        
        563000.00000000
        PA
        USD
        600294.13000000
        0.140812125944
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          6.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES PARTNERS
        N/A
        Targa Resources Partners LP / Targa Resources Partners Finance Corp
        87612BBN1
        
          
        
        155000.00000000
        PA
        USD
        174079.73000000
        0.040834210497
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -1240.72000000
        -0.00029103802
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1166824.51000000
            ILS
            359842.26000000
            USD
            2021-09-17
            -1240.72000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1914.84000000
        0.000449167629
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            311846.92000000
            EUR
            372155.00000000
            USD
            2021-09-15
            1914.84000000
          
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAC9
        
          
        
        170000.00000000
        PA
        USD
        172968.20000000
        0.040573476810
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -8541.35000000
        -0.00200356057
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            308101.28000000
            EUR
            486719.92000000
            AUD
            2021-09-15
            -8541.35000000
          
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAN0
        
          
        
        220000.00000000
        PA
        USD
        205077.40000000
        0.048105392396
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2061-05-24
          Fixed
          3.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELGIUM KINGDOM
        549300SZ25JZFHRHWD76
        Kingdom of Belgium Government Bond
        000000000
        
          
        
        1140000.00000000
        PA
        
        1488462.89000000
        0.349151546642
        Long
        DBT
        NUSS
        BE
        N
        
        2
        
          2029-06-22
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTONATION INC
        N/A
        AutoNation Inc
        05329WAR3
        
          
        
        125000.00000000
        PA
        USD
        125314.17000000
        0.029395181140
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-01
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214650  IRS PLN R F   .75000 2 CCPVANILLA / Short: SR214650  IRS PLN P V 06MWIBOR 1 CCPVANILLA
        000000000
        
          
        
        4460000.00000000
        OU
        Notional Amount
        
        -26346.70000000
        -0.00618019509
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            0.00000000
            PLN
            -2888.24000000
            PLN
            4460000.00000000
            PLN
            -25567.70000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31415TFV7
        
          
        
        44634.61000000
        PA
        USD
        52772.57000000
        0.012378961248
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215948  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215948  IRS USD P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        6220000.00000000
        OU
        Notional Amount
        USD
        48134.22000000
        0.011290934743
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-09-15
            63836.84000000
            USD
            0.00000000
            USD
            6220000.00000000
            USD
            -15702.62000000
          
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAE7
        
          
        
        200000.00000000
        PA
        USD
        227304.98000000
        0.053319357748
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-07-18
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -2565.03000000
        -0.00060168392
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            83861830.00000000
            JPY
            762117.00000000
            USD
            2021-09-15
            -2565.03000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAD6
        
          
        
        200000.00000000
        PA
        USD
        202000.00000000
        0.047383520876
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        434.21000000
        0.000101853458
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1536403.03000000
            SEK
            178972.00000000
            USD
            2021-09-15
            434.21000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR214976  IRS BRL R F  4.23000 2 CCPNDFPREDISWAP / Short: SR214976  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
        000000000
        
          
        
        595000.00000000
        OU
        Notional Amount
        
        -3567.27000000
        -0.00083678125
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-01-02
            1551.51000000
            BRL
            0.00000000
            BRL
            595000.00000000
            BRL
            -3878.43000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1082.15000000
        -0.00025384196
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            396970.75000000
            USD
            333450.16000000
            EUR
            2021-09-15
            -1082.15000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3103.31000000
        0.000727949278
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            361885.33000000
            USD
            2359774.61000000
            CNY
            2021-08-04
            3103.31000000
          
        
        
          N
          N
          N
        
      
      
        EUROPEAN UNION
        529900FZRK8FGMPEOM08
        European Union
        000000000
        
          
        
        310000.00000000
        PA
        
        375687.82000000
        0.088125800306
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2031-04-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -24086.74000000
        -0.00565007201
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1003499.00000000
            USD
            1334351.44000000
            AUD
            2021-09-15
            -24086.74000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9448.05000000
        -0.00221624690
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144856.55000000
            USD
            1196165.12000000
            NOK
            2021-09-15
            -9448.05000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        2617.22000000
        0.000613926230
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7751348.30000000
            CZK
            305712.81000000
            EUR
            2021-09-15
            2617.22000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128284S6
        
          
        
        1470000.00000000
        PA
        USD
        1539135.94000000
        0.361038019526
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-05-31
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intesa Sanpaolo SpA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        000000000
        
          
        
        275000.00000000
        PA
        
        403277.96000000
        0.094597671468
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2027-01-11
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5022.60000000
        0.001178160752
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            616735.00000000
            USD
            523695.74000000
            EUR
            2021-09-15
            5022.60000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216059  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR216059  IRS NOK P F  2.00000 2 CCPVANILLA
        000000000
        
          
        
        53950000.00000000
        OU
        Notional Amount
        
        -281827.15000000
        -0.06610872596
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-09-15
            0.00000000
            NOK
            -1743174.80000000
            NOK
            53950000.00000000
            NOK
            -80867.31000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -3354.92000000
        -0.00078696991
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            571568.84000000
            EUR
            675240.00000000
            USD
            2021-09-15
            -3354.92000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1071.19000000
        0.000251271058
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            357031.72000000
            USD
            257600.69000000
            GBP
            2021-09-15
            1071.19000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9873.93000000
        -0.00231614637
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            350501.93000000
            USD
            286905.11000000
            EUR
            2021-09-15
            -9873.93000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -7536.11000000
        -0.00176775953
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            27292223.43000000
            RUB
            365049.87000000
            USD
            2021-08-18
            -7536.11000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED HUF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -41586.48000000
        -0.00975501902
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            720827.91000000
            USD
            205577661.19000000
            HUF
            2021-09-15
            -41586.48000000
          
        
        
          N
          N
          N
        
      
      
        BAT INTL FINANCE PLC
        21380041YBGOQDFAC823
        BAT International Finance PLC
        05530QAK6
        
          
        
        1000000.00000000
        PA
        USD
        1101308.49000000
        0.258336009045
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-06-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -3849.04000000
        -0.00090287657
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            422862.88000000
            GBP
            583992.67000000
            USD
            2021-09-15
            -3849.04000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2412.05000000
        -0.00056579911
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            309389.17000000
            EUR
            3223525.76000000
            NOK
            2021-09-15
            -2412.05000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        306.86000000
        0.000071980728
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            847573.89000000
            USD
            714155.38000000
            EUR
            2021-09-15
            306.86000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        182.26000000
        0.000042753071
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            233990.00000000
            USD
            2068619.72000000
            NOK
            2021-09-15
            182.26000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216047  IRS SEK R F  1.00000 2 CCPVANILLA / Short: SR216047  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        29770000.00000000
        OU
        Notional Amount
        
        145731.11000000
        0.034184421252
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-09-15
            522921.50000000
            SEK
            0.00000000
            SEK
            29770000.00000000
            SEK
            82426.15000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        1449.85000000
        0.000340094048
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            241938.54000000
            GBP
            337780.07000000
            USD
            2021-09-15
            1449.85000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        3724.67000000
        0.000873702864
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3191857.34000000
            NOK
            365049.87000000
            USD
            2021-09-15
            3724.67000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BZ2
        
          
        
        700000.00000000
        PA
        USD
        696492.38000000
        0.163377530831
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-01-14
          Fixed
          1.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        9377.31000000
        0.002199653287
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            574227.44000000
            EUR
            691128.66000000
            USD
            2021-09-15
            9377.31000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UZW5
        
          
        
        2502466.47000000
        PA
        USD
        2695501.68000000
        0.632288911516
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216431  IRS JPY R V 12MLIBOR CCPVANILLA / Short: BR216431  IRS JPY P F   .00000 CCPVANILLA
        000000000
        
          
        
        2442150000.00000000
        OU
        Notional Amount
        
        -20265.81000000
        -0.00475378926
        N/A
        DIR
        
        JP
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-09-15
            0.00000000
            JPY
            -1376793.00000000
            JPY
            2442150000.00000000
            JPY
            -7686.60000000
          
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2018-B6 Mortgage Trust
        08162CAL4
        
          
        
        250000.00000000
        PA
        USD
        243592.95000000
        0.057140057582
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-10
          Variable
          3.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2952.35000000
        0.000692538306
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            145979.86000000
            USD
            1283089.98000000
            TRY
            2021-09-15
            2952.35000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -32247.77000000
        -0.00756442021
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            15046654.51000000
            MXN
            719281.73000000
            USD
            2021-09-15
            -32247.77000000
          
        
        
          N
          N
          N
        
      
      
        CAIXABANK SA
        7CUNS533WID6K7DGFI87
        CaixaBank SA
        000000000
        
          
        
        500000.00000000
        PA
        
        598468.79000000
        0.140383952498
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2026-11-18
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2561.62000000
        -0.00060088403
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            116792.00000000
            USD
            1009082.88000000
            NOK
            2021-09-15
            -2561.62000000
          
        
        
          N
          N
          N
        
      
      
        MASTEC INC
        549300TMDIT8WREDOF45
        MasTec Inc
        576323AP4
        
          
        
        525000.00000000
        PA
        USD
        553623.00000000
        0.129864390980
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        1032.57000000
        0.000242211891
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            510850.38000000
            AUD
            375996.10000000
            USD
            2021-09-15
            1032.57000000
          
        
        
          N
          N
          N
        
      
      
        AUST & NZ BANKING GROUP
        JHE42UYNWWTJB8YTTU19
        Australia & New Zealand Banking Group Ltd
        052528AL0
        
          
        
        400000.00000000
        PA
        USD
        418220.00000000
        0.098102653964
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-07-22
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        9528.21000000
        0.002235050185
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1983005.35000000
            ZAR
            144144.14000000
            USD
            2021-09-15
            9528.21000000
          
        
        
          N
          N
          N
        
      
      
        GALAXY PIPELINE ASSETS
        549300L82YB0C6JQIC26
        Galaxy Pipeline Assets Bidco Ltd
        36321PAB6
        
          
        
        200000.00000000
        PA
        USD
        198080.09000000
        0.046464020196
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2036-03-31
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBC4
        
          
        
        290000.00000000
        PA
        USD
        286850.78000000
        0.067287128329
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-12-31
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        1747.21000000
        0.000409846344
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            278055.86000000
            GBP
            388285.82000000
            USD
            2021-09-15
            1747.21000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -634.38000000
        -0.00014880771
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            248297.55000000
            EUR
            2598508.35000000
            NOK
            2021-09-15
            -634.38000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1127.98000000
        0.000264592395
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            332559.05000000
            USD
            479036.41000000
            NZD
            2021-09-15
            1127.98000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215992  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR215992  IRS GBP P F   .50000 2 CCPOIS
        000000000
        
          
        
        780000.00000000
        OU
        Notional Amount
        
        33828.91000000
        0.007935311203
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2041-09-15
            58362.46000000
            GBP
            0.00000000
            GBP
            780000.00000000
            GBP
            -48535.77000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3180.61000000
        -0.00074608168
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            372792.50000000
            USD
            503559.30000000
            AUD
            2021-09-15
            -3180.61000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5494.90000000
        -0.00128894905
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            356358.47000000
            USD
            404830349.00000000
            KRW
            2021-09-15
            -5494.90000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        1741.72000000
        0.000408558544
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            418433250.00000000
            KRW
            365125.00000000
            USD
            2021-08-06
            1741.72000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4970.49000000
        0.001165937211
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            618386.49000000
            EUR
            922181.22000000
            CAD
            2021-09-15
            4970.49000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        10066.80000000
        0.002361388257
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            334029.57000000
            EUR
            44596120.00000000
            JPY
            2021-09-15
            10066.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        640.59000000
        0.000150264404
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            80465.00000000
            USD
            8894760.00000000
            JPY
            2021-09-15
            640.59000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215213  IRS CAD R F   .70000 2 CCPVANILLA / Short: SR215213  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        21420000.00000000
        OU
        Notional Amount
        
        -75597.01000000
        -0.01773293317
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-11-18
            21117.52000000
            CAD
            0.00000000
            CAD
            21420000.00000000
            CAD
            -91999.12000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7422.08000000
        -0.00174101130
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            336405.00000000
            USD
            472283.25000000
            NZD
            2021-09-15
            -7422.08000000
          
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
        
        340000.00000000
        PA
        USD
        381786.00000000
        0.089556261887
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-02-11
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        300000.00000000
        PA
        
        410288.10000000
        0.096242053225
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2030-05-26
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -2762.26000000
        -0.00064794853
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7331126.58000000
            MXN
            363402.72000000
            USD
            2021-09-15
            -2762.26000000
          
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        International Flavors & Fragrances Inc
        459506AN1
        
          
        
        300000.00000000
        PA
        USD
        300320.94000000
        0.070446849158
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216415  IRS EUR R F   .00000 CCPOIS / Short: SR216415  IRS EUR P V 12MLIBOR CCPOIS
        000000000
        
          
        
        26830000.00000000
        OU
        Notional Amount
        
        9712.02000000
        0.002278166843
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-06-16
            3806.56000000
            EUR
            0.00000000
            EUR
            26830000.00000000
            EUR
            5215.61000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -3181.09000000
        -0.00074619427
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3180483.36000000
            MXN
            155673.30000000
            USD
            2021-09-15
            -3181.09000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1427.21000000
        -0.00033478334
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            341858.38000000
            USD
            488718.20000000
            NZD
            2021-09-15
            -1427.21000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        1142.94000000
        0.000268101590
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            420020075.00000000
            KRW
            365171.34000000
            USD
            2021-09-15
            1142.94000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -47867.60000000
        -0.01122839318
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            335173482.00000000
            JPY
            3007869.20000000
            USD
            2021-08-26
            -47867.60000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABV6
        
          
        
        90000.00000000
        PA
        USD
        93707.10000000
        0.021981051134
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBERTSONS COS/SAFEWAY
        N/A
        Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
        013092AG6
        
          
        
        329000.00000000
        PA
        USD
        332290.00000000
        0.077945891841
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CF Industries Inc
        5FVKT86LAD2F40NPC183
        CF Industries Inc
        12527GAE3
        
          
        
        135000.00000000
        PA
        USD
        173610.00000000
        0.040724025046
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-03-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR216227  IRS MXN R F  6.86000 2 CCPVANILLA / Short: SR216227  IRS MXN P V 01MTIIE 1 CCPVANILLA
        000000000
        
          
        
        1025000.00000000
        OU
        Notional Amount
        
        -211.05000000
        -0.00004950639
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-09-03
            0.00000000
            MXN
            -9889.82000000
            MXN
            1025000.00000000
            MXN
            282.88000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5263.99000000
        -0.00123478405
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            143896.29000000
            USD
            105238552.00000000
            CLP
            2021-08-12
            -5263.99000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN AXLE & MFG INC
        RY5TAKFOBLDUGX31MS24
        American Axle & Manufacturing Inc
        02406PAR1
        
          
        
        24000.00000000
        PA
        USD
        24810.00000000
        0.005819728479
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -154.01000000
        -0.00003612641
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2376413.91000000
            CNY
            366153.85000000
            USD
            2021-09-15
            -154.01000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215965  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215965  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        4140000.00000000
        OU
        Notional Amount
        
        96583.96000000
        0.022655881608
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-09-15
            157555.24000000
            EUR
            0.00000000
            EUR
            4140000.00000000
            EUR
            -95229.54000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        251525AX9
        
          
        
        400000.00000000
        PA
        USD
        419000.00000000
        0.098285620035
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-10-30
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6512.58000000
        0.001527668170
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            731558.19000000
            USD
            1000105.89000000
            SGD
            2021-09-15
            6512.58000000
          
        
        
          N
          N
          N
        
      
      
        BP CAPITAL MARKETS PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        000000000
        
          
        
        200000.00000000
        PA
        
        255597.38000000
        0.059955959362
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISTRA CORP
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAF9
        
          
        
        170000.00000000
        PA
        USD
        175525.00000000
        0.041173230206
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-31
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBP0
        
          
        
        350000.00000000
        PA
        USD
        372037.07000000
        0.087269436995
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-13
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA5
        35566ABD0
        
          
        
        534000.00000000
        PA
        USD
        569376.38000000
        0.133559691030
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -2685.10000000
        -0.00062984896
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            151908.46000000
            CHF
            165196.00000000
            USD
            2021-09-15
            -2685.10000000
          
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN BANK
        2549001DPIFGXC1TOL40
        Federal Home Loan Banks
        3130A6C70
        
          
        
        2200000.00000000
        PA
        USD
        2382866.51000000
        0.558953490207
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2025-09-12
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1031.99000000
        -0.00024207584
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            190492.00000000
            USD
            1630393.98000000
            SEK
            2021-09-15
            -1031.99000000
          
        
        
          N
          N
          N
        
      
      
        BUNDESREPUB. DEUTSCHLAND
        529900AQBND3S6YJLY83
        Bundesrepublik Deutschland Bundesanleihe
        000000000
        
          
        
        6370000.00000000
        PA
        
        7866267.24000000
        1.845205138538
        Long
        DBT
        NUSS
        DE
        N
        
        2
        
          2023-05-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDIGO MERGER SUB INC
        N/A
        Indigo Merger Sub Inc
        45569KAA1
        
          
        
        200000.00000000
        PA
        USD
        203980.00000000
        0.047847973209
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-07-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED THB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        556.84000000
        0.000130619008
        N/A
        DFE
        
        TH
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            365963.28000000
            USD
            12049366.61000000
            THB
            2021-09-15
            556.84000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -2730.33000000
        -0.00064045865
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            37996801.00000000
            JPY
            343738.03000000
            USD
            2021-09-15
            -2730.33000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS03543A SWAPTION US0003M V2
        000000000
        
          
        
        22300000.00000000
        NC
        USD
        167758.44000000
        0.039351413583
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    22300000.00000000
                    OU
                    Notional Amount
                    N/A
                    167758.44000000
                    0.04000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2025-04-22
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  22300000.00000000
                  USD
                
              
            
            1.00000000
            0.83000000
            USD
            2022-04-20
            XXXX
            6735.23000000
          
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pass-Through CTFS
        N/A
        Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR5 Trust
        93935AAD4
        
          
        
        235372.70000000
        PA
        USD
        205719.60000000
        0.048256034461
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-06-25
          Floating
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6842.74000000
        0.001605114423
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            146378.06000000
            USD
            1320037.35000000
            TRY
            2021-09-15
            6842.74000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -541.33000000
        -0.00012698079
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            289569.15000000
            GBP
            338599.75000000
            EUR
            2021-09-15
            -541.33000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -4136.65000000
        -0.00097034179
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            289329.51000000
            GBP
            398074.00000000
            USD
            2021-09-15
            -4136.65000000
          
        
        
          N
          N
          N
        
      
      
        TELEDYNE TECHNOLOGIES IN
        549300VSMO9KYQWDND94
        Teledyne Technologies Inc
        879360AB1
        
          
        
        400000.00000000
        PA
        USD
        400383.79000000
        0.093918780554
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        335.38000000
        0.000078670718
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            186603.79000000
            USD
            268367.24000000
            NZD
            2021-09-15
            335.38000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        
        3254.92000000
        0.000763512721
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1363903.58000000
            PLN
            357336.55000000
            USD
            2021-09-15
            3254.92000000
          
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        1690000.00000000
        PA
        
        3437615.94000000
        0.806368052760
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2034-09-07
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        55608JAR9
        
          
        
        225000.00000000
        PA
        USD
        224542.84000000
        0.052671437360
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2027-01-12
          Fixed
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        990000.00000000
        PA
        
        1295409.90000000
        0.303866742772
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2030-10-31
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493003FQV7GR462GO02
        Freddie Mac Stacr Remic Trust 2020-DNA1
        35565HAH8
        
          
        
        667125.67000000
        PA
        USD
        669206.23000000
        0.156976967176
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-25
          Floating
          1.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        -387.80000000
        -0.00009096697
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            12004345.39000000
            THB
            364762.85000000
            USD
            2021-09-15
            -387.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4710.47000000
        -0.00110494382
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            172577.96000000
            USD
            127431566.00000000
            CLP
            2021-08-12
            -4710.47000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3888.51000000
        0.000912135122
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            102784404.39000000
            HUF
            289319.60000000
            EUR
            2021-09-15
            3888.51000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        717.37000000
        0.000168274833
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            105163.06000000
            CAD
            85008.00000000
            USD
            2021-09-15
            717.37000000
          
        
        
          N
          N
          N
        
      
      
        Bank
        549300GL0Y86051URC66
        BANK 2018-BNK10
        065404AA3
        
          
        
        200000.00000000
        PA
        USD
        182031.20000000
        0.042699401808
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-02-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215929  IRS SEK R F  1.27250 2 CCPVANILLA / Short: SR215929  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        37870000.00000000
        OU
        Notional Amount
        
        85362.57000000
        0.020023658998
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-05-11
            0.00000000
            SEK
            -52202.55000000
            SEK
            37870000.00000000
            SEK
            91622.93000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -1134.40000000
        -0.00026609834
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2147199.81000000
            ZAR
            145300.00000000
            USD
            2021-08-10
            -1134.40000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2970.86000000
        -0.00069688023
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            143000.00000000
            USD
            2062746.40000000
            ZAR
            2021-09-15
            -2970.86000000
          
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PP EUR HOLD
        213800Y3B5GQFBGVHP79
        Blackstone Property Partners Europe Holdings Sarl
        000000000
        
          
        
        300000.00000000
        PA
        
        371518.39000000
        0.087147769249
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2024-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -20032.40000000
        -0.00469903783
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1429922.00000000
            USD
            1759012.83000000
            CAD
            2021-09-15
            -20032.40000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3881.02000000
        0.000910378179
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            366023.54000000
            USD
            27095807.61000000
            RUB
            2021-08-18
            3881.02000000
          
        
        
          N
          N
          N
        
      
      
        WPC EUROBOND BV
        5493005XDMOLBARL5M14
        WPC Eurobond BV
        000000000
        
          
        
        175000.00000000
        PA
        
        208695.56000000
        0.048954111010
        Long
        DBT
        
        NL
        
        N
        
        2
        
          2030-06-01
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6457.43000000
        -0.00151473153
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            289862.49000000
            USD
            386111.11000000
            AUD
            2021-09-15
            -6457.43000000
          
        
        
          N
          N
          N
        
      
      
        HEATHROW FUNDING LTD
        7TI96JO3DYEIQWZ7Z726
        Heathrow Funding Ltd
        000000000
        
          
        
        350000.00000000
        PA
        
        419575.01000000
        0.098420501215
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2030-10-08
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAD6
        
          
        
        275140.36000000
        PA
        USD
        284247.67000000
        0.066676511908
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-25
          Floating
          4.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Netflix Inc
        549300Y7VHGU0I7CE873
        Netflix Inc
        64110LAS5
        
          
        
        150000.00000000
        PA
        USD
        175500.00000000
        0.041167365909
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -341.14000000
        -0.00008002185
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            263160.71000000
            GBP
            365491.02000000
            USD
            2021-09-15
            -341.14000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        8569.48000000
        0.002010159081
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1200503.22000000
            NOK
            144469.06000000
            USD
            2021-09-15
            8569.48000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        6685.85000000
        0.001568312440
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            628654.28000000
            EUR
            681407.80000000
            CHF
            2021-09-15
            6685.85000000
          
        
        
          N
          N
          N
        
      
      
        ARDAGH METAL PACKAGING
        N/A
        Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        118869.31000000
        0.027883398177
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2029-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2587.78000000
        -0.00060702043
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            145810.25000000
            USD
            2109786.83000000
            ZAR
            2021-09-15
            -2587.78000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        7013.32000000
        0.001645127696
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            244887264.00000000
            JPY
            2239982.61000000
            USD
            2021-09-15
            7013.32000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128283U2
        
          
        
        5000.00000000
        PA
        USD
        5166.99000000
        0.001212030586
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-01-31
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1682.52000000
        0.000394671888
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            525940.00000000
            USD
            57863776.00000000
            JPY
            2021-09-15
            1682.52000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1181.16000000
        -0.00027706692
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            400099.14000000
            USD
            336001.76000000
            EUR
            2021-09-15
            -1181.16000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR216220  IRS MXN R V 01MTIIE 1 CCPVANILLA / Short: BR216220  IRS MXN P F  5.60000 2 CCPVANILLA
        000000000
        
          
        
        98610000.00000000
        OU
        Notional Amount
        
        38008.12000000
        0.008915636373
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-09-13
            0.00000000
            MXN
            -24112.77000000
            MXN
            98610000.00000000
            MXN
            39233.80000000
          
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        000000000
        
          
        
        325000.00000000
        PA
        
        418143.15000000
        0.098084627115
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -950.15000000
        -0.00022287847
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            253481.71000000
            GBP
            296000.73000000
            EUR
            2021-09-15
            -950.15000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        163.79000000
        0.000038420529
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            111085800.07000000
            HUF
            309284.74000000
            EUR
            2021-09-15
            163.79000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3162.48000000
        -0.00074182889
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            145300.00000000
            USD
            2084193.66000000
            ZAR
            2021-08-10
            -3162.48000000
          
        
        
          N
          N
          N
        
      
      
        PINEWOOD FINANCE CO LTD
        N/A
        Pinewood Finance Co Ltd
        000000000
        
          
        
        175000.00000000
        PA
        
        247275.95000000
        0.058003985836
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-09-30
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1287.48000000
        -0.00030200661
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1097565.16000000
            USD
            923375.85000000
            EUR
            2021-09-15
            -1287.48000000
          
        
        
          N
          N
          N
        
      
      
        ONTARIO (PROVINCE OF)
        C7PVKCRGLG18EBQGZV36
        Province of Ontario Canada
        68323ABN3
        
          
        
        1200000.00000000
        PA
        
        1002908.95000000
        0.235254243412
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2023-06-02
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        800000.00000000
        PA
        
        1921203.63000000
        0.450660357968
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2046-12-07
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -8871.66000000
        -0.00208104201
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            298963.65000000
            EUR
            104741615.81000000
            HUF
            2021-09-15
            -8871.66000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4989.73000000
        0.001170450374
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            373060.00000000
            USD
            342081.10000000
            CHF
            2021-09-15
            4989.73000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -30213.41000000
        -0.00708721655
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1164029.00000000
            USD
            1544710.56000000
            AUD
            2021-09-15
            -30213.41000000
          
        
        
          N
          N
          N
        
      
      
        SWEDISH GOVERNMENT
        ERE94C0BSULG2RM19605
        Sweden Government Bond
        000000000
        
          
        
        4610000.00000000
        PA
        
        569582.73000000
        0.133608094939
        Long
        DBT
        NUSS
        SE
        N
        
        2
        
          2026-11-12
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAW1
        
          
        
        350000.00000000
        PA
        USD
        363699.00000000
        0.085313560193
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3623.30000000
        0.000849924312
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            100343.64000000
            USD
            895702.45000000
            TRY
            2021-09-15
            3623.30000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7917.75000000
        0.001857281546
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            143838.06000000
            USD
            1307416.05000000
            TRY
            2021-09-15
            7917.75000000
          
        
        
          N
          N
          N
        
      
      
        VERISURE HOLDING AB
        549300VQQCWGISM3N408
        Verisure Holding AB
        000000000
        
          
        
        150000.00000000
        PA
        
        178571.95000000
        0.041887959013
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2027-02-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        2000000.00000000
        PA
        
        18531.33000000
        0.004346929019
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2051-03-20
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-RB1
        95000TAC0
        
          
        
        200000.00000000
        PA
        USD
        192071.42000000
        0.045054555145
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        12770.84000000
        0.002995680018
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            11326338.68000000
            THB
            357297.75000000
            USD
            2021-09-15
            12770.84000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -3403.52000000
        -0.00079837010
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            10806336.65000000
            ZAR
            730182.55000000
            USD
            2021-09-15
            -3403.52000000
          
        
        
          N
          N
          N
        
      
      
        IQVIA INC
        549300PLWY28YB00C717
        IQVIA Inc
        000000000
        
          
        
        225000.00000000
        PA
        
        268974.65000000
        0.063093890809
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215963  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215963  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        3530000.00000000
        OU
        Notional Amount
        
        3164.46000000
        0.000742293348
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-09-15
            38100.09000000
            EUR
            0.00000000
            EUR
            3530000.00000000
            EUR
            -43226.35000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -957.96000000
        -0.00022471048
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            345049.39000000
            USD
            289822.30000000
            EUR
            2021-09-15
            -957.96000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR210308  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR210308  IRS USD P F  1.50000 2 CCPVANILLA
        000000000
        
          
        
        20000.00000000
        OU
        Notional Amount
        USD
        -608.31000000
        -0.00014269242
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-21
            561.07000000
            USD
            0.00000000
            USD
            20000.00000000
            USD
            -1169.38000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35565TBD0
        
          
        
        119000.00000000
        PA
        USD
        125024.79000000
        0.029327300727
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Floating
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216022  IRS AUD R F  1.00000 2 CCPVANILLA / Short: SR216022  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        1780000.00000000
        OU
        Notional Amount
        
        16455.57000000
        0.003860014082
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-09-15
            3755.59000000
            AUD
            0.00000000
            AUD
            1780000.00000000
            AUD
            13626.98000000
          
        
        
          N
          N
          N
        
      
      
        EMD Finance LLC
        529900C8KS5G529A0B76
        EMD Finance LLC
        26867LAL4
        
          
        
        900000.00000000
        PA
        USD
        971962.06000000
        0.227994973074
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-03-19
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        AUST 10Y BOND FUT SEP21
        000000000
        
          
        
        58.00000000
        NC
        
        111780.56000000
        0.026220576724
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                10 Year Commonwealth Treasury Bond
                XMU1 Comdty
              
            
            2021-09-15
            8280741.85000000
            AUD
            111780.56000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EJ7A0
        
          
        
        73143.38000000
        PA
        USD
        86618.05000000
        0.020318159309
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -12504.09000000
        -0.00293310796
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1516758.50000000
            USD
            1732138207.00000000
            KRW
            2021-08-06
            -12504.09000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXBF6
        
          
        
        278907.09000000
        PA
        USD
        317574.02000000
        0.074493936665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO BILBAO VIZCAYA ARG
        K8MS7FD7N5Z2WQ51AZ71
        Banco Bilbao Vizcaya Argentaria SA
        000000000
        
          
        
        200000.00000000
        PA
        
        271038.08000000
        0.063577913474
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2026-01-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26
        61690VAE8
        
          
        
        200000.00000000
        PA
        USD
        196674.42000000
        0.046134289534
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-15
          Fixed
          3.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        7683.67000000
        0.001802372959
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            5003905.33000000
            ZAR
            347372.81000000
            USD
            2021-09-15
            7683.67000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        000000000
        
          
        
        600000.00000000
        PA
        
        741465.23000000
        0.173926897053
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-10-30
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        62.79000000
        0.000014728768
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            406129.00000000
            USD
            583123.23000000
            NZD
            2021-09-15
            62.79000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214839  IRS PLN R V 03MWIBOR 1 CCPZERO / Short: BR214839  IRS PLN P F   .25000 2 CCPZERO
        000000000
        
          
        
        22390000.00000000
        OU
        Notional Amount
        
        -264.56000000
        -0.00006205833
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2021-12-16
            0.00000000
            PLN
            -1193.97000000
            PLN
            22390000.00000000
            PLN
            66.95000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        849.07000000
        0.000199167950
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            292100.00000000
            USD
            337328764.00000000
            KRW
            2021-08-06
            849.07000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        1909.72000000
        0.000447966621
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            745613.39000000
            AUD
            549189.00000000
            USD
            2021-09-15
            1909.72000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -767.59000000
        -0.00018005503
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            195088.68000000
            USD
            3890575.51000000
            MXN
            2021-09-15
            -767.59000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -51997.05000000
        -0.01219704606
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            829287.06000000
            USD
            6866387.41000000
            NOK
            2021-09-15
            -51997.05000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RE0
        
          
        
        21620000.00000000
        PA
        USD
        28779091.35000000
        6.750765721696
        Long
        DBT
        UST
        US
        N
        
        2
        
          2044-02-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8120.07000000
        -0.00190474013
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144404.33000000
            USD
            2007581.20000000
            ZAR
            2021-09-15
            -8120.07000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10131.62000000
        -0.00237659320
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144404.33000000
            USD
            1977949.43000000
            ZAR
            2021-09-15
            -10131.62000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        2798.89000000
        0.000656540904
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3028991.26000000
            SEK
            298827.60000000
            EUR
            2021-09-15
            2798.89000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9820.73000000
        -0.00230366715
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            216466.63000000
            USD
            156869037.00000000
            CLP
            2021-08-12
            -9820.73000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -204.12000000
        -0.00004788081
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            378674.09000000
            USD
            318778.75000000
            EUR
            2021-09-15
            -204.12000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT CPI LINKED
        353800WZS8AXZXFUC241
        Japanese Government CPI Linked Bond
        000000000
        
          
        
        742418424.00000000
        PA
        
        6960278.47000000
        1.632685644494
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2029-03-10
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAG1
        
          
        
        150000.00000000
        PA
        USD
        183481.03000000
        0.043039491165
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        000000000
        
          
        
        600000.00000000
        PA
        
        741999.04000000
        0.174052113871
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2026-01-14
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        28488.22000000
        0.006682535480
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1103829.95000000
            CAD
            913233.54000000
            USD
            2021-09-15
            28488.22000000
          
        
        
          N
          N
          N
        
      
      
        ONE GAS INC
        549300HXDWI0LATTX840
        ONE Gas Inc
        68235PAL2
        
          
        
        400000.00000000
        PA
        USD
        400114.88000000
        0.093855701828
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-11
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406ARR5
        
          
        
        18165.29000000
        PA
        USD
        20406.47000000
        0.004786784144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -13428.52000000
        -0.00314995325
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1278007.44000000
            EUR
            12941652.87000000
            SEK
            2021-09-15
            -13428.52000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3475.46000000
        0.000815245205
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            728168.51000000
            USD
            616251.14000000
            EUR
            2021-09-15
            3475.46000000
          
        
        
          N
          N
          N
        
      
      
        Nabors Industries Inc
        549300VFQWRKICUFNU92
        Nabors Industries Inc
        629568AX4
        
          
        
        4000.00000000
        PA
        USD
        3980.00000000
        0.000933596104
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-09-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BV0
        
          
        
        950000.00000000
        PA
        USD
        1017564.29000000
        0.238691974149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-06
          Fixed
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        20.33000000
        0.000004768846
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            822361.00000000
            JPY
            7517.70000000
            USD
            2021-08-26
            20.33000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        7695.94000000
        0.001805251156
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            10395279.13000000
            ZAR
            713377.45000000
            USD
            2021-09-15
            7695.94000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (2 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Two Year Bond
        000000000
        
          
        
        3184650000.00000000
        PA
        
        29100626.58000000
        6.826188846860
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2023-07-01
          Fixed
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8807.75000000
        0.002066050524
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1045262.00000000
            USD
            115598660.00000000
            JPY
            2021-09-15
            8807.75000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        13129.47000000
        0.003079804533
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            757996.59000000
            AUD
            569498.00000000
            USD
            2021-09-15
            13129.47000000
          
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAJ1
        
          
        
        350000.00000000
        PA
        USD
        369989.55000000
        0.086789146368
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCK7
        
          
        
        350000.00000000
        PA
        USD
        360500.00000000
        0.084563164732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2320.27000000
        -0.00054427010
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            8362726.85000000
            CZK
            325492.92000000
            EUR
            2021-09-15
            -2320.27000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        520.07000000
        0.000121993800
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            288192.41000000
            USD
            414400.00000000
            NZD
            2021-08-03
            520.07000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA6
        35566CBD6
        
          
        
        435000.00000000
        PA
        USD
        438482.78000000
        0.102855732475
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Floating
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -203.35000000
        -0.00004770019
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            362688.01000000
            USD
            452244.75000000
            CAD
            2021-09-15
            -203.35000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)SEP21
        000000000
        
          
        
        140.00000000
        NC
        USD
        201672.93000000
        0.047306799449
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYU1 Comdty
              
            
            2021-09-21
            18621764.57000000
            USD
            201672.93000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -9685.74000000
        -0.00227200229
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            594679.42000000
            GBP
            817006.27000000
            USD
            2021-09-15
            -9685.74000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4514.08000000
        0.001058876257
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            720489.54000000
            USD
            79510343.00000000
            JPY
            2021-09-15
            4514.08000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -10718.64000000
        -0.00251429159
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1081561.26000000
            EUR
            139648485.00000000
            JPY
            2021-09-15
            -10718.64000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        21149.11000000
        0.004960986609
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2081988.59000000
            USD
            13605795.44000000
            CNY
            2021-08-12
            21149.11000000
          
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PED6
        
          
        
        150000.00000000
        PA
        USD
        153676.50000000
        0.036048186366
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2030-01-30
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CF4
        
          
        
        325000.00000000
        PA
        USD
        334794.98000000
        0.078533489723
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2032-01-14
          Fixed
          3.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CZK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -54409.04000000
        -0.01276283110
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1819675.27000000
            USD
            37972983.44000000
            CZK
            2021-09-15
            -54409.04000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PTMSIUSRU202108067379 PUT USD RUB 73.79 AUG21
        000000000
        
          
        
        1458000.00000000
        OU
        Notional Amount
        USD
        15101.96000000
        0.003542495232
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Put
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    15101.96000000
                    0.00000000
                    DFE
                    
                    US
                  
                  107585820.00000000
                  RUB
                  1458000.00000000
                  USD
                  2021-08-06
                
              
            
            1.00000000
            73.79000000
            USD
            2021-08-06
            XXXX
            6393.33000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2406.07000000
        0.000564396376
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            145206.00000000
            USD
            133567.88000000
            CHF
            2021-09-15
            2406.07000000
          
        
        
          N
          N
          N
        
      
      
        BOOKING HOLDINGS INC
        FXM8FAOHMYDIPD38UZ17
        Booking Holdings Inc
        000000000
        
          
        
        175000.00000000
        PA
        
        209537.15000000
        0.049151524363
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-08
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF VENEZUELA
        529900XM8PJTJK5OJI77
        Venezuela Government International Bond
        000000000
        
          
        
        230000.00000000
        PA
        USD
        23690.00000000
        0.005557007968
        Long
        DBT
        NUSS
        VE
        Y
        
        2
        
          2028-05-07
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2019-B13 Mortgage Trust
        08162DAR9
        
          
        
        250000.00000000
        PA
        USD
        226735.83000000
        0.053185851159
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRG Energy Inc
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CH3
        
          
        
        160000.00000000
        PA
        USD
        171600.00000000
        0.040252535556
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        936.60000000
        0.000219700027
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            15953500.77000000
            MXN
            797760.00000000
            USD
            2021-09-15
            936.60000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-OAT FUTURE SEP21
        000000000
        
          
        
        10.00000000
        NC
        
        43298.11000000
        0.010156519302
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-OAT
                OATU1 Comdty
              
            
            2021-09-08
            1584300.00000000
            EUR
            43298.11000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        5493000F4ZO33MV32P92
        Long: SR216406  IRS BRL R F  7.20000 CCPNDFPREDISWAP / Short: SR216406  IRS BRL P V 01MLIBOR CCPNDFPREDISWAP
        000000000
        
          
        
        13940000.00000000
        OU
        Notional Amount
        
        -16010.74000000
        -0.00375566947
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-01-02
            6346.77000000
            BRL
            0.00000000
            BRL
            13940000.00000000
            BRL
            -17219.24000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUND FUTURE SEP21
        000000000
        
          
        
        51.00000000
        NC
        
        214023.13000000
        0.050203809150
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-Bund (FGBL)
                RXU1 Comdty
              
            
            2021-09-08
            8824650.00000000
            EUR
            214023.13000000
          
        
        
          N
          N
          N
        
      
      
        Fair Isaac Corp
        RI6HET5SJUEY30V1PS26
        Fair Isaac Corp
        303250AE4
        
          
        
        155000.00000000
        PA
        USD
        176312.50000000
        0.041357955566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        48616.89000000
        0.011404155555
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1321476.00000000
            AUD
            1018461.55000000
            USD
            2021-08-20
            48616.89000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215695  IRS AUD R F   .19000 2 CCPVANILLA / Short: SR215695  IRS AUD P V 03MBBSW 1 CCPVANILLA
        000000000
        
          
        
        61340000.00000000
        OU
        Notional Amount
        
        12965.93000000
        0.003041442647
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-02-22
            0.00000000
            AUD
            -27269.45000000
            AUD
            61340000.00000000
            AUD
            34142.74000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1367.30000000
        -0.00032073013
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            143727.58000000
            USD
            2850248.70000000
            MXN
            2021-09-15
            -1367.30000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -1451.82000000
        -0.00034055615
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1490441.41000000
            SEK
            171745.00000000
            USD
            2021-09-15
            -1451.82000000
          
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PP EUR HOLD
        213800Y3B5GQFBGVHP79
        Blackstone Property Partners Europe Holdings Sarl
        000000000
        
          
        
        237000.00000000
        PA
        
        290444.08000000
        0.068130015485
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2027-04-26
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RZ3
        
          
        
        2390000.00000000
        PA
        USD
        2816278.92000000
        0.660619856431
        Long
        DBT
        UST
        US
        N
        
        2
        
          2047-11-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TELECOM ITALIA SPA
        549300W384M3RI3VXU42
        Telecom Italia SpA/Milano
        000000000
        
          
        
        350000.00000000
        PA
        
        447331.12000000
        0.104931304272
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2024-04-11
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT
        4BFD7AQU0A75QLAHK410
        Canadian Government Bond
        135087D35
        
          
        
        1500000.00000000
        PA
        
        1466352.20000000
        0.343965000399
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2048-12-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7212.95000000
        0.001691955281
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            728511.97000000
            USD
            4756709.63000000
            CNY
            2021-08-04
            7212.95000000
          
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        3130000.00000000
        PA
        
        6329510.30000000
        1.484725165527
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2044-01-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -4582.02000000
        -0.00107481307
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1293781.20000000
            TRY
            145591.15000000
            USD
            2021-09-15
            -4582.02000000
          
        
        
          N
          N
          N
        
      
      
        ELANCO ANIMAL HEALTH INC
        549300SHPNDCE059M934
        Elanco Animal Health Inc
        28414HAE3
        
          
        
        350000.00000000
        PA
        USD
        374500.00000000
        0.087847171129
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-28
          Fixed
          5.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        CTMSIUSTR202108119250 CALL USD TRY 9.25 AUG21
        000000000
        
          
        
        -731000.00000000
        OU
        Notional Amount
        USD
        -99.42000000
        -0.00002332113
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -99.42000000
                    0.00000000
                    DFE
                    
                    TR
                  
                  -731000.00000000
                  USD
                  -6761750.00000000
                  TRY
                  2021-08-11
                
              
            
            1.00000000
            9.25000000
            USD
            2021-08-11
            XXXX
            4052.66000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BOBL FUTURE SEP21
        000000000
        
          
        
        25.00000000
        NC
        
        27485.40000000
        0.006447302102
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-Bobl (FGBM)
                OEU1 Comdty
              
            
            2021-09-08
            3360830.00000000
            EUR
            27485.40000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3854.85000000
        0.000904239432
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            336829.59000000
            USD
            37362485.00000000
            JPY
            2021-09-15
            3854.85000000
          
        
        
          N
          N
          N
        
      
      
        CaixaBank SA
        7CUNS533WID6K7DGFI87
        CaixaBank SA
        000000000
        
          
        
        400000.00000000
        PA
        
        492070.52000000
        0.115425909688
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2024-05-17
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICG US CLO Ltd
        254900T2ODAPJRGAZY53
        ICG US CLO 2017-1 Ltd
        449259AJ9
        
          
        
        2100000.00000000
        PA
        USD
        2099472.90000000
        0.492477316763
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-28
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912833Z60
        
          
        
        350000.00000000
        PA
        USD
        259494.07000000
        0.060870013282
        Long
        DBT
        UST
        US
        N
        
        2
        
          2038-02-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -1237.41000000
        -0.00029026159
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7294504.16000000
            MXN
            363098.40000000
            USD
            2021-09-15
            -1237.41000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215989  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR215989  IRS GBP P F   .25000 2 CCPOIS
        000000000
        
          
        
        12040000.00000000
        OU
        Notional Amount
        
        536361.77000000
        0.125815391713
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-09-15
            581121.66000000
            GBP
            0.00000000
            GBP
            12040000.00000000
            GBP
            -283845.07000000
          
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        AUST 3YR BOND FUT SEP21
        000000000
        
          
        
        43.00000000
        NC
        
        6621.62000000
        0.001553245888
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                3 Year Commonwealth Treasury Bond
                YMU1 Comdty
              
            
            2021-09-15
            5025253.48000000
            AUD
            6621.62000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8045.29000000
        -0.00188719884
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            356325.91000000
            USD
            401850108.00000000
            KRW
            2021-09-15
            -8045.29000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -31243.06000000
        -0.00732874349
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1369534.80000000
            USD
            1813421.57000000
            SGD
            2021-09-15
            -31243.06000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -8334.19000000
        -0.00195496666
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7939358.72000000
            MXN
            388209.92000000
            USD
            2021-09-15
            -8334.19000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2828.38000000
        0.000663458429
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            355561.81000000
            USD
            301865.90000000
            EUR
            2021-09-15
            2828.38000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA5
        35564KJA8
        
          
        
        130000.00000000
        PA
        USD
        132280.20000000
        0.031029215931
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-25
          Floating
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8764.58000000
        -0.00205592405
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1350480.00000000
            USD
            1926147.79000000
            NZD
            2021-09-15
            -8764.58000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216001  IRS CAD R F  1.25000 2 CCPVANILLA / Short: SR216001  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        11510000.00000000
        OU
        Notional Amount
        
        -382115.95000000
        -0.08963365888
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-09-15
            0.00000000
            CAD
            -602298.60000000
            CAD
            11510000.00000000
            CAD
            105234.01000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -882.37000000
        -0.00020697919
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            113018.50000000
            GBP
            156230.00000000
            USD
            2021-09-15
            -882.37000000
          
        
        
          N
          N
          N
        
      
      
        Cooperatieve Rabobank UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        000000000
        
          
        
        450000.00000000
        PA
        
        576510.84000000
        0.135233234765
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2023-07-25
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THAMES WATER UTIL FIN
        213800ESMPQ4RQ7G8351
        Thames Water Utilities Finance PLC
        000000000
        
          
        
        550000.00000000
        PA
        
        800031.46000000
        0.187664888052
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-09-13
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CY9
        
          
        
        425000.00000000
        PA
        USD
        506837.83000000
        0.118889905439
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -8436.01000000
        -0.00197885077
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            614449.27000000
            CHF
            670620.44000000
            USD
            2021-09-15
            -8436.01000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4439.50000000
        0.001041381885
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3108476.30000000
            NOK
            300127.09000000
            EUR
            2021-09-15
            4439.50000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        4157.28000000
        0.000975181008
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            405894.06000000
            AUD
            302083.00000000
            USD
            2021-09-15
            4157.28000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3564.81000000
        0.000836204203
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3028545.89000000
            SEK
            299429.12000000
            EUR
            2021-09-15
            3564.81000000
          
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LBJ4
        
          
        
        121000.00000000
        PA
        USD
        161916.53000000
        0.037981065739
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -1901.98000000
        -0.00044615103
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            26028725.73000000
            RUB
            353435.07000000
            USD
            2021-08-18
            -1901.98000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -929.20000000
        -0.00021796419
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            365261.62000000
            USD
            493680.30000000
            SGD
            2021-09-15
            -929.20000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9835.65000000
        -0.00230716696
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            376008.66000000
            USD
            308421.23000000
            EUR
            2021-09-15
            -9835.65000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -6695.56000000
        -0.00157059013
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            938443.57000000
            EUR
            1107357.78000000
            USD
            2021-09-10
            -6695.56000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        425.97000000
        0.000099920586
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            220521.41000000
            CAD
            177179.00000000
            USD
            2021-09-15
            425.97000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX003033  CDS USD R F  1.00000 2 CCPCDX / Short: SX003033  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        3150000.00000000
        OU
        Notional Amount
        USD
        -93879.45000000
        -0.02202147959
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.EM.S35.V1
                2I65BZEA6
              
            
            Y
            
            sell protection
            2026-06-20
            0.00000000
            USD
            -115545.52000000
            USD
            3150000.00000000
            USD
            21666.07000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AVQW8
        
          
        
        77380.88000000
        PA
        USD
        87069.30000000
        0.020424009872
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -6381.42000000
        -0.00149690172
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            515989.37000000
            GBP
            710919.83000000
            USD
            2021-09-15
            -6381.42000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABB0
        
          
        
        250000.00000000
        PA
        USD
        271495.00000000
        0.063685094060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBG3
        
          
        
        350000.00000000
        PA
        USD
        377859.41000000
        0.088635194267
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7318.33000000
        -0.00171667446
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            143589.74000000
            USD
            103446356.00000000
            CLP
            2021-08-12
            -7318.33000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -110009.78000000
        -0.02580520152
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2010330.20000000
            USD
            2588996.89000000
            AUD
            2021-09-15
            -110009.78000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -7275.65000000
        -0.00170666293
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1203389.75000000
            ILS
            365122.73000000
            USD
            2021-09-17
            -7275.65000000
          
        
        
          N
          N
          N
        
      
      
        COMMERZBANK AG
        851WYGNLUQLFZBSYGB56
        Commerzbank AG
        000000000
        
          
        
        400000.00000000
        PA
        
        521858.66000000
        0.122413369854
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-10-09
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03277A SWAPTION US0003M
        000000000
        
          
        
        13340000.00000000
        NC
        USD
        45460.05000000
        0.010663649644
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    13340000.00000000
                    OU
                    Notional Amount
                    N/A
                    45460.05000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-08-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  13340000.00000000
                  USD
                
              
            
            1.00000000
            0.75000000
            USD
            2021-08-10
            XXXX
            -22573.95000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS03652A SWAPTION EUR006M
        000000000
        
          
        
        -7550000.00000000
        NC
        
        -352.87000000
        -0.00008277338
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    7550000.00000000
                    OU
                    Notional Amount
                    N/A
                    -352.87000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-08-24
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7550000.00000000
                  EUR
                
              
            
            1.00000000
            -0.02100000
            EUR
            2021-08-20
            XXXX
            13494.77000000
          
        
        
          N
          N
          N
        
      
      
        TECHNIPFMC PLC
        549300D5I93QWCJTCK36
        TechnipFMC PLC
        87854XAE1
        
          
        
        165000.00000000
        PA
        USD
        176814.76000000
        0.041475771642
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-02-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CP8
        
          
        
        50000.00000000
        PA
        USD
        51616.98000000
        0.012107892323
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-02-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAIXABANK SA
        7CUNS533WID6K7DGFI87
        CaixaBank SA
        000000000
        
          
        
        200000.00000000
        PA
        
        273410.57000000
        0.064134432927
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-10-09
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -62187.64000000
        -0.01458747197
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1335899.08000000
            USD
            6633807.63000000
            BRL
            2021-08-03
            -62187.64000000
          
        
        
          N
          N
          N
        
      
      
        Home Equity Loan Trust
        N/A
        Home Equity Loan Trust
        43710XAD0
        
          
        
        511740.24000000
        PA
        USD
        493205.62000000
        0.115692172235
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -83.23000000
        -0.00001952341
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            545395.33000000
            USD
            782842.38000000
            NZD
            2021-09-15
            -83.23000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -660.68000000
        -0.00015497695
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            298212.32000000
            EUR
            7601879.36000000
            CZK
            2021-09-15
            -660.68000000
          
        
        
          N
          N
          N
        
      
      
        FREEPORT-MCMORAN INC
        549300IRDTHJQ1PVET45
        Freeport-McMoRan Inc
        35671DCH6
        
          
        
        350000.00000000
        PA
        USD
        384562.50000000
        0.090207550727
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        8341.52000000
        0.001956686074
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            111570918.00000000
            CLP
            155315.54000000
            USD
            2021-08-12
            8341.52000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1006.34000000
        0.000236059071
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            336880.38000000
            USD
            37055662.00000000
            JPY
            2021-09-15
            1006.34000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -420.69000000
        -0.00009868204
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7912720.50000000
            CZK
            309472.65000000
            EUR
            2021-09-15
            -420.69000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5191.90000000
        0.001217873772
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144028.81000000
            USD
            2987604.01000000
            MXN
            2021-09-15
            5191.90000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -860.16000000
        -0.00020176935
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1426087.93000000
            USD
            1778149.11000000
            CAD
            2021-09-15
            -860.16000000
          
        
        
          N
          N
          N
        
      
      
        MACQUARIE BANK LTD
        4ZHCHI4KYZG2WVRT8631
        Macquarie Bank Ltd
        556079AD3
        
          
        
        475000.00000000
        PA
        USD
        479036.97000000
        0.112368605289
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2036-03-03
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAM2
        
          
        
        210000.00000000
        PA
        USD
        206390.10000000
        0.048413314910
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2031-05-24
          Fixed
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        9749.11000000
        0.002286867114
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            4814120.16000000
            NOK
            554718.00000000
            USD
            2021-09-15
            9749.11000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -3808.95000000
        -0.00089347258
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            619372.94000000
            EUR
            731541.38000000
            USD
            2021-09-15
            -3808.95000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        757.52000000
        0.000177692894
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            313133.36000000
            EUR
            464771.32000000
            CAD
            2021-09-15
            757.52000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (2 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Two Year Bond
        000000000
        
          
        
        5450000.00000000
        PA
        
        49783.51000000
        0.011677811808
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2022-07-01
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Trysail CLO Ltd
        N/A
        Trysail CLO 2021-1 Ltd
        89855AAC0
        
          
        
        2100000.00000000
        PA
        USD
        2099464.50000000
        0.492475346360
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-20
          Floating
          1.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        19912.23000000
        0.004670849336
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1248316.17000000
            AUD
            936174.71000000
            USD
            2021-09-15
            19912.23000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Limited
        K9WDOH4D2PYBSLSOB484
        PTBARUSKR202108041142 PUT USD KRW 1142 AUG21
        000000000
        
          
        
        2921000.00000000
        OU
        Notional Amount
        USD
        1177.16000000
        0.000276128640
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Capital Securities Limited
              K9WDOH4D2PYBSLSOB484
            
            Put
            Purchased
            
              
                
                  
                    Barclays Capital Securities Limited
                    K9WDOH4D2PYBSLSOB484
                  
                  
                    Barclays Capital Securities Limited
                    K9WDOH4D2PYBSLSOB484
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    1177.16000000
                    0.00000000
                    DFE
                    
                    US
                  
                  3335782000.00000000
                  KRW
                  2921000.00000000
                  USD
                  2021-08-04
                
              
            
            1.00000000
            1142.00000000
            USD
            2021-08-04
            XXXX
            -5249.04000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAD8
        
          
        
        475000.00000000
        PA
        USD
        571710.02000000
        0.134107097365
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11534.93000000
        -0.00270577027
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            216581.39000000
            USD
            279355.33000000
            AUD
            2021-09-15
            -11534.93000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216407  IRS EUR R F   .22000 2 CCPVANILLA / Short: SR216407  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        12450000.00000000
        OU
        Notional Amount
        
        2852.60000000
        0.000669139760
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-07-22
            0.00000000
            EUR
            -14209.65000000
            EUR
            12450000.00000000
            EUR
            19630.21000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        16879.57000000
        0.003959472561
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            373689.70000000
            USD
            28848844.84000000
            RUB
            2021-10-01
            16879.57000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        13375.53000000
        0.003137523292
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            977652.20000000
            AUD
            730971.00000000
            USD
            2021-09-15
            13375.53000000
          
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AM8
        
          
        
        650000.00000000
        PA
        USD
        744204.04000000
        0.174569344878
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7016.83000000
        0.001645951043
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            728204.31000000
            USD
            528880.01000000
            GBP
            2021-09-15
            7016.83000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4995.25000000
        0.001171745211
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            727206.67000000
            USD
            616721.09000000
            EUR
            2021-09-15
            4995.25000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03897A SWAPTION SONIO SEP22 0.363 CALL
        000000000
        
          
        
        -1180000.00000000
        NC
        
        -22241.13000000
        -0.00521714380
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    1180000.00000000
                    OU
                    Notional Amount
                    N/A
                    -22241.13000000
                    -0.01000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1180000.00000000
                  GBP
                
              
            
            1.00000000
            0.36300000
            GBP
            2022-09-08
            XXXX
            -396.75000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        2108.78000000
        0.000494660500
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2093530.45000000
            ZAR
            144500.00000000
            USD
            2021-08-31
            2108.78000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        57407.39000000
        0.013466159715
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            6114807.82000000
            EUR
            7316471.51000000
            USD
            2021-09-10
            57407.39000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -3995.18000000
        -0.00093715690
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1833770.79000000
            CAD
            1465814.66000000
            USD
            2021-09-15
            -3995.18000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        395.49000000
        0.000092770835
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            715623.96000000
            USD
            78525059.00000000
            JPY
            2021-09-15
            395.49000000
          
        
        
          N
          N
          N
        
      
      
        BELLIS ACQUISITION CO PL
        259400CYE2267UB4A481
        Bellis Acquisition Co PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        138652.59000000
        0.032523999469
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-02-16
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3140.16000000
        0.000736593252
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            198054.00000000
            USD
            182052.03000000
            CHF
            2021-09-15
            3140.16000000
          
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        5980000.00000000
        PA
        
        7224524.24000000
        1.694670273005
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2030-11-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        10000.00000000
        PA
        
        12425.54000000
        0.002914682346
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2050-01-28
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL SPA
        WOCMU6HCI0OJWNPRZS33
        Enel SpA
        000000000
        
          
        
        700000.00000000
        PA
        
        831540.48000000
        0.195056018284
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2027-06-08
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -3778.05000000
        -0.00088622431
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            465754.64000000
            EUR
            549189.00000000
            USD
            2021-09-15
            -3778.05000000
          
        
        
          N
          N
          N
        
      
      
        HELVETIA EUROPE SA
        549300KW3XYA7W477U50
        Helvetia Europe SA
        000000000
        
          
        
        300000.00000000
        PA
        
        393147.04000000
        0.092221242461
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2041-09-30
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        000000000
        
          
        
        200000.00000000
        PA
        
        254817.77000000
        0.059773084774
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2030-11-19
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10781.21000000
        -0.00252896875
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            287462.35000000
            USD
            4075744.68000000
            ZAR
            2021-09-15
            -10781.21000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1819.63000000
        0.000426834040
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            348177.71000000
            USD
            251769.96000000
            GBP
            2021-09-15
            1819.63000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS03611A SWAPTION US0003M
        000000000
        
          
        
        2410000.00000000
        NC
        USD
        6535.68000000
        0.001533086780
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    2410000.00000000
                    OU
                    Notional Amount
                    N/A
                    6535.68000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-11-17
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2410000.00000000
                  USD
                
              
            
            1.00000000
            1.11000000
            USD
            2021-11-15
            XXXX
            -16793.12000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        13792.81000000
        0.003235405448
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            478630.04000000
            AUD
            365106.65000000
            USD
            2021-09-15
            13792.81000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE SA
        969500TJ5KRTCJQWXH05
        Credit Agricole SA
        22535WAH0
        
          
        
        650000.00000000
        PA
        USD
        644718.03000000
        0.151232723929
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-26
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3976.71000000
        -0.00093282436
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            341238.72000000
            USD
            420776.35000000
            CAD
            2021-09-15
            -3976.71000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4960.64000000
        0.001163626678
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            509447.11000000
            USD
            10299150.89000000
            MXN
            2021-09-15
            4960.64000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2280.23000000
        -0.00053487785
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            306116.99000000
            EUR
            3107929.27000000
            SEK
            2021-09-15
            -2280.23000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Commercial Mortgage Trust
        N/A
        Banc of America Commercial Mortgage Trust 2016-UBS10
        06054MAW3
        
          
        
        350000.00000000
        PA
        USD
        331007.81000000
        0.077645126115
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -495.46000000
        -0.00011622098
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            114627.03000000
            GBP
            158853.00000000
            USD
            2021-09-15
            -495.46000000
          
        
        
          N
          N
          N
        
      
      
        Higher Education Funding
        635400EWI7RHQRLFJW85
        Higher Education Funding I
        429827AY4
        
          
        
        1103238.38000000
        PA
        USD
        1107799.17000000
        0.259858540091
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CS005881  CDS USD R F  1.00000 2 CORPORATE / Short: CS005881  CDS USD P V 03MEVENT 1 CORPORATE
        000000000
        
          
        
        1120000.00000000
        OU
        Notional Amount
        USD
        22090.77000000
        0.005181873571
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CHINA GOVT INTL BOND
                CHINA GOVT INTL BOND
                
                  
                  
                
              
            
            Y
            
            sell protection
            2023-12-20
            13128.95000000
            USD
            0.00000000
            USD
            1120000.00000000
            USD
            8961.82000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -1234.13000000
        -0.00028949220
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            7340282.34000000
            MXN
            365388.14000000
            USD
            2021-09-15
            -1234.13000000
          
        
        
          N
          N
          N
        
      
      
        LUKOIL SECURITIES BV
        724500IVNQ6LF8OFIO42
        Lukoil Securities BV
        54988LAB2
        
          
        
        200000.00000000
        PA
        USD
        212750.00000000
        0.049905168645
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-05-06
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        -3445.18000000
        -0.00080814236
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            5326839564.20000000
            IDR
            365152.15000000
            USD
            2021-08-16
            -3445.18000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -551.44000000
        -0.00012935232
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            146270.18000000
            USD
            758939.65000000
            BRL
            2021-08-03
            -551.44000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        3048.13000000
        0.000715005601
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            416928935.00000000
            KRW
            365125.00000000
            USD
            2021-08-06
            3048.13000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MQ1
        
          
        
        800000.00000000
        PA
        USD
        856462.65000000
        0.200902058693
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-08
          Fixed
          3.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QUICKEN LOANS LLC/QUICKN
        N/A
        Quicken Loans LLC / Quicken Loans Co-Issuer Inc
        74841CAA9
        
          
        
        175000.00000000
        PA
        USD
        175437.50000000
        0.041152705166
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        407750000.00000000
        PA
        
        4862002.01000000
        1.140488978917
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2041-09-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8420.17000000
        -0.00197513515
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            263080.70000000
            USD
            317720.72000000
            CAD
            2021-09-15
            -8420.17000000
          
        
        
          N
          N
          N
        
      
      
        CHENIERE ENERGY PARTNERS
        5493005UEC8AZ34LDV29
        Cheniere Energy Partners LP
        16411QAG6
        
          
        
        160000.00000000
        PA
        USD
        172600.00000000
        0.040487107441
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED THB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -17869.77000000
        -0.00419174564
        N/A
        DFE
        
        TH
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            358815.28000000
            USD
            11208600.00000000
            THB
            2021-09-15
            -17869.77000000
          
        
        
          N
          N
          N
        
      
      
        BELGIUM KINGDOM
        549300SZ25JZFHRHWD76
        Kingdom of Belgium Government Bond
        000000000
        
          
        
        650000.00000000
        PA
        
        833934.56000000
        0.195617602144
        Long
        DBT
        NUSS
        BE
        N
        
        2
        
          2027-06-22
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS03628A SWAPTION US0003M
        000000000
        
          
        
        1630000.00000000
        NC
        USD
        3439.79000000
        0.000806878026
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    1630000.00000000
                    OU
                    Notional Amount
                    N/A
                    3439.79000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-11-22
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1630000.00000000
                  USD
                
              
            
            1.00000000
            1.19500000
            USD
            2021-11-18
            XXXX
            -8214.71000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -55080.43000000
        -0.01292032032
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            654549.99000000
            USD
            455069333.00000000
            CLP
            2021-08-12
            -55080.43000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -5891.51000000
        -0.00138198260
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            4028271.74000000
            SEK
            462214.00000000
            USD
            2021-09-15
            -5891.51000000
          
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO 3, Ltd.
        N/A
        HalseyPoint CLO 3 Ltd
        40638UAA7
        
          
        
        1225000.00000000
        PA
        USD
        1230157.25000000
        0.288560305626
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-11-30
          Floating
          1.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        3696.01000000
        0.000866980034
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            926709.37000000
            NZD
            649222.93000000
            USD
            2021-09-15
            3696.01000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3599.99000000
        -0.00084445644
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144499.31000000
            EUR
            50833412.26000000
            HUF
            2021-09-15
            -3599.99000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -1404.98000000
        -0.00032956880
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            39533437.00000000
            JPY
            359074.98000000
            USD
            2021-09-15
            -1404.98000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        605.84000000
        0.000142113031
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            941801.58000000
            AUD
            691887.00000000
            USD
            2021-09-15
            605.84000000
          
        
        
          N
          N
          N
        
      
      
        CIT Group Inc
        N8O96ZZJQRFYQUJY7K79
        CIT Group Inc
        125581GW2
        
          
        
        400000.00000000
        PA
        USD
        451000.00000000
        0.105791920372
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-07
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CW3
        
          
        
        25000.00000000
        PA
        USD
        33904.96000000
        0.007953150395
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          5.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215930  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR215930  IRS NOK P F  2.13000 2 CCPVANILLA
        000000000
        
          
        
        35300000.00000000
        OU
        Notional Amount
        
        -81892.25000000
        -0.01920961949
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-05-11
            55670.69000000
            NOK
            0.00000000
            NOK
            35300000.00000000
            NOK
            -88573.32000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -2831.84000000
        -0.00066427004
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2172089.70000000
            ZAR
            145300.00000000
            USD
            2021-08-10
            -2831.84000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3190.43000000
        -0.00074838518
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            273055.66000000
            GBP
            317032.87000000
            EUR
            2021-09-15
            -3190.43000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        4830.83000000
        0.001133176901
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3049135.18000000
            SEK
            359155.73000000
            USD
            2021-09-15
            4830.83000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CAV3
        
          
        
        1650000.00000000
        PA
        USD
        1601273.44000000
        0.375613730063
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-11-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        7546.83000000
        0.001770274142
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            909665.29000000
            AUD
            675240.00000000
            USD
            2021-09-15
            7546.83000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11886.10000000
        -0.00278814488
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            450865.00000000
            USD
            598064.93000000
            AUD
            2021-09-15
            -11886.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        10608.26000000
        0.002488399550
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            434202.38000000
            CAD
            358631.54000000
            USD
            2021-09-15
            10608.26000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216464  IRS USD R F  2.00000 2 CCPVANILLA / Short: SR216464  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        4220000.00000000
        OU
        Notional Amount
        USD
        45342.80000000
        0.010636146091
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-07-30
            49826.24000000
            USD
            0.00000000
            USD
            4220000.00000000
            USD
            -4483.44000000
          
        
        
          N
          N
          N
        
      
      
        ONEMAIN FINANCE CORP
        5493008I795YYBFWFU90
        OneMain Finance Corp
        682691AB6
        
          
        
        188000.00000000
        PA
        USD
        191290.00000000
        0.044871255982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215996  IRS CAD R F   .75000 2 CCPVANILLA / Short: SR215996  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        7680000.00000000
        OU
        Notional Amount
        
        -54877.71000000
        -0.01287276790
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-09-15
            0.00000000
            CAD
            -67073.49000000
            CAD
            7680000.00000000
            CAD
            553.39000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1718.72000000
        0.000403163391
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            364866.76000000
            USD
            496733.26000000
            SGD
            2021-09-15
            1718.72000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2385.99000000
        0.000559686173
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            371476.00000000
            USD
            466439.38000000
            CAD
            2021-09-15
            2385.99000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKW35
        
          
        
        65856.12000000
        PA
        USD
        77900.46000000
        0.018273257785
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        456.72000000
        0.000107133671
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            203852.00000000
            USD
            22406311.00000000
            JPY
            2021-09-15
            456.72000000
          
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        170000.00000000
        PA
        
        295093.99000000
        0.069220753641
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2057-07-22
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        9181.91000000
        0.002153817941
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            928328.90000000
            CHF
            1035121.33000000
            USD
            2021-09-15
            9181.91000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        3303.80000000
        0.000774978595
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            441915.09000000
            CAD
            357509.00000000
            USD
            2021-09-15
            3303.80000000
          
        
        
          N
          N
          N
        
      
      
        CAIXABANK SA
        7CUNS533WID6K7DGFI87
        CaixaBank SA
        000000000
        
          
        
        400000.00000000
        PA
        
        483778.16000000
        0.113480755167
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2028-05-26
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1080.87000000
        -0.00025354171
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1368653.18000000
            USD
            1152000.00000000
            EUR
            2021-09-10
            -1080.87000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5091.21000000
        -0.00119425472
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            362307.61000000
            USD
            486671.69000000
            AUD
            2021-09-15
            -5091.21000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        1250000.00000000
        PA
        
        1530410.10000000
        0.358991182785
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2022-01-31
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215740  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215740  IRS USD P F   .27500 2 CCPVANILLA
        000000000
        
          
        
        31660000.00000000
        OU
        Notional Amount
        USD
        -10112.20000000
        -0.00237203782
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-03-03
            9637.15000000
            USD
            0.00000000
            USD
            31660000.00000000
            USD
            -19749.35000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        9219.03000000
        0.002162525249
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            209400256.00000000
            CLP
            285065.08000000
            USD
            2021-08-12
            9219.03000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -2673.04000000
        -0.00062702003
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            11599745.55000000
            RUB
            155683.52000000
            USD
            2021-08-18
            -2673.04000000
          
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAJ2
        
          
        
        650000.00000000
        PA
        USD
        726175.83000000
        0.170340433666
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7661.95000000
        -0.00179727805
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            732366.71000000
            USD
            904159.43000000
            CAD
            2021-09-15
            -7661.95000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3016.97000000
        0.000707696341
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            728627.00000000
            USD
            616251.14000000
            EUR
            2021-09-15
            3016.97000000
          
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368RAZ5
        
          
        
        550000.00000000
        PA
        USD
        547989.41000000
        0.128542909152
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-12-14
          Fixed
          1.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ABDT7
        
          
        
        224191.01000000
        PA
        USD
        274415.04000000
        0.064370053349
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        4730.60000000
        0.001109665761
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            481912.34000000
            SGD
            360378.35000000
            USD
            2021-09-15
            4730.60000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1900.02000000
        -0.00044569127
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            711440.37000000
            USD
            1018606.15000000
            NZD
            2021-09-15
            -1900.02000000
          
        
        
          N
          N
          N
        
      
      
        GFL ENVIRONMENTAL INC
        549300FYK4MBXWIVZU26
        GFL Environmental Inc
        36168QAF1
        
          
        
        200000.00000000
        PA
        USD
        210345.00000000
        0.049341023260
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-12-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        2427.75000000
        0.000569481895
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            479330.31000000
            BRL
            94356.36000000
            USD
            2021-08-12
            2427.75000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300Z0R4ETZBES8I71
        SLM Student Loan Trust 2007-2
        78443XAD0
        
          
        
        1433760.52000000
        PA
        USD
        1393827.71000000
        0.326952794033
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-07-25
          Floating
          0.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2535.55000000
        -0.00059476874
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            141046.00000000
            USD
            1223567.00000000
            NOK
            2021-09-15
            -2535.55000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        1570000.00000000
        PA
        
        3227857.41000000
        0.757164598873
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2040-07-30
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215968  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR215968  IRS EUR P F   .00000 2 CCPVANILLA
        000000000
        
          
        
        290000.00000000
        OU
        Notional Amount
        
        19600.77000000
        0.004597789576
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2041-09-15
            27345.62000000
            EUR
            0.00000000
            EUR
            290000.00000000
            EUR
            -13685.57000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PTJPMUSRU2021093007235
        000000000
        
          
        
        -1327000.00000000
        OU
        Notional Amount
        USD
        -9328.81000000
        -0.00218827655
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -9328.81000000
                    0.00000000
                    DFE
                    
                    RU
                  
                  -1327000.00000000
                  USD
                  -96008450.00000000
                  RUB
                  2021-09-30
                
              
            
            1.00000000
            72.35000000
            USD
            2021-09-30
            XXXX
            9056.78000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-82
        12668A5X9
        
          
        
        291067.56000000
        PA
        USD
        249638.78000000
        0.058558239325
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        8328.93000000
        0.001953732814
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            479465.91000000
            AUD
            360256.30000000
            USD
            2021-09-15
            8328.93000000
          
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        3550000.00000000
        PA
        
        5357470.35000000
        1.256711921649
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2038-09-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2077.96000000
        -0.00048743099
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1098379.00000000
            USD
            1573834.36000000
            NZD
            2021-09-15
            -2077.96000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215983  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR215983  IRS GBP P F   .00000 2 CCPOIS
        000000000
        
          
        
        18740000.00000000
        OU
        Notional Amount
        
        124920.57000000
        0.029302853645
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-09-15
            90728.33000000
            GBP
            0.00000000
            GBP
            18740000.00000000
            GBP
            -650.47000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
        
        1700000.00000000
        PA
        
        15589.39000000
        0.003656832606
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2040-06-20
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215998  IRS CAD R F  1.00000 2 CCPVANILLA / Short: SR215998  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        4780000.00000000
        OU
        Notional Amount
        
        -56358.75000000
        -0.01322017825
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-09-15
            0.00000000
            CAD
            -94714.01000000
            CAD
            4780000.00000000
            CAD
            20304.89000000
          
        
        
          N
          N
          N
        
      
      
        Recette CLO LLC
        549300392I5L5XOJ0016
        Recette Clo Ltd
        75620TAW8
        
          
        
        3050000.00000000
        PA
        USD
        3048322.50000000
        0.715050756516
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-20
          Floating
          1.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599DC6
        
          
        
        150000.00000000
        PA
        USD
        164188.50000000
        0.038514006026
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02950A SWAPTION US0003M
        000000000
        
          
        
        7300000.00000000
        NC
        USD
        36632.86000000
        0.008593039042
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    7300000.00000000
                    OU
                    Notional Amount
                    N/A
                    36632.86000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7300000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2022-11-14
            XXXX
            -37253.78000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED HUF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1089.17000000
        -0.00025548866
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            72954.53000000
            USD
            21750605.21000000
            HUF
            2021-09-15
            -1089.17000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -6551.80000000
        -0.00153686807
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            9500920.60000000
            CNY
            1457949.76000000
            USD
            2021-09-15
            -6551.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        11577.43000000
        0.002715739584
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            120331677.00000000
            CLP
            170092.13000000
            USD
            2021-08-12
            11577.43000000
          
        
        
          N
          N
          N
        
      
      
        ABN AMRO BANK NV
        BFXS5XCH7N0Y05NIXW11
        ABN AMRO Bank NV
        000000000
        
          
        
        400000.00000000
        PA
        
        512459.77000000
        0.120208654505
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-09-22
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        13650000.00000000
        PA
        
        117735.53000000
        0.027617445265
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2049-12-20
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Limited
        K9WDOH4D2PYBSLSOB484
        PTBARUSRU202109307235
        000000000
        
          
        
        1327000.00000000
        OU
        Notional Amount
        USD
        9328.81000000
        0.002188276551
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Capital Securities Limited
              K9WDOH4D2PYBSLSOB484
            
            Put
            Purchased
            
              
                
                  
                    Barclays Capital Securities Limited
                    K9WDOH4D2PYBSLSOB484
                  
                  
                    Barclays Capital Securities Limited
                    K9WDOH4D2PYBSLSOB484
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    9328.81000000
                    0.00000000
                    DFE
                    
                    US
                  
                  96008450.00000000
                  RUB
                  1327000.00000000
                  USD
                  2021-09-30
                
              
            
            1.00000000
            72.35000000
            USD
            2021-09-30
            XXXX
            -5233.69000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANZG1
        
          
        
        57812.64000000
        PA
        USD
        64381.36000000
        0.015102057007
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -17265.89000000
        -0.00405009237
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            473314.91000000
            USD
            654697.56000000
            NZD
            2021-09-15
            -17265.89000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2273.47000000
        -0.00053329214
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            290507.90000000
            USD
            413785.30000000
            NZD
            2021-09-15
            -2273.47000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        14258.63000000
        0.003344673724
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            4884475.62000000
            ZAR
            345840.31000000
            USD
            2021-09-15
            14258.63000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M9D25
        
          
        
        41003.44000000
        PA
        USD
        46817.38000000
        0.010982041101
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TECHNIP ENERGIES NV
        724500FLODI49NSCIP70
        Technip Energies NV
        000000000
        
          
        
        525000.00000000
        PA
        
        637592.14000000
        0.149561190476
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-05-28
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        143.77000000
        0.000033724399
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            84653.83000000
            EUR
            100649.00000000
            USD
            2021-09-15
            143.77000000
          
        
        
          N
          N
          N
        
      
      
        Wellfleet CLO Ltd
        254900A99ZMAJM1OOV76
        Wellfleet CLO X LTD
        94949WAM8
        
          
        
        750000.00000000
        PA
        USD
        749806.50000000
        0.175883524484
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-20
          Floating
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6119.81000000
        0.001435535370
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            152496.35000000
            USD
            1366519.79000000
            TRY
            2021-09-15
            6119.81000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -1415.30000000
        -0.00033198958
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2382651.57000000
            CNY
            365854.05000000
            USD
            2021-09-15
            -1415.30000000
          
        
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        151290BX0
        
          
        
        200000.00000000
        PA
        USD
        219000.00000000
        0.051371242930
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-09-17
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELGIUM KINGDOM
        549300SZ25JZFHRHWD76
        Kingdom of Belgium Government Bond
        000000000
        
          
        
        620000.00000000
        PA
        
        1100321.59000000
        0.258104510051
        Long
        DBT
        NUSS
        BE
        N
        
        2
        
          2066-06-22
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005888  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005888  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        150000.00000000
        OU
        Notional Amount
        USD
        3357.95000000
        0.000787680663
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                STATE OF QATAR
                STATE OF QATAR
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            1877.66000000
            USD
            0.00000000
            USD
            150000.00000000
            USD
            1480.29000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -1796.23000000
        -0.00042134505
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            513395.62000000
            AUD
            375035.50000000
            USD
            2021-09-15
            -1796.23000000
          
        
        
          N
          N
          N
        
      
      
        ADEVINTA ASA
        529900W8V3YLHRSZH763
        Adevinta ASA
        000000000
        
          
        
        125000.00000000
        PA
        
        152838.75000000
        0.035851673768
        Long
        DBT
        CORP
        NO
        
        N
        
        2
        
          2027-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -8282.28000000
        -0.00194279003
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3079545.92000000
            BRL
            583000.00000000
            USD
            2021-08-03
            -8282.28000000
          
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        1300000.00000000
        PA
        
        1542124.31000000
        0.361739007112
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2021-08-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        868.63000000
        0.000203756176
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            471962.11000000
            USD
            678789.17000000
            NZD
            2021-09-15
            868.63000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1304.21000000
        0.000305930998
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            362202.85000000
            USD
            306175.75000000
            EUR
            2021-09-15
            1304.21000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -625.43000000
        -0.00014670829
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3258918.98000000
            NOK
            310205.43000000
            EUR
            2021-09-15
            -625.43000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2038.55000000
        -0.00047818651
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1574242.18000000
            USD
            1324375.00000000
            EUR
            2021-09-10
            -2038.55000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4971.43000000
        0.001166157708
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            5746438.89000000
            SEK
            566634.51000000
            EUR
            2021-09-15
            4971.43000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        32850000.00000000
        PA
        
        292905.64000000
        0.068707428256
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2049-03-20
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        6742.23000000
        0.001581537603
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            11488776.98000000
            THB
            356210.22000000
            USD
            2021-09-15
            6742.23000000
          
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        639057AC2
        
          
        
        275000.00000000
        PA
        USD
        276468.68000000
        0.064851779556
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-06-14
          Fixed
          1.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -8315.33000000
        -0.00195054263
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            532689.76000000
            GBP
            616721.09000000
            EUR
            2021-09-15
            -8315.33000000
          
        
        
          N
          N
          N
        
      
      
        Marble Point CLO XIX Ltd
        N/A
        Marble Point CLO XIX Ltd
        56607KAJ3
        
          
        
        400000.00000000
        PA
        USD
        396518.00000000
        0.093011974905
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-01-19
          Floating
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        550000.00000000
        PA
        
        1224494.15000000
        0.287231901581
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2044-10-31
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED HUF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1781.57000000
        0.000417906234
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            363766.95000000
            USD
            110636080.17000000
            HUF
            2021-09-15
            1781.57000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -7162.86000000
        -0.00168020557
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1291981.75000000
            TRY
            142801.44000000
            USD
            2021-09-15
            -7162.86000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R02
        20753KAB8
        
          
        
        98582.15000000
        PA
        USD
        99310.75000000
        0.023295509880
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-25
          Floating
          2.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        667.69000000
        0.000156621302
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            92821.00000000
            USD
            116638.78000000
            CAD
            2021-09-15
            667.69000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1194.50000000
        0.000280196117
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            354580.63000000
            USD
            255926.20000000
            GBP
            2021-09-15
            1194.50000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215960  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215960  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        3800000.00000000
        OU
        Notional Amount
        
        7400.28000000
        0.001735897633
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-09-15
            11817.20000000
            EUR
            0.00000000
            EUR
            3800000.00000000
            EUR
            -6996.75000000
          
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        1040000.00000000
        PA
        
        1871747.35000000
        0.439059305117
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2031-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1030.19000000
        0.000241653610
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            357631.76000000
            USD
            2326811.26000000
            CNY
            2021-09-15
            1030.19000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        5854.61000000
        0.001373326906
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3109761.98000000
            NOK
            301441.60000000
            EUR
            2021-09-15
            5854.61000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        350000.00000000
        PA
        
        386124.20000000
        0.090573881641
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2030-01-27
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        280.16000000
        0.000065717659
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144961.17000000
            USD
            2907931.22000000
            MXN
            2021-09-15
            280.16000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR216225  IRS MXN R F  6.30000 2 CCPVANILLA / Short: SR216225  IRS MXN P V 01MTIIE 1 CCPVANILLA
        000000000
        
          
        
        20740000.00000000
        OU
        Notional Amount
        
        -8148.33000000
        -0.00191136913
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-09-09
            7041.32000000
            MXN
            0.00000000
            MXN
            20740000.00000000
            MXN
            -8502.91000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -1350.93000000
        -0.00031689019
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            884283.46000000
            CAD
            707426.77000000
            USD
            2021-08-16
            -1350.93000000
          
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        760000.00000000
        PA
        
        927503.41000000
        0.217566223715
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2026-02-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAF9
        
          
        
        1300000.00000000
        PA
        USD
        1391284.54000000
        0.326356237851
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-09-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PTMSLEUAU2021080515465 PUT EUR AUD 1.54 AUG21
        000000000
        
          
        
        -613000.00000000
        OU
        Notional Amount
        
        -0.72000000
        -0.00000016889
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -0.72000000
                    0.00000000
                    DFE
                    
                    AU
                  
                  -613000.00000000
                  EUR
                  -948004.50000000
                  AUD
                  2021-08-05
                
              
            
            1.00000000
            1.54650000
            EUR
            2021-08-05
            XXXX
            1903.52000000
          
        
        
          N
          N
          N
        
      
      
        ATKORE INC
        52990002TI38AM4RPV48
        Atkore Inc
        047649AA6
        
          
        
        170000.00000000
        PA
        USD
        173825.00000000
        0.040774458001
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        000000000
        
          
        
        550000.00000000
        PA
        
        827571.78000000
        0.194125072842
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-05-12
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMC Corp
        KDMDXRWU7UTJ30FC8R59
        EMC Corp
        268648AN2
        
          
        
        170000.00000000
        PA
        USD
        175839.50000000
        0.041247003064
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216323  IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BR216323  IRS PLN P F  1.75000 2 CCPVANILLA
        000000000
        
          
        
        4650000.00000000
        OU
        Notional Amount
        
        -19377.83000000
        -0.00454549412
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-09-15
            0.00000000
            PLN
            -11619.83000000
            PLN
            4650000.00000000
            PLN
            -16306.92000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1853.97000000
        -0.00043488923
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            365520.65000000
            USD
            419602720.00000000
            KRW
            2021-09-15
            -1853.97000000
          
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2018-BNK14
        06035RAX4
        
          
        
        175000.00000000
        PA
        USD
        159035.71000000
        0.037305306360
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-09-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        CTMSLEUAU2021080515835 CALL EUR AUD 1.58 AUG21
        000000000
        
          
        
        -613000.00000000
        OU
        Notional Amount
        
        -14856.83000000
        -0.00348499462
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -14856.83000000
                    0.00000000
                    DFE
                    
                    AU
                  
                  -613000.00000000
                  EUR
                  -970685.50000000
                  AUD
                  2021-08-05
                
              
            
            1.00000000
            1.58350000
            EUR
            2021-08-05
            XXXX
            -12952.59000000
          
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PP EUR HOLD
        213800Y3B5GQFBGVHP79
        Blackstone Property Partners Europe Holdings Sarl
        000000000
        
          
        
        350000.00000000
        PA
        
        418383.95000000
        0.098141112025
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-05-04
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Zurich
        N/A
        EURO-SCHATZ FUT SEP21
        000000000
        
          
        
        -243.00000000
        NC
        
        -20883.92000000
        -0.00489878049
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Zurich
              N/A
            
            Short
            
              
                Euro-Schatz Futures (FGBS)
                DUU1 Comdty
              
            
            2021-09-08
            -27284660.00000000
            EUR
            -20883.92000000
          
        
        
          N
          N
          N
        
      
      
        SPRINT COMMUNICATIONS
        549300JKU50UT08ZWD77
        Sprint Communications Inc
        852061AS9
        
          
        
        26000.00000000
        PA
        USD
        27521.78000000
        0.006455835827
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4778.99000000
        0.001121016695
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            361191.69000000
            USD
            26807647.23000000
            RUB
            2021-08-18
            4778.99000000
          
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2004-10
        81744FEW3
        
          
        
        18743.07000000
        PA
        USD
        18612.23000000
        0.004365905884
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-20
          Floating
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        178.91000000
        0.000041967256
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            453053.00000000
            USD
            49705441.00000000
            JPY
            2021-09-15
            178.91000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -801.22000000
        -0.00018794368
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            255817.21000000
            USD
            3756598.98000000
            ZAR
            2021-09-15
            -801.22000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31405PJC5
        
          
        
        225630.43000000
        PA
        USD
        263375.13000000
        0.061780400844
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -366.83000000
        -0.00008604800
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            92571.00000000
            USD
            77661.99000000
            EUR
            2021-09-15
            -366.83000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -539.57000000
        -0.00012656795
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            8014369.35000000
            MXN
            399751.07000000
            USD
            2021-09-15
            -539.57000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        2431.63000000
        0.000570392034
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            633028.49000000
            AUD
            467073.74000000
            USD
            2021-09-15
            2431.63000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        
        3394.07000000
        0.000796153399
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1363367.58000000
            PLN
            357336.55000000
            USD
            2021-09-15
            3394.07000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED NZD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3337.25000000
        -0.00078282502
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            36668360.00000000
            JPY
            475204.67000000
            NZD
            2021-09-15
            -3337.25000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -801.11000000
        -0.00018791788
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            144250.43000000
            USD
            10507778.32000000
            RUB
            2021-08-18
            -801.11000000
          
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAM2
        
          
        
        250000.00000000
        PA
        USD
        288386.86000000
        0.067647449511
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5627.80000000
        -0.00132012365
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            355505.66000000
            USD
            403693030.00000000
            KRW
            2021-09-15
            -5627.80000000
          
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300VI1BOFEK7C6D74
        Venture 39 CLO Ltd
        92332TAB8
        
          
        
        1200000.00000000
        PA
        USD
        1201641.60000000
        0.281871335838
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          1.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -3045.94000000
        -0.00071449188
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            204051.46000000
            GBP
            280615.65000000
            USD
            2021-09-15
            -3045.94000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216304  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR216304  IRS NOK P F  1.92600 2 CCPVANILLA
        000000000
        
          
        
        17640000.00000000
        OU
        Notional Amount
        
        -22242.13000000
        -0.00521737837
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-06-29
            0.00000000
            NOK
            -207201.97000000
            NOK
            17640000.00000000
            NOK
            1143.68000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -6852.93000000
        -0.00160750471
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            633713.35000000
            CHF
            693493.15000000
            USD
            2021-09-15
            -6852.93000000
          
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2021-08-27
      SUNAMERICA SERIES TRUST
      Shawn Parry
      Shawn Parry
      Assistant Treasurer
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Form NPORT-P SUNAMERICA SERIES TRUST For: Jul 31

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