Form NPORT-P Voya INVESTORS TRUST For: Mar 31

May 26, 2022 2:37 PM EDT

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    NPORT-P
    false
    
      
      
        
          0000837276
          XXXXXXXX
        
      
      
      
      
        S000010459
        C000028893
        C000028892
        C000028890
        C000028891
      
      
    
  
  
    
      Voya Investors Trust
      811-05629
      0000837276
      549300LPMGZECCP9KQ67
      7337 East Doubletree Ranch Road
      Suite 100
      Scottsdale
      
      85258
      1-800-366-0066
      Voya Balanced Income Portfolio
      S000010459
      549300B5ETT5HC8Z4C58
      2022-12-31
      2022-03-31
      N
    
    
      312747670.87
      7330629.07
      305417041.80
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      3051487.97000000
      
        
          USD
          
          
        
      
      
      
      
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
        
      
      N
      
        
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Babson CLO Ltd
        5493000D71NBEM2WZE67
        Barings CLO Ltd 2018-III
        06760PAL5
        
          
        
        300000.00000000
        PA
        USD
        297781.80000000
        0.097500060325
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-20
          Floating
          2.15400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Imperial Brands PLC
        549300DFVPOB67JL3A42
        Imperial Brands PLC
        000000000
        
          
          
          
        
        5971.00000000
        NS
        
        125777.23000000
        0.041182125679
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        GRAHAM PACKAGING/GPC CAP
        N/A
        Graham Packaging Co Inc
        384701AA6
        
          
          
        
        70000.00000000
        PA
        USD
        63661.50000000
        0.020844121737
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust 2018-3
        33851JAC3
        
          
        
        481482.72000000
        PA
        USD
        482411.98000000
        0.157951886756
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-05-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank OZK
        549300VYK2WBD7SST478
        Bank OZK
        06417N103
        
          
          
        
        9182.00000000
        NS
        USD
        392071.40000000
        0.128372469882
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Brother Industries Ltd
        549300O5FACQ67KI6R92
        Brother Industries Ltd
        114813108
        
          
          
          
        
        1100.00000000
        NS
        
        20003.96000000
        0.006549719649
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        PGT INNOVATIONS INC
        549300LRW9WM59C1S579
        PGT Innovations Inc
        69336VAB7
        
          
          
        
        70000.00000000
        PA
        USD
        65405.90000000
        0.021415275196
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        O'Reilly Automotive Inc
        549300K2RLMQL149Q332
        O'Reilly Automotive Inc
        67103H107
        
          
          
        
        692.00000000
        NS
        USD
        473992.32000000
        0.155195111970
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        INDIAN RAILWAY FINANCE
        335800F2JHSOGXQEBY56
        Indian Railway Finance Corp Ltd
        45434L2H6
        
          
          
        
        200000.00000000
        PA
        USD
        189346.00000000
        0.061995885653
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2032-01-21
          Fixed
          3.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31394EJN9
        
          
        
        954156.27000000
        PA
        USD
        151955.21000000
        0.049753350076
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-25
          Floating
          6.17343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AXBX0
        
          
        
        4582636.47000000
        PA
        USD
        805610.99000000
        0.263774079289
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-15
          Floating
          6.30343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFFINITY GAMING
        N/A
        Affinity Gaming
        00842XAA7
        
          
          
        
        70000.00000000
        PA
        USD
        68211.85000000
        0.022334002581
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRU
        N/A
        SoFi Consumer Loan Program 2019-3 Trust
        83405TAD5
        
          
        
        1000000.00000000
        PA
        USD
        1004142.60000000
        0.328777527960
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-05-25
          Fixed
          3.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL ELECTRIC CORP LTD
        254900JW7GE35YNJGJ55
        Israel Electric Corp Ltd
        465077AL9
        
          
          
        
        300000.00000000
        PA
        USD
        303120.90000000
        0.099248194604
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2028-08-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLISON TRANSMISSION INC
        MWKQ3I0U1GXP2YDSZW75
        Allison Transmission Inc
        019736AF4
        
          
          
        
        70000.00000000
        PA
        USD
        71512.70000000
        0.023414770694
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JAB6
        
          
          
        
        350000.00000000
        PA
        USD
        294674.45000000
        0.096482648205
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2031-02-16
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        REPUBLIC OF SOUTH AFRICA
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        836205BA1
        
          
          
        
        450000.00000000
        PA
        USD
        441107.10000000
        0.144427795318
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2029-09-30
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEHE DISTRIBUTORS LLC/FI
        N/A
        KeHE Distributors LLC / KeHE Finance Corp
        487526AB1
        
          
          
        
        56000.00000000
        PA
        USD
        59537.24000000
        0.019493751772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-15
          Fixed
          8.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRANITE US HOLDINGS CORP
        N/A
        Granite US Holdings Corp
        38748YAA0
        
          
          
        
        70000.00000000
        PA
        USD
        73933.65000000
        0.024207440935
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          11.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Zoetis Inc
        549300HD9Q1LOC9KLJ48
        Zoetis Inc
        98978V103
        
          
          
        
        1974.00000000
        NS
        USD
        372276.66000000
        0.121891253286
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Eaton Corp PLC
        549300VDIGTMXUNT7H71
        Eaton Corp PLC
        000000000
        
          
          
        
        4446.00000000
        NS
        USD
        674724.96000000
        0.220919224422
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FTG27
        
          
        
        1455983.61000000
        PA
        USD
        151084.94000000
        0.049468405269
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-25
          Variable
          1.58157700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nippon Yusen KK
        353800YPW4XM0ZN5I149
        Nippon Yusen KK
        000000000
        
          
          
          
        
        1100.00000000
        NS
        
        96221.87000000
        0.031505075628
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          
        
      
      
        AMWINS GROUP INC
        549300SJE7MUB8NMRG61
        AmWINS Group Inc
        031921AB5
        
          
          
        
        70000.00000000
        PA
        USD
        67291.00000000
        0.022032496812
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-30
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        990.87000000
        0.000324431797
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -14608868.00000000
            JPY
            121000.85000000
            USD
            2022-04-08
            990.87000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        SWOP IRS USD
        000000000
        
          
        
        -2952000.00000000
        NC
        USD
        -39919.32000000
        -0.01307042978
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            0.01000000
            USD
            2.01000000
            USD
            2022-04-14
            XXXX
            -11727.72000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -12697.41000000
        -0.00415740062
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -5601078.44000000
            SEK
            583052.96000000
            USD
            2022-04-08
            -12697.41000000
          
        
        
          N
          N
          N
        
      
      
        Repsol SA
        BSYCX13Y0NOTV14V9N85
        Repsol SA
        000000000
        
          
          
          
        
        9063.00000000
        NS
        
        118718.69000000
        0.038871010373
        Long
        EC
        CORP
        ES
        N
        
        2
        
          N
          N
          N
        
      
      
        CLEARWAY ENERGY OP LLC
        549300Z3NFMM54NWBB87
        Clearway Energy Operating LLC
        18539UAC9
        
          
          
        
        70000.00000000
        PA
        USD
        70423.15000000
        0.023058028977
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - CAD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        30849.81000000
        0.010100880362
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -2673476.48000000
            USD
            3380882.37000000
            CAD
            2022-04-08
            30849.81000000
          
        
        
          N
          N
          N
        
      
      
        IRIS HOLDINGS INC
        N/A
        Iris Holdings Inc
        46272EAA1
        
          
          
        
        70000.00000000
        PA
        USD
        70087.85000000
        0.022948244664
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya High Yield Bond Fund
        OTPD0VW0B2EUAT57PE57
        Voya High Yield Bond Fund
        92913L593
        
          
          
        
        1478761.99730000
        NS
        USD
        11209015.94000000
        3.670068924097
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        68558.39000000
        0.022447467107
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -320025577.00000000
            JPY
            2697527.54000000
            USD
            2022-04-08
            68558.39000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A5LH7
        
          
        
        3460123.60000000
        PA
        USD
        321355.17000000
        0.105218480313
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-25
          Floating
          6.14343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Severn Trent PLC
        213800RPBXRETY4A4C59
        Severn Trent PLC
        000000000
        
          
          
          
        
        417.00000000
        NS
        
        16806.83000000
        0.005502911658
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TBE5
        
          
        
        126000.00000000
        PA
        USD
        104797.83000000
        0.034313026340
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ace Securities Corp.
        N/A
        ACE Securities Corp Mortgage Loan Trust Series 2007-D1
        00083BAB1
        
          
        
        550195.77000000
        PA
        USD
        507049.20000000
        0.166018633738
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-02-25
          Variable
          6.33600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aon PLC
        635400FALWQYX5E6QC64
        Aon PLC
        000000000
        
          
          
        
        1724.00000000
        NS
        USD
        561386.12000000
        0.183809690740
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        PMHC II INC
        549300GYZ1T3S8OPH343
        PMHC II Inc
        69357VAA3
        
          
          
        
        70000.00000000
        PA
        USD
        61690.30000000
        0.020198709160
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        POST HOLDINGS INC
        JM1I5YUAURL6DC8N1468
        Post Holdings Inc
        737446AQ7
        
          
          
        
        70000.00000000
        PA
        USD
        63147.00000000
        0.020675663554
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivabl
        N/A
        Santander Drive Auto Receivables Trust 2019-3
        80286HAF6
        
          
        
        39371.60000000
        PA
        USD
        39454.16000000
        0.012918126561
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        313586810
        
          
          
        
        50.00000000
        NS
        USD
        387500.00000000
        0.126875696823
        Long
        EP
        USGSE
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2015-6
        89172RAD7
        
          
        
        180000.00000000
        PA
        USD
        176909.04000000
        0.057923761869
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-04-25
          Variable
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Coca-Cola Co/The
        UWJKFUJFZ02DKWI3RY53
        Coca-Cola Co/The
        191216100
        
          
          
        
        8016.00000000
        NS
        USD
        496992.00000000
        0.162725693717
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        COMMSCOPE TECH LLC
        M4TWC4QDOKW45N7T6Y12
        CommScope Technologies LLC
        20338HAB9
        
          
          
        
        70000.00000000
        PA
        USD
        60946.20000000
        0.019955075080
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Telekom AG
        549300V9QSIG4WX4GJ96
        Deutsche Telekom AG
        000000000
        
          
          
          
        
        6131.00000000
        NS
        
        114185.15000000
        0.037386633478
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2017-5
        46590YAD6
        
          
        
        853719.28000000
        PA
        USD
        851384.27000000
        0.278761219407
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-26
          Variable
          3.04950300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genpact Ltd
        529900OSEC6Q0L4L5B35
        Genpact Ltd
        000000000
        
          
          
        
        6984.00000000
        NS
        USD
        303873.84000000
        0.099494723087
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kone Oyj
        2138001CNF45JP5XZK38
        Kone Oyj
        000000000
        
          
          
          
        
        1342.00000000
        NS
        
        70227.38000000
        0.022993929738
        Long
        EC
        CORP
        FI
        N
        
        2
        
          N
          N
          N
        
      
      
        UNIVAR SOLUTIONS USA INC
        5493008FTB9VZW6CVA82
        Univar Solutions USA Inc/Washington
        91337CAA4
        
          
          
        
        70000.00000000
        PA
        USD
        70066.50000000
        0.022941254223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Automatic Data Processing Inc
        HGBOLILQXWER4SAL2I23
        Automatic Data Processing Inc
        053015103
        
          
          
        
        2281.00000000
        NS
        USD
        519018.74000000
        0.169937714326
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mitsubishi Corp
        KVIPTY4PULAPGC1VVD26
        Mitsubishi Corp
        000000000
        
          
          
          
        
        1800.00000000
        NS
        
        67548.14000000
        0.022116689887
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Henkel AG & Co KGaA
        549300VZCL1HTH4O4Y49
        Henkel AG & Co KGaA
        000000000
        
          
          
          
        
        1579.00000000
        NS
        
        105685.82000000
        0.034603773049
        Long
        EP
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        UNITED WHOLESALE MTGE LL
        549300HW662MN1WU8550
        United Wholesale Mortgage LLC
        913229AC4
        
          
          
        
        70000.00000000
        PA
        USD
        65100.00000000
        0.021315117066
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RACKSPACE TECHNOLOGY
        549300QTYCKLMFSE8I97
        Rackspace Technology Global Inc
        750098AA3
        
          
          
        
        15000.00000000
        PA
        USD
        13042.65000000
        0.004270439502
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - CHF
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        19618.98000000
        0.006423669054
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -2704914.21000000
            USD
            2517264.57000000
            CHF
            2022-04-08
            19618.98000000
          
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust 2021-2
        33852EAD1
        
          
        
        909936.76000000
        PA
        USD
        834348.95000000
        0.273183495289
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-04-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -13959.32000000
        -0.00457057665
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -967758.41000000
            CAD
            760138.75000000
            USD
            2022-04-08
            -13959.32000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R02
        20753KAB8
        
          
        
        132328.81000000
        PA
        USD
        132374.09000000
        0.043342077187
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-08-25
          Floating
          2.75657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381RPA1
        
          
        
        5806019.49610000
        PA
        USD
        100296.66000000
        0.032839248068
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-03-20
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CRESTWOOD MID PARTNER LP
        N/A
        Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp
        226373AP3
        
          
          
        
        70000.00000000
        PA
        USD
        70420.70000000
        0.023057226795
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AETHON UN/AETHIN UN FIN
        N/A
        Aethon United BR LP / Aethon United Finance Corp
        00810GAC8
        
          
          
        
        70000.00000000
        PA
        USD
        72759.05000000
        0.023822852048
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dexcom Inc
        549300YSK3QDSFR5EU59
        Dexcom Inc
        252131107
        
          
          
        
        1591.00000000
        NS
        USD
        813955.60000000
        0.266506281117
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        STAPLES INC
        XQM2JINI1UL7642TU573
        Staples Inc
        855030AP7
        
          
          
        
        70000.00000000
        PA
        USD
        62372.45000000
        0.020422059500
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          10.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        NASDAQ INC
        549300L8X1Q78ERXFD06
        Nasdaq Inc
        631103AM0
        
          
          
        
        215000.00000000
        PA
        USD
        209225.65000000
        0.068504903579
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-07
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERFACE INC
        549300VXZWQOIDFPU355
        Interface Inc
        458665AS5
        
          
          
        
        70000.00000000
        PA
        USD
        68111.05000000
        0.022300998529
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Groupe Bruxelles Lambert SA
        549300KV0ZEHT2KVU152
        Groupe Bruxelles Lambert SA
        000000000
        
          
          
          
        
        603.00000000
        NS
        
        62396.57000000
        0.020429956898
        Long
        EC
        CORP
        BE
        N
        
        2
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -16946.79000000
        -0.00554873752
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -1377959.15000000
            NZD
            937987.82000000
            USD
            2022-04-08
            -16946.79000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        22237.62000000
        0.007281067182
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -14080194.67000000
            NOK
            1621479.08000000
            USD
            2022-04-08
            22237.62000000
          
        
        
          N
          N
          N
        
      
      
        Ajinomoto Co Inc
        353800UT0TLROREPIC92
        Ajinomoto Co Inc
        000000000
        
          
          
          
        
        3400.00000000
        NS
        
        96501.42000000
        0.031596606211
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        ADAMS HOMES INC
        N/A
        Adams Homes Inc
        00623PAA9
        
          
          
        
        70000.00000000
        PA
        USD
        70066.85000000
        0.022941368820
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TAE6
        
          
        
        153000.00000000
        PA
        USD
        127254.51000000
        0.041665818400
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200101
        
          
          
        
        6810.00000000
        NS
        USD
        885436.20000000
        0.289910541593
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BLSR0
        
          
        
        1542070.34000000
        PA
        USD
        45568.33000000
        0.014920035153
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-15
          Floating
          0.92968500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Illinois Tool Works Inc
        76NA4I14SZCFAYMNSV04
        Illinois Tool Works Inc
        452308109
        
          
          
        
        2159.00000000
        NS
        USD
        452094.60000000
        0.148025335238
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEF4
        
          
          
        
        182000.00000000
        PA
        USD
        182412.34000000
        0.059725658700
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-03-31
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -8334.10000000
        -0.00272876063
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2032-04-18
            0.00000000
            USD
            0.00000000
            USD
            911200.00000000
            USD
            -8334.10000000
          
        
        
          N
          N
          N
        
      
      
        Abbott Laboratories
        HQD377W2YR662HK5JX27
        Abbott Laboratories
        002824100
        
          
          
        
        6964.00000000
        NS
        USD
        824259.04000000
        0.269879845323
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CENTURY COMMUNITIES
        5299002QMB2O7ZL1CA26
        Century Communities Inc
        156504AM4
        
          
          
        
        70000.00000000
        PA
        USD
        62905.19000000
        0.020596489845
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AJ6
        
          
          
        
        70000.00000000
        PA
        USD
        55100.15000000
        0.018040954648
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2030-01-30
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM Re-REMIC Trust 2021-FRR1
        364614AQ0
        
          
        
        1000000.00000000
        PA
        USD
        735562.30000000
        0.240838656436
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-29
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAYTIKA HOLDING CORP
        254900E35Z4TKA4UFG64
        Playtika Holding Corp
        72815LAA5
        
          
          
        
        70000.00000000
        PA
        USD
        64710.45000000
        0.021187570156
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Swire Properties Ltd
        5299001L12PHYVQ92465
        Swire Properties Ltd
        000000000
        
          
          
          
        
        9200.00000000
        NS
        
        22735.06000000
        0.007443939560
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        Spark New Zealand Ltd
        529900HUN51H3Y7QBB66
        Spark New Zealand Ltd
        000000000
        
          
          
          
        
        13678.00000000
        NS
        
        43285.70000000
        0.014172653806
        Long
        EC
        CORP
        NZ
        N
        
        2
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        880.42000000
        0.000288268131
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -577268.69000000
            CHF
            625680.74000000
            USD
            2022-04-08
            880.42000000
          
        
        
          N
          N
          N
        
      
      
        EMPRESA NACIONAL DEL PET
        549300YP3P0JZBLIV197
        Empresa Nacional del Petroleo
        000000000
        
          
          
        
        350000.00000000
        PA
        USD
        349167.00000000
        0.114324661761
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2026-08-05
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - CAD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2600.36000000
        0.000851412869
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -139625.36000000
            USD
            177807.10000000
            CAD
            2022-04-08
            2600.36000000
          
        
        
          N
          N
          N
        
      
      
        UNIVISION COMMUNICATIONS
        549300YQDE2JSGTL8V47
        Univision Communications Inc
        914906AU6
        
          
          
        
        70000.00000000
        PA
        USD
        73406.55000000
        0.024034857245
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hundred Acre Wood Trust
        N/A
        Hundred Acre Wood Trust 2021-INV1
        44590HBD7
        
          
        
        905081.85000000
        PA
        USD
        829536.75000000
        0.271607879216
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -6092.96000000
        -0.00199496398
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -887942.33000000
            EUR
            976313.02000000
            USD
            2022-04-08
            -6092.96000000
          
        
        
          N
          N
          N
        
      
      
        SONIC AUTOMOTIVE INC
        549300NTLRGJ2JCBZU03
        Sonic Automotive Inc
        83545GBD3
        
          
          
        
        70000.00000000
        PA
        USD
        63087.85000000
        0.020656296593
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Link REIT
        529900XUE70U36QX5M62
        Link REIT
        000000000
        
          
          
          
        
        13800.00000000
        NS
        
        117524.03000000
        0.038479853418
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -17164.79000000
        -0.00562011533
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -6037917.81000000
            NOK
            668627.47000000
            USD
            2022-04-08
            -17164.79000000
          
        
        
          N
          N
          N
        
      
      
        Advanced Micro Devices Inc
        R2I72C950HOYXII45366
        Advanced Micro Devices Inc
        007903107
        
          
          
        
        6741.00000000
        NS
        USD
        737060.94000000
        0.241329342873
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Entergy Corp
        4XM3TW50JULSLG8BNC79
        Entergy Corp
        29364G103
        
          
          
        
        3716.00000000
        NS
        USD
        433843.00000000
        0.142049375320
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FactSet Research Systems Inc
        549300ZSJE7NBK6K9P30
        FactSet Research Systems Inc
        303075105
        
          
          
        
        951.00000000
        NS
        USD
        412876.65000000
        0.135184548827
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Johnson Controls International
        549300XQ6S1GYKGBL205
        Johnson Controls International plc
        000000000
        
          
          
        
        8032.00000000
        NS
        USD
        526658.24000000
        0.172439048226
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137ACP94
        
          
        
        735416.08000000
        PA
        USD
        73083.52000000
        0.023929090390
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-15
          Floating
          6.20343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust 2017-1
        33850BAG2
        
          
        
        244180.29000000
        PA
        USD
        242464.46000000
        0.079387993076
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-03-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYTEX ENERGY CORP
        549300R5LTV2H7I1I079
        Baytex Energy Corp
        07317QAH8
        
          
          
        
        70000.00000000
        PA
        USD
        75166.35000000
        0.024611052990
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-04-01
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2021-3
        46592KAJ1
        
          
        
        1000000.00000000
        PA
        USD
        874906.30000000
        0.286462829593
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-07-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        549300RES143ZXEZ6T39
        Sequoia Mortgage Trust 2019-CH2
        81747CAA9
        
          
        
        57730.88000000
        PA
        USD
        58012.51000000
        0.018994522917
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - SEK
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4464.37000000
        0.001461729173
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -1292284.63000000
            USD
            12191671.66000000
            SEK
            2022-04-08
            4464.37000000
          
        
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Trust Holdings
        353800P843RLCDBLNT17
        Sumitomo Mitsui Trust Holdings Inc
        000000000
        
          
          
          
        
        3200.00000000
        NS
        
        104142.85000000
        0.034098572033
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          
        
      
      
        First Industrial Realty Trust
        N/A
        First Industrial Realty Trust Inc
        32054K103
        
          
          
        
        4377.00000000
        NS
        USD
        270980.07000000
        0.088724606984
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - NZD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        20017.04000000
        0.006554002318
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1049814.11000000
            USD
            1543753.47000000
            NZD
            2022-04-08
            20017.04000000
          
        
        
          N
          N
          N
        
      
      
        Fanniemae Strip
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Interest Strip
        3136FCD86
        
          
          
        
        3819293.91000000
        PA
        USD
        772557.22000000
        0.252951575801
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FERTITTA ENTERTAINMENT
        N/A
        Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc
        31556TAC3
        
          
          
        
        70000.00000000
        PA
        USD
        64486.45000000
        0.021114227817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711X3H5
        
          
          
        
        649927.05000000
        PA
        USD
        649913.01000000
        0.212795267143
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-03-25
          Floating
          2.45657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Packaging Corp of America
        549300XZP8MFZFY8TJ84
        Packaging Corp of America
        695156109
        
          
          
        
        3144.00000000
        NS
        USD
        490809.84000000
        0.160701523761
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        3M Co
        LUZQVYP4VS22CLWDAR65
        3M Co
        88579Y101
        
          
          
        
        4837.00000000
        NS
        USD
        720132.56000000
        0.235786633174
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UNITI GRP/UNITI HLD/CSL
        N/A
        Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC
        91327AAB8
        
          
          
        
        70000.00000000
        PA
        USD
        63142.80000000
        0.020674288385
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        WFRBS Commercial Mortgage Trust 2013-C12
        92937FAW1
        
          
        
        2210000.00000000
        PA
        USD
        2009403.38000000
        0.657921171705
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CRH PLC
        549300MIDJNNTH068E74
        CRH PLC
        000000000
        
          
          
          
        
        1274.00000000
        NS
        
        50813.96000000
        0.016637565376
        Long
        EC
        CORP
        IE
        N
        
        2
        
          N
          N
          N
        
      
      
        REALOGY GROUP/CO-ISSUER
        N/A
        Realogy Group LLC / Realogy Co-Issuer Corp
        75606DAL5
        
          
          
        
        70000.00000000
        PA
        USD
        66110.80000000
        0.021646074367
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - GBP
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        9419.50000000
        0.003084143551
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1055594.23000000
            USD
            810750.93000000
            GBP
            2022-04-08
            9419.50000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA1
        35564KBS7
        
          
        
        500000.00000000
        PA
        USD
        481195.65000000
        0.157553634585
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          2.34900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLRING BRANDS INC
        549300S3BOK5CMTS8054
        BellRing Brands Inc
        07831CAA1
        
          
          
        
        70000.00000000
        PA
        USD
        71575.00000000
        0.023435169032
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        254900GFKVQN72ENGJ20
        Home RE 2019-1 Ltd
        43731AAB9
        
          
        
        500000.00000000
        PA
        USD
        502725.80000000
        0.164603061124
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2029-05-25
          Floating
          3.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUDBAY MINERALS INC
        549300WI524AL577IX21
        Hudbay Minerals Inc
        443628AJ1
        
          
          
        
        70000.00000000
        PA
        USD
        68144.65000000
        0.022311999880
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MSCI Inc
        549300HTIN2PD78UB763
        MSCI Inc
        55354G100
        
          
          
        
        1426.00000000
        NS
        USD
        717106.88000000
        0.234795961539
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        INSTALLED BUILDING PRODU
        549300I95Y9P9YM5FI86
        Installed Building Products Inc
        45780RAA9
        
          
          
        
        70000.00000000
        PA
        USD
        68376.00000000
        0.022387748763
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BSCH4
        
          
        
        1592382.15000000
        PA
        USD
        278803.66000000
        0.091286215843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-15
          Floating
          4.01943000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sherwin-Williams Co/The
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348106
        
          
          
        
        967.00000000
        NS
        USD
        241382.54000000
        0.079033749582
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        JPY CALL VERSUS USD PUT
        000000000
        
          
        
        855000.00000000
        NC
        USD
        31497.25000000
        0.010312865914
        N/A
        DFE
        CORP
        FR
        
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            Put
            Purchased
            
              
                
                  
                    BNP PARIBAS
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS
                    R0MUWSFPU8MPRO8K5P83
                    JPY CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    FR
                    US
                  
                  N/A
                  JPY
                  N/A
                  USD
                  2025-02-27
                
              
            
            1.00000000
            USD
            107.50000000
            USD
            2025-02-27
            XXXX
            -10910.75000000
          
        
        
          N
          N
          N
        
      
      
        Realty Income Corp
        549300CUWDAUZSH43859
        Realty Income Corp
        756109104
        
          
          
        
        8697.00000000
        NS
        USD
        602702.10000000
        0.197337416552
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Elisa Oyj
        743700TU2S3DXWGU7H32
        Elisa Oyj
        000000000
        
          
          
          
        
        944.00000000
        NS
        
        56929.86000000
        0.018640040406
        Long
        EC
        CORP
        FI
        N
        
        2
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortga
        N/A
        UBS-Barclays Commercial Mortgage Trust 2012-C4
        90270RAL8
        
          
        
        140000.00000000
        PA
        USD
        129227.24000000
        0.042311731931
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-10
          Variable
          4.46048300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Boston Scientific Corp
        Y6ZDD9FP4P8JSSJMW954
        Boston Scientific Corp
        101137107
        
          
          
        
        14473.00000000
        NS
        USD
        641009.17000000
        0.209879961583
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        WEC Energy Group Inc
        549300IGLYTZUK3PVP70
        WEC Energy Group Inc
        92939U106
        
          
          
        
        5638.00000000
        NS
        USD
        562728.78000000
        0.184249306025
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        NVIDIA Corp
        549300S4KLFTLO7GSQ80
        NVIDIA Corp
        67066G104
        
          
          
        
        5770.00000000
        NS
        USD
        1574402.20000000
        0.515492583754
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DBG5
        
          
        
        75000.00000000
        PA
        USD
        65851.42000000
        0.021561147869
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-10-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        26555.44000000
        0.008694812785
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -1609869.21000000
            EUR
            1807690.42000000
            USD
            2022-04-08
            26555.44000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        147481.00000000
        0.048288399079
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -332811564.00000000
            JPY
            2881485.40000000
            USD
            2022-04-08
            147481.00000000
          
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust 2019-J1
        12556MCQ5
        
          
        
        456709.93000000
        PA
        USD
        451834.60000000
        0.147940205738
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Variable
          3.97891500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN AIRLINES/AADVAN
        N/A
        American Airlines Inc/AAdvantage Loyalty IP Ltd
        00253XAA9
        
          
          
        
        70000.00000000
        PA
        USD
        70623.35000000
        0.023123578692
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2026-04-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        National Storage Affiliates Tr
        N/A
        National Storage Affiliates Trust
        637870106
        
          
          
        
        6742.00000000
        NS
        USD
        423127.92000000
        0.138541031471
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        WW Grainger Inc
        549300TWZSP6O1IH2V34
        WW Grainger Inc
        384802104
        
          
          
        
        882.00000000
        NS
        USD
        454926.78000000
        0.148952650879
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCP6
        
          
          
        
        70000.00000000
        PA
        USD
        60900.00000000
        0.019939948223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-01-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyo Suisan Kaisha Ltd
        N/A
        Toyo Suisan Kaisha Ltd
        892306101
        
          
          
          
        
        800.00000000
        NS
        
        28625.72000000
        0.009372666250
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Progressive Corp/The
        529900TACNVLY9DCR586
        Progressive Corp/The
        743315103
        
          
          
        
        6577.00000000
        NS
        USD
        749712.23000000
        0.245471642833
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BANK
        RILFO74KP1CM8P6PCT96
        JPY CALL VERSUS USD PUT
        000000000
        
          
        
        855000.00000000
        NC
        USD
        31497.25000000
        0.010312865914
        N/A
        DFE
        CORP
        GB
        
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            Put
            Purchased
            
              
                
                  
                    STANDARD CHARTERED BANK
                    RILFO74KP1CM8P6PCT96
                  
                  
                    STANDARD CHARTERED BANK
                    RILFO74KP1CM8P6PCT96
                    JPY CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    GB
                    US
                  
                  N/A
                  JPY
                  N/A
                  USD
                  2025-02-27
                
              
            
            1.00000000
            USD
            107.50000000
            USD
            2025-02-27
            XXXX
            -11410.93000000
          
        
        
          N
          N
          N
        
      
      
        Highwoods Properties Inc
        ZIIGTYKL9T0X3HLTDX53
        Highwoods Properties Inc
        431284108
        
          
          
        
        6883.00000000
        NS
        USD
        314828.42000000
        0.103081484302
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Procter & Gamble Co/The
        2572IBTT8CCZW6AU4141
        Procter & Gamble Co/The
        742718109
        
          
          
        
        12185.00000000
        NS
        USD
        1861868.00000000
        0.609614967464
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BANK
        RILFO74KP1CM8P6PCT96
        CURRENCY CONTRACT - CLP
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        112.78000000
        0.000036926557
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            -3450.10000000
            USD
            2819558.00000000
            CLP
            2022-05-06
            112.78000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - EUR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3101.26000000
        -0.00101541812
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -440017.96000000
            USD
            394904.79000000
            EUR
            2022-04-08
            -3101.26000000
          
        
        
          N
          N
          N
        
      
      
        SBA Communications Corp
        5299001HX8ZN8Y8QIT49
        SBA Communications Corp
        78410G104
        
          
          
        
        1289.00000000
        NS
        USD
        443544.90000000
        0.145225982605
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DCE9
        
          
        
        238000.00000000
        PA
        USD
        202837.07000000
        0.066413147349
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-27
          Fixed
          2.03788000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Utilities Group PLC
        2138002IEYQAOC88ZJ59
        United Utilities Group PLC
        000000000
        
          
          
          
        
        7062.00000000
        NS
        
        103991.30000000
        0.034048951357
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Red Electrica Corp SA
        5493009HMD0C90GUV498
        Red Electrica Corp SA
        000000000
        
          
          
          
        
        5002.00000000
        NS
        
        102696.78000000
        0.033625098126
        Long
        EC
        CORP
        ES
        N
        
        2
        
          N
          N
          N
        
      
      
        KDDI Corp
        5299003FU7V4I45FU310
        KDDI Corp
        000000000
        
          
          
          
        
        500.00000000
        NS
        
        16393.32000000
        0.005367519737
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Coles Group Ltd
        549300OHQRG2HN8LZ793
        Coles Group Ltd
        000000000
        
          
          
          
        
        6811.00000000
        NS
        
        91032.24000000
        0.029805880989
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        Sohgo Security Services Co Ltd
        N/A
        Sohgo Security Services Co Ltd
        000000000
        
          
          
          
        
        600.00000000
        NS
        
        19566.89000000
        0.006406613686
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        ARKO CORP
        N/A
        Arko Corp
        041242AA6
        
          
          
        
        70000.00000000
        PA
        USD
        63829.15000000
        0.020899013893
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADSTREET PARTNERS INC
        549300BS9N54G8DD0R75
        BroadStreet Partners Inc
        11135RAA3
        
          
          
        
        70000.00000000
        PA
        USD
        65418.50000000
        0.021419400703
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BANK
        RILFO74KP1CM8P6PCT96
        CURRENCY CONTRACT - JPY
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -13366.28000000
        -0.00437640281
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            -238095.51000000
            USD
            27356388.00000000
            JPY
            2022-04-08
            -13366.28000000
          
        
        
          N
          N
          N
        
      
      
        ALLIED UNIVERSAL
        N/A
        Allied Universal Holdco LLC / Allied Universal Finance Corp
        019576AA5
        
          
          
        
        25000.00000000
        PA
        USD
        25330.00000000
        0.008293577807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
          
        
        225000.00000000
        PA
        USD
        222307.43000000
        0.072788155071
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2027-01-31
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WOLVERINE WORLD WIDE
        549300OVC7PK14LQ8D87
        Wolverine World Wide Inc
        978097AG8
        
          
          
        
        70000.00000000
        PA
        USD
        62251.00000000
        0.020382294201
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Williams Cos Inc/The
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        969457100
        
          
          
        
        18332.00000000
        NS
        USD
        612472.12000000
        0.200536327766
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - AUD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        60695.83000000
        0.019873098646
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -1978268.55000000
            USD
            2724662.63000000
            AUD
            2022-04-08
            60695.83000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - EUR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        13132.14000000
        0.004299740421
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -1858368.94000000
            USD
            1691546.12000000
            EUR
            2022-04-08
            13132.14000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - NOK
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4701.73000000
        0.001539445858
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -1611427.83000000
            USD
            14228882.44000000
            NOK
            2022-04-08
            4701.73000000
          
        
        
          N
          N
          N
        
      
      
        CLEAR CHANNEL OUTDOOR HO
        N/A
        Clear Channel Outdoor Holdings Inc
        18453HAD8
        
          
          
        
        70000.00000000
        PA
        USD
        69932.10000000
        0.022897248820
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B3TM2
        
          
        
        290760.43000000
        PA
        USD
        32213.99000000
        0.010547541751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-25
          Floating
          5.64343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - EUR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        313.12000000
        0.000102522111
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -44027.43000000
            USD
            40076.97000000
            EUR
            2022-04-08
            313.12000000
          
        
        
          N
          N
          N
        
      
      
        Takeda Pharmaceutical Co Ltd
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        000000000
        
          
          
          
        
        5700.00000000
        NS
        
        162405.68000000
        0.053175055014
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        TRONOX INC
        549300EPZ4YXC7E5P181
        Tronox Inc
        897051AC2
        
          
          
        
        55000.00000000
        PA
        USD
        51560.03000000
        0.016881844476
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSX Corp
        549300JVQR4N1MMP3Q88
        CSX Corp
        126408103
        
          
          
        
        5436.00000000
        NS
        USD
        203578.20000000
        0.066655808988
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HUGHES SATELLITE SYSTEMS
        N/A
        Hughes Satellite Systems Corp
        444454AF9
        
          
          
        
        70000.00000000
        PA
        USD
        72686.60000000
        0.023799130386
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-01
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TALLGRASS NRG PRTNR/FIN
        N/A
        Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
        87470LAD3
        
          
          
        
        70000.00000000
        PA
        USD
        67863.25000000
        0.022219863567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Expedia Group Inc
        N/A
        Expedia Group Inc
        30212P303
        
          
          
        
        3843.00000000
        NS
        USD
        751959.81000000
        0.246207548068
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Waste Connections Inc
        549300HDLRTPBQU69P29
        Waste Connections Inc
        94106B101
        
          
          
        
        5753.00000000
        NS
        USD
        803694.10000000
        0.263146448954
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TB4
        
          
          
        
        54100.00000000
        PA
        USD
        47472.75000000
        0.015543582545
        Long
        DBT
        UST
        US
        N
        
        2
        
          2051-11-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -22771.71000000
        -0.00745593954
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1292447.72000000
            AUD
            944414.04000000
            USD
            2022-04-08
            -22771.71000000
          
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DAS0
        
          
        
        163000.00000000
        PA
        USD
        131230.37000000
        0.042967599066
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oversea-Chinese Banking Corp L
        5493007O3QFXCPOGWK22
        Oversea-Chinese Banking Corp Ltd
        000000000
        
          
          
          
        
        5000.00000000
        NS
        
        45359.29000000
        0.014851591035
        Long
        EC
        CORP
        SG
        N
        
        2
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - EUR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -50201.33000000
        -0.01643697735
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -2776790.56000000
            USD
            2464412.92000000
            EUR
            2022-04-08
            -50201.33000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BANK
        RILFO74KP1CM8P6PCT96
        USD CALL VERSUS JPY PUT
        000000000
        
          
        
        855000.00000000
        NC
        USD
        63831.11000000
        0.020899655639
        N/A
        DFE
        CORP
        GB
        
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            Call
            Purchased
            
              
                
                  
                    STANDARD CHARTERED BANK
                    RILFO74KP1CM8P6PCT96
                  
                  
                    STANDARD CHARTERED BANK
                    RILFO74KP1CM8P6PCT96
                    USD CALL VERSUS JPY PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    GB
                    US
                  
                  N/A
                  USD
                  N/A
                  JPY
                  2025-02-27
                
              
            
            1.00000000
            USD
            107.50000000
            USD
            2025-02-27
            XXXX
            20922.93000000
          
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDD8
        
          
          
        
        475000.00000000
        PA
        USD
        472625.00000000
        0.154747422479
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661EF0
        
          
          
        
        170000.00000000
        PA
        USD
        177194.72000000
        0.058017299544
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2062-04-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBK5
        
          
          
        
        275000.00000000
        PA
        USD
        282680.70000000
        0.092555640750
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2079-05-01
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        UNITED STATES 10 YEAR TREASURY NOTE/BOND
        000000000
        
          
          
        
        -88.00000000
        NC
        USD
        364330.60000000
        0.119289545158
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            -12285580.60000000
            USD
            364330.60000000
          
        
        
          N
          N
          N
        
      
      
        Booz Allen Hamilton Holding Co
        529900JPV47PIUWMA015
        Booz Allen Hamilton Holding Corp
        099502106
        
          
          
        
        5341.00000000
        NS
        USD
        469153.44000000
        0.153610760301
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMDB Commercial Mortgage Secu
        N/A
        JPMDB Commercial Mortgage Securities Trust 2018-C8
        46591ABC8
        
          
        
        25791940.56000000
        PA
        USD
        612829.40000000
        0.200653308796
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-06-15
          Variable
          0.59043700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sumitomo Corp
        V82KK8NH1P0JS71FJC05
        Sumitomo Corp
        000000000
        
          
          
          
        
        6700.00000000
        NS
        
        116035.02000000
        0.037992320047
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -501.55000000
        -0.00016421807
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -139573.05000000
            EUR
            153919.96000000
            USD
            2022-04-08
            -501.55000000
          
        
        
          N
          N
          N
        
      
      
        Rio Tinto Ltd
        529900X2VMAQT2PE0V24
        Rio Tinto Ltd
        000000000
        
          
          
          
        
        3553.00000000
        NS
        
        317639.27000000
        0.104001816050
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        GS Mortgage-Backed Securities
        N/A
        GS Mortgage-Backed Securities Corp Trust 2019-PJ2
        36257LAA5
        
          
        
        62152.68000000
        PA
        USD
        62300.48000000
        0.020398494999
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389X105
        
          
          
        
        4764.00000000
        NS
        USD
        394125.72000000
        0.129045097705
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Air Products and Chemicals Inc
        7QEON6Y1RL5XR3R1W237
        Air Products and Chemicals Inc
        009158106
        
          
          
        
        2338.00000000
        NS
        USD
        584289.58000000
        0.191308768023
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Capcom Co Ltd
        529900JJWQKXS3TC8744
        Capcom Co Ltd
        000000000
        
          
          
          
        
        2600.00000000
        NS
        
        63035.26000000
        0.020639077514
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1195.51000000
        -0.00039143526
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -120611302.00000000
            JPY
            989610.90000000
            USD
            2022-04-08
            -1195.51000000
          
        
        
          N
          N
          N
        
      
      
        Coterra Energy Inc
        FCNMH6O7VWU7LHXMK351
        Coterra Energy Inc
        127097103
        
          
          
        
        17853.00000000
        NS
        USD
        481495.41000000
        0.157651782350
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MIDAS OPCO HOLDINGS LLC
        N/A
        Stagwell Global LLC
        59565JAA9
        
          
          
        
        70000.00000000
        PA
        USD
        66129.00000000
        0.021652033432
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lundin Energy AB
        549300IULC8F8IGXKI15
        Lundin Energy AB
        000000000
        
          
          
          
        
        2020.00000000
        NS
        
        84787.72000000
        0.027761293050
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2019-INV1
        46591DAY5
        
          
        
        949154.16000000
        PA
        USD
        946002.21000000
        0.309741134425
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-10-25
          Variable
          5.01544900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LBM ACQUISITION LLC
        549300FAEB3VWZL4NI86
        LBM Acquisition LLC
        05552BAA4
        
          
          
        
        70000.00000000
        PA
        USD
        65653.35000000
        0.021496295561
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCG4
        
          
          
        
        942000.00000000
        PA
        USD
        898616.48000000
        0.294226044068
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-06-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DDE8
        
          
        
        92000.00000000
        PA
        USD
        79459.28000000
        0.026016649081
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - CHF
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -13741.34000000
        -0.00449920538
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1628714.08000000
            USD
            1492113.83000000
            CHF
            2022-04-08
            -13741.34000000
          
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DAU5
        
          
        
        113000.00000000
        PA
        USD
        86462.44000000
        0.028309631803
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RLJ LODGING TRUST LP
        549300RX5I8Z6I6LDZ74
        RLJ Lodging Trust LP
        74965LAB7
        
          
          
        
        70000.00000000
        PA
        USD
        64832.60000000
        0.021227564649
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRU
        N/A
        SoFi Consumer Loan Program 2020-1 Trust
        83407AAC6
        
          
        
        400000.00000000
        PA
        USD
        397528.88000000
        0.130159364276
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-01-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        SWOP IRS USD
        000000000
        
          
        
        -1476000.00000000
        NC
        USD
        -7049.68000000
        -0.00230821435
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY CAPITAL SERVICES LLC
                    I7331LVCZKQKX5T7XV54
                  
                  
                    MORGAN STANLEY CAPITAL SERVICES LLC
                    I7331LVCZKQKX5T7XV54
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-05-03
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            0.01000000
            USD
            2.29600000
            USD
            2022-04-28
            XXXX
            12182.60000000
          
        
        
          N
          N
          N
        
      
      
        VENATOR FIN SARL/VENATOR
        N/A
        Venator Finance Sarl / Venator Materials LLC
        9226APAA3
        
          
          
        
        35000.00000000
        PA
        USD
        28178.68000000
        0.009226295898
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2025-07-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        WEATHERFORD INTERNATIONA
        549300A2JKMG5PGOGF82
        Weatherford International Ltd
        947075AU1
        
          
          
        
        70000.00000000
        PA
        USD
        71156.05000000
        0.023297995940
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2030-04-30
          Fixed
          8.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BANK
        RILFO74KP1CM8P6PCT96
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -971.47000000
        -0.00031807982
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            -274671.98000000
            TRY
            17373.50000000
            USD
            2022-04-29
            -971.47000000
          
        
        
          N
          N
          N
        
      
      
        SPECIALTY BUILDING PRODU
        N/A
        Specialty Building Products Holdings LLC / SBP Finance Corp
        84749AAA5
        
          
          
        
        70000.00000000
        PA
        USD
        71284.50000000
        0.023340053187
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-30
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BlackRock Inc
        549300LRIF3NWCU26A80
        BlackRock Inc
        09247X101
        
          
          
        
        1098.00000000
        NS
        USD
        839058.66000000
        0.274725553968
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ENEOS Holdings Inc
        3538001KQ5SAOZSQTT44
        ENEOS Holdings Inc
        000000000
        
          
          
          
        
        28300.00000000
        NS
        
        105805.93000000
        0.034643099604
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          
        
      
      
        PARAMOUNT GLOBAL
        5KYC8KF17ROCY24M3H09
        Paramount Global
        92553PBC5
        
          
          
        
        70000.00000000
        PA
        USD
        70701.75000000
        0.023149248510
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2057-02-28
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust 2019-INV2
        12554TAC5
        
          
        
        236017.95000000
        PA
        USD
        236600.25000000
        0.077467926676
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAF7
        
          
          
        
        200000.00000000
        PA
        USD
        211283.00000000
        0.069178523488
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2029-04-22
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBL4
        
          
          
        
        87000.00000000
        PA
        USD
        78578.67000000
        0.025728318739
        Long
        DBT
        UST
        US
        N
        
        2
        
          2031-02-15
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hershey Co/The
        21X2CX66SU2BR6QTAD08
        Hershey Co/The
        427866108
        
          
          
        
        2111.00000000
        NS
        USD
        457305.93000000
        0.149731634916
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BLUE RACER MID LLC/FINAN
        N/A
        Blue Racer Midstream LLC / Blue Racer Finance Corp
        095796AE8
        
          
          
        
        35000.00000000
        PA
        USD
        35593.95000000
        0.011654212152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Financial Grou
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        000000000
        
          
          
          
        
        5000.00000000
        NS
        
        157941.92000000
        0.051713525567
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Mitsubishi Chemical Holdings C
        353800YNKX4RQUGAR072
        Mitsubishi Chemical Holdings Corp
        000000000
        
          
          
          
        
        2400.00000000
        NS
        
        15961.76000000
        0.005226217864
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2016-K57 Mortgage Trust
        30295DAL6
        
          
        
        1119479.74000000
        PA
        USD
        843574.22000000
        0.276204043830
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RELIANCE INDUSTRIES LTD
        5493003UOETFYRONLG31
        Reliance Industries Ltd
        759470BB2
        
          
          
        
        250000.00000000
        PA
        USD
        229645.15000000
        0.075190679814
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2032-01-12
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3118.49000000
        -0.00102105959
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -454384.20000000
            EUR
            499605.33000000
            USD
            2022-04-08
            -3118.49000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - NZD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        11047.40000000
        0.003617152446
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -1500047.04000000
            USD
            2180491.09000000
            NZD
            2022-04-08
            11047.40000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - AUD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        36291.83000000
        0.011882712826
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -951600.28000000
            USD
            1320117.57000000
            AUD
            2022-04-08
            36291.83000000
          
        
        
          N
          N
          N
        
      
      
        MGM RESORTS INTL
        54930066VBP7DZEGGJ87
        MGM Resorts International
        552953CF6
        
          
          
        
        70000.00000000
        PA
        USD
        70820.75000000
        0.023188211627
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        NEW ENTERPRISE STONE & L
        549300O5DQ5Y61B8VF38
        New Enterprise Stone & Lime Co Inc
        644274AG7
        
          
          
        
        70000.00000000
        PA
        USD
        70689.50000000
        0.023145237601
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-15
          Fixed
          9.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SSL ROBOTICS LLC
        N/A
        Maxar Space Robotics LLC
        78472GAA7
        
          
          
        
        42000.00000000
        PA
        USD
        44778.51000000
        0.014661431377
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-31
          Fixed
          9.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Post AG
        8ER8GIG7CSMVD8VUFE78
        Deutsche Post AG
        000000000
        
          
          
          
        
        3110.00000000
        NS
        
        148509.14000000
        0.048625033863
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        BMD2 Re-REMIC Trust
        N/A
        BMD2 Re-Remic Trust 2019-FRR1
        055631EU5
        
          
        
        204000.00000000
        PA
        USD
        145544.51000000
        0.047654351290
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSC HOLDINGS LLC
        3HG2WD2W22M120IUNG49
        CSC Holdings LLC
        126307AH0
        
          
          
        
        70000.00000000
        PA
        USD
        70210.00000000
        0.022988239158
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLGATE ENERGY P
        549300QRLZK0B17DH791
        Colgate Energy Partners III LLC
        19416MAB5
        
          
          
        
        50000.00000000
        PA
        USD
        51636.00000000
        0.016906718661
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-01
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HESS MIDSTREAM OPERATION
        N/A
        Hess Midstream Operations LP
        428102AE7
        
          
          
        
        70000.00000000
        PA
        USD
        66171.00000000
        0.021665785121
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -20052.33000000
        -0.00656555701
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1307013.06000000
            CHF
            1394578.65000000
            USD
            2022-04-08
            -20052.33000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -11750.31000000
        -0.00384730004
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -456047.04000000
            AUD
            329526.32000000
            USD
            2022-04-08
            -11750.31000000
          
        
        
          N
          N
          N
        
      
      
        FORTRESS TRANS & INFRAST
        529900E7PUVK6BC8PE80
        Fortress Transportation and Infrastructure Investors LLC
        34960PAD3
        
          
          
        
        70000.00000000
        PA
        USD
        63734.30000000
        0.020867957997
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - EUR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2787.69000000
        -0.00091274867
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -822591.11000000
            USD
            740974.88000000
            EUR
            2022-04-08
            -2787.69000000
          
        
        
          N
          N
          N
        
      
      
        GOLD FIELDS OROGEN HOLD
        213800CLGJ2E9KGU2F20
        Gold Fields Orogen Holdings BVI Ltd
        38060AAB0
        
          
          
        
        200000.00000000
        PA
        USD
        204286.00000000
        0.066887557680
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-05-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13
        61763BAG9
        
          
        
        560000.00000000
        PA
        USD
        427494.20000000
        0.139970643903
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-11-15
          Fixed
          3.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY INDIANA LLC
        6URPHM2EAWGJ2C6ISB97
        Duke Energy Indiana LLC
        26443TAB2
        
          
          
        
        104000.00000000
        PA
        USD
        92808.06000000
        0.030387322021
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD CALL VERSUS AUD PUT
        000000000
        
          
        
        18734000.00000000
        NC
        USD
        29636.06000000
        0.009703472938
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    USD CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  AUD
                  2022-06-15
                
              
            
            1.00000000
            USD
            0.67400000
            USD
            2022-06-15
            XXXX
            -90267.25000000
          
        
        
          N
          N
          N
        
      
      
        BHP Group Ltd
        WZE1WSENV6JSZFK0JC28
        BHP Group Ltd
        000000000
        
          
          
          
        
        2682.00000000
        NS
        
        103384.54000000
        0.033850285298
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        Bill.com Holdings Inc
        549300IBF9VZZIGOZW63
        Bill.com Holdings Inc
        090043100
        
          
          
        
        1881.00000000
        NS
        USD
        426591.99000000
        0.139675241265
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        TRINSEO OP / TRINSEO FIN
        N/A
        Trinseo Materials Operating SCA / Trinseo Materials Finance Inc
        89668QAF5
        
          
          
        
        50000.00000000
        PA
        USD
        46232.00000000
        0.015137334749
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2029-04-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DT MIDSTREAM INC
        N/A
        DT Midstream Inc
        23345MAA5
        
          
          
        
        70000.00000000
        PA
        USD
        67220.30000000
        0.022009348137
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8731.85000000
        0.002858992395
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -13529425.58000000
            NOK
            1545416.45000000
            USD
            2022-04-08
            8731.85000000
          
        
        
          N
          N
          N
        
      
      
        Royal Caribbean Cruises Ltd
        K2NEH8QNVW44JIWK7Z55
        Royal Caribbean Cruises Ltd
        000000000
        
          
          
        
        5543.00000000
        NS
        USD
        464392.54000000
        0.152051940933
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MILLENNIUM ESCROW CORP
        N/A
        Millennium Escrow Corp
        60041CAA6
        
          
          
        
        20000.00000000
        PA
        USD
        19021.40000000
        0.006228008721
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-01
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SRS DISTRIBUTION INC
        549300ZQ3XP75BCYM468
        SRS Distribution Inc
        78471RAC0
        
          
          
        
        70000.00000000
        PA
        USD
        64660.05000000
        0.021171068129
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        PETROLEOS DEL PERU SA
        549300ZMGDLC9JT2OR80
        Petroleos del Peru SA
        000000000
        
          
          
        
        225000.00000000
        PA
        USD
        201909.38000000
        0.066109402019
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2032-06-19
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625H100
        
          
          
        
        662.00000000
        NS
        USD
        90243.84000000
        0.029547742152
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Schneider Electric SE
        969500A1YF1XUYYXS284
        Schneider Electric SE
        000000000
        
          
          
          
        
        105.00000000
        NS
        
        17628.59000000
        0.005771973265
        Long
        EC
        CORP
        FR
        
        N
        
        2
        
          N
          N
          N
        
      
      
        FOUNDATION BUILDING M
        549300ZVE6MONHB01I28
        Foundation Building Materials Inc
        350392AA4
        
          
          
        
        70000.00000000
        PA
        USD
        63135.80000000
        0.020671996437
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Sumitomo Chemical Co Ltd
        353800RSAU9BD8U4DM91
        Sumitomo Chemical Co Ltd
        000000000
        
          
          
          
        
        5800.00000000
        NS
        
        26557.14000000
        0.008695369401
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2019-B10 Mortgage Trust
        08162VAF5
        
          
        
        12331820.98000000
        PA
        USD
        781987.90000000
        0.256039379921
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2062-03-15
          Variable
          1.22524100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Baxter International Inc
        J5OIVXX3P24RJRW5CK77
        Baxter International Inc
        071813109
        
          
          
        
        7223.00000000
        NS
        USD
        560071.42000000
        0.183379230150
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        1011778 BC / NEW RED FIN
        N/A
        1011778 BC ULC / New Red Finance Inc
        68245XAM1
        
          
          
        
        70000.00000000
        PA
        USD
        63237.30000000
        0.020705229684
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-10-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOOT LOCKER INC
        549300X383CBNP6MTV94
        Foot Locker Inc
        344849AA2
        
          
          
        
        70000.00000000
        PA
        USD
        61387.20000000
        0.020099467809
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Mid-America Apartment Communit
        549300FQZKFR5YNSHZ21
        Mid-America Apartment Communities Inc
        59522J103
        
          
          
        
        601.00000000
        NS
        USD
        125879.45000000
        0.041215594669
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        GAP INC/THE
        T2ZG1WRWZ4BUCMQL9224
        Gap Inc/The
        364760AQ1
        
          
          
        
        70000.00000000
        PA
        USD
        61113.50000000
        0.020009852639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-10-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY PROGRESS INC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        144141DD7
        
          
          
        
        23000.00000000
        PA
        USD
        23535.21000000
        0.007705925596
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R04
        20753TAB9
        
          
        
        14804.92000000
        PA
        USD
        14806.01000000
        0.004847800866
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-06-25
          Floating
          2.55657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CATALENT PHARMA SOLUTION
        549300HALRZ339MSTH85
        Catalent Pharma Solutions Inc
        14879EAE8
        
          
          
        
        70000.00000000
        PA
        USD
        70905.10000000
        0.023215829602
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chipotle Mexican Grill Inc
        N/A
        Chipotle Mexican Grill Inc
        169656105
        
          
          
        
        413.00000000
        NS
        USD
        653378.39000000
        0.213929905858
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - CAD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        26586.51000000
        0.008704985760
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -1156824.15000000
            USD
            1479470.97000000
            CAD
            2022-04-08
            26586.51000000
          
        
        
          N
          N
          N
        
      
      
        STARWOOD PROPERTY TRUST
        BUGSFQZERKRBFWIG5267
        Starwood Property Trust Inc
        85571BAY1
        
          
          
        
        30000.00000000
        PA
        USD
        29140.35000000
        0.009541166998
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        183.93000000
        0.000060222572
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -1456499.06000000
            CHF
            1576609.42000000
            USD
            2022-04-08
            183.93000000
          
        
        
          N
          N
          N
        
      
      
        RELX PLC
        549300WSX3VBUFFJOO66
        RELX PLC
        000000000
        
          
          
          
        
        2280.00000000
        NS
        
        70948.28000000
        0.023229967647
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        CLP Holdings Ltd
        25490002BUTSMP94GO68
        CLP Holdings Ltd
        000000000
        
          
          
          
        
        11500.00000000
        NS
        
        111893.82000000
        0.036636403568
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        Axis Capital Holdings Ltd
        N/A
        Axis Capital Holdings Ltd
        000000000
        
          
          
        
        7888.00000000
        NS
        USD
        476987.36000000
        0.156175751421
        Long
        EC
        CORP
        BM
        
        N
        
        1
        
          N
          N
          N
        
      
      
        BP PLC
        213800LH1BZH3DI6G760
        BP PLC
        000000000
        
          
          
          
        
        40425.00000000
        NS
        
        198178.20000000
        0.064887734761
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        N/A
        WFRBS Commercial Mortgage Trust 2011-C5
        92936JAN4
        
          
        
        879088.40000000
        PA
        USD
        877397.39000000
        0.287278465153
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2044-11-15
          Variable
          5.52094400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TotalEnergies SE
        529900S21EQ1BO4ESM68
        TotalEnergies SE
        000000000
        
          
          
          
        
        292.00000000
        NS
        
        14775.15000000
        0.004837696650
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - NZD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12469.15000000
        0.004082663471
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -636934.17000000
            USD
            937081.18000000
            NZD
            2022-04-08
            12469.15000000
          
        
        
          N
          N
          N
        
      
      
        Koninklijke Ahold Delhaize NV
        724500C9GNBV20UYRX36
        Koninklijke Ahold Delhaize NV
        000000000
        
          
          
          
        
        4442.00000000
        NS
        
        142879.98000000
        0.046781927805
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          
        
      
      
        National Grid PLC
        8R95QZMKZLJX5Q2XR704
        National Grid PLC
        000000000
        
          
          
          
        
        11965.00000000
        NS
        
        183880.20000000
        0.060206267114
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        GRAHAM HOLDINGS CO
        529900BOSCEEEMAFQJ29
        Graham Holdings Co
        384637AA2
        
          
          
        
        70000.00000000
        PA
        USD
        72025.10000000
        0.023582541293
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XYX6
        
          
          
        
        188381.42000000
        PA
        USD
        189977.41000000
        0.062202622643
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-07-25
          Floating
          2.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599ED3
        
          
          
        
        70000.00000000
        PA
        USD
        80412.50000000
        0.026328753472
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L3Harris Technologies Inc
        549300UTE50ZMDBG8A20
        L3Harris Technologies Inc
        502431109
        
          
          
        
        2748.00000000
        NS
        USD
        682795.56000000
        0.223561709581
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 2 Year US Treasury Note
        000000000
        
          
          
        
        139.00000000
        NC
        USD
        -420869.01000000
        -0.13780141655
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-30
            29878009.77000000
            USD
            -420869.01000000
          
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS CDX.NA.HY.37.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        319748.50000000
        0.104692422569
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                IHS MARKIT LTD
                CDX.NA.HY.37.V1
                
                  
                  
                
              
            
            Y
            
            Default Event
            2026-12-20
            264805.78000000
            USD
            0.00000000
            USD
            -4949279.00000000
            USD
            54942.72000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -20435.85000000
        -0.00669112957
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -2136547.27000000
            EUR
            2343407.78000000
            USD
            2022-04-08
            -20435.85000000
          
        
        
          N
          N
          N
        
      
      
        Zurich Insurance Group AG
        529900QVNRBND50TXP03
        Zurich Insurance Group AG
        000000000
        
          
          
          
        
        451.00000000
        NS
        
        222748.88000000
        0.072932695139
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        ADANI PORTS AND SPECIAL
        335800QOAXP5TM7OYP69
        Adani Ports & Special Economic Zone Ltd
        00652MAE2
        
          
          
        
        200000.00000000
        PA
        USD
        192427.68000000
        0.063004892872
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2029-07-03
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Trend Micro Inc/Japan
        3538005O5UJ5RNAGVE16
        Trend Micro Inc/Japan
        000000000
        
          
          
          
        
        1500.00000000
        NS
        
        87597.18000000
        0.028681169683
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        National Retail Properties Inc
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417106
        
          
          
        
        10568.00000000
        NS
        USD
        474925.92000000
        0.155500792359
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Regions Financial Corp
        CW05CS5KW59QTC0DG824
        Regions Financial Corp
        7591EP100
        
          
          
        
        17310.00000000
        NS
        USD
        385320.60000000
        0.126162115161
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076CQ3
        
          
          
        
        225000.00000000
        PA
        USD
        223709.07000000
        0.073247081656
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        36719.85000000
        0.012022855628
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1268822.14000000
            EUR
            1440525.50000000
            USD
            2022-04-08
            36719.85000000
          
        
        
          N
          N
          N
        
      
      
        RUSSIAN FEDERATION
        5493004EHVGF71PDBU58
        Russian Foreign Bond - Eurobond
        000000000
        
          
          
        
        200000.00000000
        PA
        USD
        32000.00000000
        0.010477476898
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2029-03-21
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Quanta Services Inc
        SHVRXXEACT60MMH07S24
        Quanta Services Inc
        74762E102
        
          
          
        
        5048.00000000
        NS
        USD
        664367.28000000
        0.217527900893
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HKELECTRIC-SS
        N/A
        HK Electric Investments & HK Electric Investments Ltd
        000000000
        
          
          
          
        
        16500.00000000
        NS
        
        16113.90000000
        0.005276031718
        Long
        EC
        CORP
        HK
        N
        
        1
        
          N
          N
          N
        
      
      
        VISTAJET MALTA/XO MGMT
        N/A
        VistaJet Malta Finance PLC / XO Management Holding Inc
        92840JAB5
        
          
          
        
        70000.00000000
        PA
        USD
        65954.00000000
        0.021594734731
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2030-02-01
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        KeyCorp
        RKPI3RZGV1V1FJTH5T61
        KeyCorp
        493267108
        
          
          
        
        11733.00000000
        NS
        USD
        262584.54000000
        0.085975732870
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        VIZIENT INC
        5493007V6T3HZ7777P70
        Vizient Inc
        92856JAB6
        
          
          
        
        70000.00000000
        PA
        USD
        72182.25000000
        0.023633995527
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2019-LTV2
        46651AAT9
        
          
        
        52863.97000000
        PA
        USD
        52887.54000000
        0.017316499330
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Healthcare Realty Trust Inc
        549300CB86LH2IOKHH22
        Healthcare Realty Trust Inc
        421946104
        
          
          
        
        4443.00000000
        NS
        USD
        122093.64000000
        0.039976040393
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          
        
      
      
        AMN HEALTHCARE INC
        549300H27NUKBFFQEE84
        AMN Healthcare Inc
        00175PAB9
        
          
          
        
        70000.00000000
        PA
        USD
        68194.35000000
        0.022328272711
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Prologis Inc
        529900DFH19P073LZ636
        Prologis Inc
        74340W103
        
          
          
        
        5455.00000000
        NS
        USD
        880873.40000000
        0.288416584355
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Sempra Energy
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851109
        
          
          
        
        1976.00000000
        NS
        USD
        332205.12000000
        0.108770983453
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        IHEARTCOMMUNICATIONS INC
        54930076J6KDZL504O62
        iHeartCommunications Inc
        45174HBD8
        
          
          
        
        70000.00000000
        PA
        USD
        72464.00000000
        0.023726246437
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          8.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911365BP8
        
          
          
        
        70000.00000000
        PA
        USD
        65397.85000000
        0.021412639456
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - AUD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        38128.60000000
        0.012484110177
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -1364974.28000000
            USD
            1874962.61000000
            AUD
            2022-04-08
            38128.60000000
          
        
        
          N
          N
          N
        
      
      
        GRAFTECH FINANCE INC
        1Z010BU876CF2HDBIN43
        GrafTech Finance Inc
        384311AA4
        
          
          
        
        70000.00000000
        PA
        USD
        65228.45000000
        0.021357174313
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -2893.47000000
        -0.00094738328
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2032-05-06
            0.00000000
            USD
            0.00000000
            USD
            911039.00000000
            USD
            -2893.47000000
          
        
        
          N
          N
          N
        
      
      
        Gaming and Leisure Properties
        5493006GWRDBCZYWTM57
        Gaming and Leisure Properties Inc
        36467J108
        
          
          
        
        9951.00000000
        NS
        USD
        467000.43000000
        0.152905819284
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - EUR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12457.99000000
        0.004079009451
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -945342.97000000
            USD
            865703.21000000
            EUR
            2022-04-08
            12457.99000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -31947.92000000
        -0.01046042480
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -1555345.21000000
            CAD
            1212153.61000000
            USD
            2022-04-08
            -31947.92000000
          
        
        
          N
          N
          N
        
      
      
        ROYAL CARIBBEAN CRUISES
        K2NEH8QNVW44JIWK7Z55
        Royal Caribbean Cruises Ltd
        780153BC5
        
          
          
        
        25000.00000000
        PA
        USD
        26060.38000000
        0.008532719669
        Long
        DBT
        CORP
        LR
        
        N
        
        2
        
          2023-06-15
          Fixed
          9.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Michelin
        549300SOSI58J6VIW052
        Cie Generale des Etablissements Michelin SCA
        000000000
        
          
          
          
        
        853.00000000
        NS
        
        115595.41000000
        0.037848382434
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - SEK
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6143.24000000
        0.002011426724
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -135345.87000000
            USD
            1330241.02000000
            SEK
            2022-04-08
            6143.24000000
          
        
        
          N
          N
          N
        
      
      
        MF1 Multifamily Housing Mortga
        N/A
        MF1 Multifamily Housing Mortgage Loan Trust
        55282XAJ9
        
          
        
        182000.00000000
        PA
        USD
        179850.49000000
        0.058886854819
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2036-07-15
          Floating
          2.94305000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMC NETWORKS INC
        549300VGG9K75226LR46
        AMC Networks Inc
        00164VAF0
        
          
          
        
        70000.00000000
        PA
        USD
        65415.00000000
        0.021418254729
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XDK7
        
          
        
        1057902.37000000
        PA
        USD
        1099350.46000000
        0.359950595265
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-01-25
          Floating
          4.90657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ConocoPhillips
        WPTL2Z3FIYTHSP5V2253
        ConocoPhillips
        20825C104
        
          
          
        
        2146.00000000
        NS
        USD
        214600.00000000
        0.070264579453
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Novartis AG
        5493007HIVTX6SY6XD66
        Novartis AG
        000000000
        
          
          
          
        
        4522.00000000
        NS
        
        396993.41000000
        0.129984040071
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        NIELSEN FINANCE LLC/CO
        N/A
        Nielsen Finance LLC / Nielsen Finance Co
        65409QBK7
        
          
          
        
        70000.00000000
        PA
        USD
        70067.55000000
        0.022941598015
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-07-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Palo Alto Networks Inc
        549300QXR2YVZV231H43
        Palo Alto Networks Inc
        697435105
        
          
          
        
        1453.00000000
        NS
        USD
        904507.03000000
        0.296154734742
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Diamondback Energy Inc
        549300R22LSX6OHWEN64
        Diamondback Energy Inc
        25278X109
        
          
          
        
        2862.00000000
        NS
        USD
        392322.96000000
        0.128454835947
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BANK
        RILFO74KP1CM8P6PCT96
        CURRENCY CONTRACT - SEK
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -9899.38000000
        -0.00324126641
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            -893064.32000000
            USD
            8303269.94000000
            SEK
            2022-04-08
            -9899.38000000
          
        
        
          N
          N
          N
        
      
      
        BUILDERS FIRSTSOURCE INC
        549300W0SKP6L3H7DP63
        Builders FirstSource Inc
        12008RAN7
        
          
          
        
        70000.00000000
        PA
        USD
        68985.00000000
        0.022587148246
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAESARS ENTERTAIN INC
        549300FA4CTCW903Y781
        Caesars Entertainment Inc
        28470RAH5
        
          
          
        
        70000.00000000
        PA
        USD
        72360.40000000
        0.023692325606
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOC Hong Kong Holdings Ltd
        N/A
        BOC Hong Kong Holdings Ltd
        000000000
        
          
          
          
        
        30000.00000000
        NS
        
        112883.58000000
        0.036960471928
        Long
        EC
        CORP
        HK
        
        N
        
        2
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - SEK
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -84.88000000
        -0.00002779150
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -150662.77000000
            USD
            1415691.25000000
            SEK
            2022-04-08
            -84.88000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31394EYQ5
        
          
        
        1016484.05000000
        PA
        USD
        143642.11000000
        0.047031465288
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-25
          Floating
          6.54343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        37421.42000000
        0.012252564486
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -1749412.25000000
            GBP
            2335473.75000000
            USD
            2022-04-08
            37421.42000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES HOLDINGS
        98450079DA0B78DD6764
        United Airlines Holdings Inc
        910047AK5
        
          
          
        
        70000.00000000
        PA
        USD
        69798.75000000
        0.022853587209
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Agate Bay Mortgage Loan Trust
        N/A
        Agate Bay Mortgage Trust 2015-1
        00841WBN1
        
          
        
        780871.58000000
        PA
        USD
        772280.27000000
        0.252860896513
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-01-25
          Variable
          3.70284200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - EUR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3765.19000000
        -0.00123280285
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -247107.27000000
            USD
            219943.42000000
            EUR
            2022-04-08
            -3765.19000000
          
        
        
          N
          N
          N
        
      
      
        Mondelez International Inc
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207105
        
          
          
        
        10056.00000000
        NS
        USD
        631315.68000000
        0.206706107910
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -7983.90000000
        -0.00261409774
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -864002.43000000
            EUR
            947935.34000000
            USD
            2022-04-08
            -7983.90000000
          
        
        
          N
          N
          N
        
      
      
        Roche Holding AG
        549300U41AUUVOAAOB37
        Roche Holding AG
        000000000
        
          
          
          
        
        206.00000000
        NS
        
        81506.35000000
        0.026686903101
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        ManpowerGroup Inc
        ERO1WSFOSR0JJ6CRQ987
        ManpowerGroup Inc
        56418H100
        
          
          
        
        2396.00000000
        NS
        USD
        225032.32000000
        0.073680341697
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SCHWEITZER-MAUDUIT INTL
        549300Z1FU4IDULG1R21
        Schweitzer-Mauduit International Inc
        808541AA4
        
          
          
        
        70000.00000000
        PA
        USD
        66234.00000000
        0.021686412653
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4214.43000000
        -0.00137989353
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -875291.38000000
            EUR
            964194.73000000
            USD
            2022-04-08
            -4214.43000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -35769.95000000
        -0.01171183827
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -1196649.21000000
            AUD
            859726.28000000
            USD
            2022-04-08
            -35769.95000000
          
        
        
          N
          N
          N
        
      
      
        Mosaic Solar Loans LLC
        N/A
        Mosaic Solar Loans 2017-2 LLC
        61946GAA1
        
          
          
        
        553128.24000000
        PA
        USD
        547364.53000000
        0.179218725574
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-06-22
          Fixed
          3.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eni SpA
        BUCRF72VH5RBN7X3VL35
        Eni SpA
        000000000
        
          
          
          
        
        2865.00000000
        NS
        
        41781.17000000
        0.013680038858
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        HUNGARY
        5299003F3UFKGCCMAP43
        Hungary Government International Bond
        445545AM8
        
          
          
        
        275000.00000000
        PA
        USD
        249656.55000000
        0.081742835477
        Long
        DBT
        NUSS
        HU
        N
        
        2
        
          2031-09-22
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3671.05000000
        -0.00120197942
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -1221508.25000000
            NOK
            135068.98000000
            USD
            2022-04-08
            -3671.05000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT BANK OF MOSCOW (C
        635400Y22HQLUDCVZX38
        Credit Bank of Moscow Via CBOM Finance PLC
        12504PAJ9
        
          
          
        
        200000.00000000
        PA
        USD
        22000.00000000
        0.007203265368
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2026-09-21
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERITOR INC
        5LTG829X630QFHTFBO82
        Meritor Inc
        59001KAH3
        
          
          
        
        70000.00000000
        PA
        USD
        70308.00000000
        0.023020326431
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sika AG
        549300R3N69ECGYPU434
        Sika AG
        000000000
        
          
          
          
        
        212.00000000
        NS
        
        70141.02000000
        0.022965653647
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDR9
        
          
          
        
        300.00000000
        PA
        USD
        292.28000000
        0.000095698654
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-12-31
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENCINO ACQUISITION PARTN
        549300BUKUEKT2UE4T49
        Encino Acquisition Partners Holdings LLC
        29254BAA5
        
          
          
        
        70000.00000000
        PA
        USD
        72162.65000000
        0.023627578073
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Agilent Technologies Inc
        QUIX8Y7A2WP0XRMW7G29
        Agilent Technologies Inc
        00846U101
        
          
          
        
        1006.00000000
        NS
        USD
        133123.98000000
        0.043587607035
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119CA5
        
          
          
        
        70000.00000000
        PA
        USD
        67748.37000000
        0.022182249425
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS SCOTSMAN INTL
        549300V3TCHCBOBTGH07
        Williams Scotsman International Inc
        96950GAE2
        
          
          
        
        70000.00000000
        PA
        USD
        68329.80000000
        0.022372621906
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TAC0
        
          
        
        147000.00000000
        PA
        USD
        132995.85000000
        0.043545654563
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          Fixed
          2.07100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDK4
        
          
          
        
        173200.00000000
        PA
        USD
        163893.88000000
        0.053662323174
        Long
        DBT
        UST
        US
        N
        
        2
        
          2026-11-30
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPH ACQUISITION HOLDINGS
        5493002WXOPRPTXWTU06
        MPH Acquisition Holdings LLC
        553283AC6
        
          
          
        
        70000.00000000
        PA
        USD
        63335.30000000
        0.020737316957
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Covestro AG
        3912005AWHKLQ1CPLV11
        Covestro AG
        000000000
        
          
          
          
        
        1951.00000000
        NS
        
        98243.92000000
        0.032167137570
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        ACADEMY LTD
        549300BN53IR80C35Z14
        Academy Ltd
        00401YAA8
        
          
          
        
        70000.00000000
        PA
        USD
        71750.00000000
        0.023492467734
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PENN NATIONAL GA
        N/A
        Penn National Gaming Inc
        707569AV1
        
          
          
        
        70000.00000000
        PA
        USD
        62741.00000000
        0.020542730566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED NATURAL FOODS INC
        549300GKGW6WPZ282D40
        United Natural Foods Inc
        911163AA1
        
          
          
        
        45000.00000000
        PA
        USD
        46178.10000000
        0.015119686749
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        iShares MSCI EAFE Value ETF
        549300AN74D4XJZB8Y40
        iShares MSCI EAFE Value ETF
        464288877
        
          
          
        
        4254.00000000
        NS
        USD
        213806.04000000
        0.070004620154
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        183.75000000
        0.000060163636
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -173910.38000000
            GBP
            228634.85000000
            USD
            2022-04-08
            183.75000000
          
        
        
          N
          N
          N
        
      
      
        CDW Corp/DE
        9845001B052ABF0B6755
        CDW Corp/DE
        12514G108
        
          
          
        
        2440.00000000
        NS
        USD
        436491.60000000
        0.142916582986
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DAVITA INC
        M2XHYMU3TZNEZURC6H66
        DaVita Inc
        23918KAS7
        
          
          
        
        70000.00000000
        PA
        USD
        65464.00000000
        0.021434298365
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        API ESCROW CORP
        N/A
        APi Escrow Corp
        00185PAA9
        
          
          
        
        70000.00000000
        PA
        USD
        65144.80000000
        0.021329785533
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887109
        
          
          
        
        2840.00000000
        NS
        USD
        755440.00000000
        0.247347035891
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Washington Federal Inc
        N/A
        Washington Federal Inc
        938824109
        
          
          
        
        6844.00000000
        NS
        USD
        224620.08000000
        0.073545365601
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Sumitomo Metal Mining Co Ltd
        353800CF81IXL9974H84
        Sumitomo Metal Mining Co Ltd
        000000000
        
          
          
          
        
        1100.00000000
        NS
        
        55729.98000000
        0.018247174313
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CQ1
        
          
          
        
        206000.00000000
        PA
        USD
        186340.05000000
        0.061011674038
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-03-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -507.73000000
        -0.00016624154
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-05-06
            0.00000000
            USD
            0.00000000
            USD
            1069000.00000000
            USD
            -507.73000000
          
        
        
          N
          N
          N
        
      
      
        Kellogg Co
        LONOZNOJYIBXOHXWDB86
        Kellogg Co
        487836108
        
          
          
        
        7454.00000000
        NS
        USD
        480708.46000000
        0.157394118274
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MS&AD Insurance Group Holdings
        529900CXROT5S2HMMP26
        MS&AD Insurance Group Holdings Inc
        000000000
        
          
          
          
        
        3500.00000000
        NS
        
        113637.78000000
        0.037207412962
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        LIONS GATE CAPITAL HOLD
        549300MWJHNLR35C0837
        Lions Gate Capital Holdings LLC
        53627NAE1
        
          
          
        
        70000.00000000
        PA
        USD
        67552.10000000
        0.022117986475
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - NZD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        7233.61000000
        0.002368436927
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -815075.61000000
            USD
            1186582.31000000
            NZD
            2022-04-08
            7233.61000000
          
        
        
          N
          N
          N
        
      
      
        Hasbro Inc
        549300NUB6D2R1ITYR45
        Hasbro Inc
        418056107
        
          
          
        
        4950.00000000
        NS
        USD
        405504.00000000
        0.132770587263
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SENSATA TECHNOLOGIES INC
        5493002MMDDCUNV7NY90
        Sensata Technologies Inc
        81728UAB0
        
          
          
        
        45000.00000000
        PA
        USD
        41694.98000000
        0.013651818429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585A102
        
          
          
        
        8062.00000000
        NS
        USD
        689301.00000000
        0.225691728247
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Electronic Arts Inc
        549300O7A67PUEYKDL45
        Electronic Arts Inc
        285512109
        
          
          
        
        4556.00000000
        NS
        USD
        576379.56000000
        0.188718860153
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Travelers Cos Inc/The
        549300Y650407RU8B149
        Travelers Cos Inc/The
        89417E109
        
          
          
        
        3298.00000000
        NS
        USD
        602643.54000000
        0.197318242770
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        NAVIENT CORP
        54930067J0ZNOEBRW338
        Navient Corp
        63938CAL2
        
          
          
        
        70000.00000000
        PA
        USD
        64465.63000000
        0.021107410909
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Gartner Inc
        PP55B5R38BFB8O8HH686
        Gartner Inc
        366651107
        
          
          
        
        1564.00000000
        NS
        USD
        465227.44000000
        0.152325304854
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2054.01000000
        -0.00067252632
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -12894072.58000000
            SEK
            1369404.82000000
            USD
            2022-04-08
            -2054.01000000
          
        
        
          N
          N
          N
        
      
      
        GC TREASURY CENTRE CO
        549300LUFQBC2EQNAR40
        GC Treasury Center Co Ltd
        36830BAD7
        
          
          
        
        225000.00000000
        PA
        USD
        228368.25000000
        0.074772595744
        Long
        DBT
        CORP
        TH
        N
        
        2
        
          2032-03-30
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Applebees/IHOP Funding LLC
        N/A
        Applebee's Funding LLC / IHOP Funding LLC
        03789XAE8
        
          
        
        148500.00000000
        PA
        USD
        148571.92000000
        0.048645589363
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-06-05
          Fixed
          4.72300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6385.90000000
        0.002090878741
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -913126.05000000
            GBP
            1205881.02000000
            USD
            2022-04-08
            6385.90000000
          
        
        
          N
          N
          N
        
      
      
        VIAVI SOLUTIONS INC
        5493006K3E3N1QOBF092
        Viavi Solutions Inc
        925550AF2
        
          
          
        
        70000.00000000
        PA
        USD
        65779.88000000
        0.021537724159
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - AUD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        14935.15000000
        0.004890084034
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -912103.19000000
            USD
            1238798.85000000
            AUD
            2022-04-08
            14935.15000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - CAD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        10192.31000000
        0.003337177892
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -968652.43000000
            USD
            1223727.67000000
            CAD
            2022-04-08
            10192.31000000
          
        
        
          N
          N
          N
        
      
      
        Flagstar Mortgage Trust
        N/A
        Flagstar Mortgage Trust 2017-1
        33850BAY3
        
          
        
        855461.02000000
        PA
        USD
        833313.82000000
        0.272844571831
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-03-25
          Variable
          3.65009800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A9XV5
        
          
        
        2910107.59000000
        PA
        USD
        167582.91000000
        0.054870189630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - CHF
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3776.83000000
        0.001236614033
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -2205743.68000000
            USD
            2041431.44000000
            CHF
            2022-04-08
            3776.83000000
          
        
        
          N
          N
          N
        
      
      
        Roper Technologies Inc
        54930003T4SXCIWVXY35
        Roper Technologies Inc
        776696106
        
          
          
        
        1334.00000000
        NS
        USD
        629954.82000000
        0.206260533560
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Public Service Enterprise Grou
        PUSS41EMO3E6XXNV3U28
        Public Service Enterprise Group Inc
        744573106
        
          
          
        
        8945.00000000
        NS
        USD
        626150.00000000
        0.205014755008
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CPI CG INC
        N/A
        CPI CG Inc
        12598FAA7
        
          
          
        
        64000.00000000
        PA
        USD
        62365.44000000
        0.020419764277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          8.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NTT
        353800VHQU5VIXVUA841
        Nippon Telegraph & Telephone Corp
        000000000
        
          
          
          
        
        4900.00000000
        NS
        
        142364.14000000
        0.046613030877
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          
        
      
      
        Rockwell Automation Inc
        VH3R4HHBHH12O0EXZJ88
        Rockwell Automation Inc
        773903109
        
          
          
        
        1586.00000000
        NS
        USD
        444127.58000000
        0.145416764363
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        La Francaise des Jeux SAEM
        969500R4CLSQFTYYI535
        La Francaise des Jeux SAEM
        000000000
        
          
          
          
        
        516.00000000
        NS
        
        20471.19000000
        0.006702700634
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        HILCORP ENERGY I/HILCORP
        N/A
        Hilcorp Energy I LP / Hilcorp Finance Co
        431318AU8
        
          
          
        
        70000.00000000
        PA
        USD
        70182.00000000
        0.022979071366
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLARK EQUIPMENT CO
        549300X1FKNY520VPF71
        Clark Equipment Co
        181396AE2
        
          
          
        
        55000.00000000
        PA
        USD
        55704.28000000
        0.018238759589
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-06-01
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        II-VI INC
        549300O5C25A0MMHHU33
        II-VI Inc
        902104AC2
        
          
          
        
        70000.00000000
        PA
        USD
        68524.75000000
        0.022436452660
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - EUR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1627.50000000
        -0.00053287792
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -655050.86000000
            USD
            590593.17000000
            EUR
            2022-04-08
            -1627.50000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -27177.75000000
        -0.00889857024
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -2849339.87000000
            CHF
            3056773.43000000
            USD
            2022-04-08
            -27177.75000000
          
        
        
          N
          N
          N
        
      
      
        Datadog Inc
        549300F6JNO0KRPO1K63
        Datadog Inc
        23804L103
        
          
          
        
        3310.00000000
        NS
        USD
        501365.70000000
        0.164157735614
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036P108
        
          
          
        
        4254.00000000
        NS
        USD
        979781.28000000
        0.320801116475
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CRESCENT ENERGY FINANCE
        54930061FUL6DBLFUW14
        Crescent Energy Finance LLC
        45344LAA1
        
          
          
        
        70000.00000000
        PA
        USD
        70439.60000000
        0.023063415055
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Otsuka Holdings Co Ltd
        N/A
        Otsuka Holdings Co Ltd
        000000000
        
          
          
          
        
        1700.00000000
        NS
        
        58731.24000000
        0.019229850323
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Ipsen SA
        549300M6SGDPB4Z94P11
        Ipsen SA
        000000000
        
          
          
          
        
        173.00000000
        NS
        
        21655.36000000
        0.007090422941
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300YJLHTYDSFV8K03
        Neuberger Berman Loan Advisers CLO 25 Ltd
        64131JAQ9
        
          
        
        1000000.00000000
        PA
        USD
        989975.00000000
        0.324138756031
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-18
          Floating
          1.99129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - EUR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3213.05000000
        -0.00105202053
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -1883395.29000000
            USD
            1699392.54000000
            EUR
            2022-04-08
            -3213.05000000
          
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DAJ0
        
          
        
        31000.00000000
        PA
        USD
        29513.72000000
        0.009663416234
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - AUD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5979.64000000
        0.001957860623
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1842524.29000000
            USD
            2470150.84000000
            AUD
            2022-04-08
            5979.64000000
          
        
        
          N
          N
          N
        
      
      
        VIRTUSA CORP
        C77OMXDER63WLJCSKT03
        Virtusa Corp
        92837TAA0
        
          
          
        
        70000.00000000
        PA
        USD
        65240.35000000
        0.021361070625
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - JPY
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4405.72000000
        -0.00144252592
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -449957.15000000
            USD
            54237173.00000000
            JPY
            2022-04-08
            -4405.72000000
          
        
        
          N
          N
          N
        
      
      
        UnitedHealth Group Inc
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324P102
        
          
          
        
        1681.00000000
        NS
        USD
        857259.57000000
        0.280684916908
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CME Group Inc
        LCZ7XYGSLJUHFXXNXD88
        CME Group Inc
        12572Q105
        
          
          
        
        3205.00000000
        NS
        USD
        762341.30000000
        0.249606667495
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        KAZMUNAYGAS NATIONAL CO
        2138001H1M69RFJCSH88
        KazMunayGas National Co JSC
        000000000
        
          
          
        
        350000.00000000
        PA
        USD
        337292.56000000
        0.110436718924
        Long
        DBT
        CORP
        KZ
        N
        
        2
        
          2030-04-24
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AE4R5
        
          
        
        3309969.60000000
        PA
        USD
        211778.81000000
        0.069340862170
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-07-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2018-8
        46650MAN7
        
          
        
        187031.48000000
        PA
        USD
        187485.01000000
        0.061386558161
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-01-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sompo Holdings Inc
        353800CWW4SRGEYEB512
        Sompo Holdings Inc
        000000000
        
          
          
          
        
        2600.00000000
        NS
        
        114245.18000000
        0.037406288570
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        VERITAS US INC/BERMUDA L
        N/A
        Veritas US Inc / Veritas Bermuda Ltd
        92346LAE3
        
          
          
        
        70000.00000000
        PA
        USD
        66493.00000000
        0.021771214732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - JPY
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -0.09000000
            USD
            11.00000000
            JPY
            2022-04-08
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        Jack Henry & Associates Inc
        529900X1QS8C54W0JB21
        Jack Henry & Associates Inc
        426281101
        
          
          
        
        2892.00000000
        NS
        USD
        569868.60000000
        0.186587034122
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CHS/COMMUNITY HEALTH SYS
        5493007X5NC5XI1BB106
        CHS/Community Health Systems Inc
        12543DBM1
        
          
          
        
        70000.00000000
        PA
        USD
        67287.50000000
        0.022031350838
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RBC DOMINION SECURITIES INC.
        549300QJJX6CVVUXLE15
        RBC DOMINION SECURITIES INC
        000000000
        
          
        
        1177265.00000000
        PA
        USD
        1177265.00000000
        0.385461463794
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          0.30000000
          2022-04-01
          
            
              1618763.61253182
              USD
              549130.94037224
              USD
              AMBS
            
            
              882168.19714356
              USD
              651679.37210153
              USD
              UST
            
          
        
        
          
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        7078.76000000
        0.002317735761
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -360406.10000000
            GBP
            480513.24000000
            USD
            2022-04-08
            7078.76000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -6073.06000000
        -0.00198844830
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -950784.69000000
            CHF
            1022998.13000000
            USD
            2022-04-08
            -6073.06000000
          
        
        
          N
          N
          N
        
      
      
        Japan Post Bank Co Ltd
        5493006JVO6N2HC2XZ76
        Japan Post Bank Co Ltd
        000000000
        
          
          
          
        
        10200.00000000
        NS
        
        81913.98000000
        0.026820369785
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          
        
      
      
        Prosperity Bancshares Inc
        N/A
        Prosperity Bancshares Inc
        743606105
        
          
          
        
        6333.00000000
        NS
        USD
        439383.54000000
        0.143863465316
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        VERTIV GROUP CORPORATION
        549300ZT8RQ5VK10E643
        Vertiv Group Corp
        92535UAB0
        
          
          
        
        80000.00000000
        PA
        USD
        73104.00000000
        0.023935795975
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TCA2
        
          
        
        106000.00000000
        PA
        USD
        69880.24000000
        0.022880268759
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank Leumi Le-Israel BM
        7JDSZWRGUQY2DSTWCR57
        Bank Leumi Le-Israel BM
        000000000
        
          
          
          
        
        11124.00000000
        NS
        
        119835.63000000
        0.039236720156
        Long
        EC
        CORP
        IL
        N
        
        2
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRU
        N/A
        SoFi Consumer Loan Program 2019-4 Trust
        83405BAD4
        
          
        
        100000.00000000
        PA
        USD
        99694.38000000
        0.032642048856
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-08-25
          Fixed
          3.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - PEN
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        766.65000000
        0.000251017427
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -67554.95000000
            USD
            252020.48000000
            PEN
            2022-05-06
            766.65000000
          
        
        
          N
          N
          N
        
      
      
        Dassault Systemes SE
        96950065LBWY0APQIM86
        Dassault Systemes SE
        000000000
        
          
          
          
        
        1521.00000000
        NS
        
        74725.06000000
        0.024466565310
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        PERUSAHAAN LISTRIK NEGAR
        254900OYVDRYS9J51J61
        Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
        71568QAE7
        
          
          
        
        400000.00000000
        PA
        USD
        429632.00000000
        0.140670604845
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2028-05-21
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        000000000
        
          
          
          
        
        50064.00000000
        NS
        
        341964.47000000
        0.111966401083
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Chevron Corp
        N/A
        Chevron Corp
        166764100
        
          
          
        
        10115.00000000
        NS
        USD
        1647025.45000000
        0.539270972010
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DP WORLD CRESCENT LTD
        21380096JRTWB8TL9236
        DP World Crescent Ltd
        26139PAC7
        
          
          
        
        225000.00000000
        PA
        USD
        225172.32000000
        0.073726180658
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-01-30
          Fixed
          3.74950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA4
        35564KPN3
        
          
        
        600000.00000000
        PA
        USD
        541773.78000000
        0.177388195762
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-25
          Floating
          3.84900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - CHF
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        27348.32000000
        0.008954418469
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -3109994.24000000
            USD
            2898669.51000000
            CHF
            2022-04-08
            27348.32000000
          
        
        
          N
          N
          N
        
      
      
        Dolby Laboratories Inc
        549300X04FB2QPCJ5J24
        Dolby Laboratories Inc
        25659T107
        
          
          
        
        5055.00000000
        NS
        USD
        395402.10000000
        0.129463011516
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cerner Corp
        549300L4UJ40IEVVI304
        Cerner Corp
        156782104
        
          
          
        
        1080.00000000
        NS
        USD
        101044.80000000
        0.033084204929
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        US Bancorp
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        902973304
        
          
          
        
        12479.00000000
        NS
        USD
        663258.85000000
        0.217164977465
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - SEK
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        63978.96000000
        0.020948064856
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -1137242.29000000
            USD
            11293546.39000000
            SEK
            2022-04-08
            63978.96000000
          
        
        
          N
          N
          N
        
      
      
        Robert Half International Inc
        529900VPCUY9H3HLIC08
        Robert Half International Inc
        770323103
        
          
          
        
        4184.00000000
        NS
        USD
        477729.12000000
        0.156418619335
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        AmeriCredit Automobile Receiva
        N/A
        Americredit Automobile Receivables Trust 2018-2
        03066LAG3
        
          
        
        300000.00000000
        PA
        USD
        303403.92000000
        0.099340861338
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-07-18
          Fixed
          4.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DBU4
        
          
        
        95000.00000000
        PA
        USD
        81634.48000000
        0.026728855573
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-05-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ServiceNow Inc
        549300HJTQM36M0E1G39
        ServiceNow Inc
        81762P102
        
          
          
        
        1553.00000000
        NS
        USD
        864850.17000000
        0.283170239912
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Smurfit Kappa Group PLC
        635400CPLP8H5ITDVT56
        Smurfit Kappa Group PLC
        000000000
        
          
          
          
        
        1325.00000000
        NS
        
        58853.34000000
        0.019269828446
        Long
        EC
        CORP
        IE
        N
        
        2
        
          N
          N
          N
        
      
      
        LEG Immobilien SE
        391200SO40AKONBO0Z96
        LEG Immobilien SE
        000000000
        
          
          
          
        
        424.00000000
        NS
        
        48284.54000000
        0.015809379763
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        ARETEC ESCROW ISSUER INC
        N/A
        Aretec Escrow Issuer Inc
        040133AA8
        
          
          
        
        70000.00000000
        PA
        USD
        67405.45000000
        0.022069970163
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        SWOP IRS USD
        000000000
        
          
        
        -2952000.00000000
        NC
        USD
        -45655.56000000
        -0.01494859610
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY CAPITAL SERVICES LLC
                    I7331LVCZKQKX5T7XV54
                  
                  
                    MORGAN STANLEY CAPITAL SERVICES LLC
                    I7331LVCZKQKX5T7XV54
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            0.01000000
            USD
            2.00000000
            USD
            2022-04-20
            XXXX
            -16120.80000000
          
        
        
          N
          N
          N
        
      
      
        VISTRA OPERATIONS CO LLC
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAB8
        
          
          
        
        70000.00000000
        PA
        USD
        70021.00000000
        0.022926356560
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        E.ON SE
        Q9MAIUP40P25UFBFG033
        E.ON SE
        000000000
        
          
          
          
        
        1309.00000000
        NS
        
        15208.24000000
        0.004979499477
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2019-2
        81746YCD4
        
          
        
        1114623.83000000
        PA
        USD
        1077956.61000000
        0.352945796228
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-06-25
          Variable
          4.26194100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOZART DEBT MERGER SUB
        N/A
        Mozart Debt Merger Sub Inc
        62482BAA0
        
          
          
        
        70000.00000000
        PA
        USD
        64839.25000000
        0.021229742000
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apidos CLO
        549300NWD6NYUKJT1J26
        Apidos CLO XXXVI
        03769LAG3
        
          
        
        300000.00000000
        PA
        USD
        295731.60000000
        0.096828781477
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          2.25400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FED REPUBLIC OF BRAZIL
        254900ZFY40OYEADAP90
        Brazilian Government International Bond
        105756CC2
        
          
          
        
        300000.00000000
        PA
        USD
        277095.00000000
        0.090726764415
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2030-06-12
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828Z78
        
          
          
        
        406400.00000000
        PA
        USD
        388429.50000000
        0.127180034784
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-01-31
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sirius XM Holdings Inc
        54930055RWDMVXAGZK98
        Sirius XM Holdings Inc
        82968B103
        
          
          
        
        72413.00000000
        NS
        USD
        479374.06000000
        0.156957207487
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 87 CLO Ltd
        26246GAG8
        
          
        
        1000000.00000000
        PA
        USD
        985771.00000000
        0.322762277504
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-05-20
          Floating
          2.37957000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEB SA
        969500WP61NBK098AC47
        SEB SA
        000000000
        
          
          
          
        
        300.00000000
        NS
        
        41838.46000000
        0.013698796816
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        HKT Trust & HKT Ltd
        N/A
        HKT Trust & HKT Ltd
        000000000
        
          
          
          
        
        35000.00000000
        NS
        
        47990.46000000
        0.015713091750
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        OPEN TEXT CORP
        549300HP7ONDQODZJV16
        Open Text Corp
        683715AC0
        
          
          
        
        70000.00000000
        PA
        USD
        67235.70000000
        0.022014390422
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2028-02-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CUSHMAN & WAKEFIELD US
        N/A
        Cushman & Wakefield US Borrower LLC
        23166MAA1
        
          
          
        
        70000.00000000
        PA
        USD
        73266.20000000
        0.023988903686
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTERO MIDSTREAM PART/FI
        N/A
        Antero Midstream Partners LP / Antero Midstream Finance Corp
        03690AAD8
        
          
          
        
        70000.00000000
        PA
        USD
        71401.40000000
        0.023378328720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELLIGENT PACKAGING
        N/A
        Intelligent Packaging Ltd Finco Inc / Intelligent Packaging Ltd Co-Issuer LLC
        45827MAA5
        
          
          
        
        70000.00000000
        PA
        USD
        69125.00000000
        0.022632987207
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2028-09-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MURPHY OIL USA INC
        N32S6DTR2ZZ5222WHV58
        Murphy Oil USA Inc
        626738AD0
        
          
          
        
        70000.00000000
        PA
        USD
        71251.95000000
        0.023329395629
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2012-GCJ7
        36192KAC1
        
          
          
        
        500000.00000000
        PA
        USD
        485009.10000000
        0.158802238781
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-10
          Variable
          5.56090900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NCR CORP
        549300YKTY8JX1DV2R67
        NCR Corp
        62886EBA5
        
          
          
        
        70000.00000000
        PA
        USD
        67378.15000000
        0.022061031566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sequoia Mortgage Trust
        N/A
        Sequoia Mortgage Trust 2019-4
        81748JAU9
        
          
        
        100010.71000000
        PA
        USD
        96245.86000000
        0.031512930461
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-11-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 10 Year US Treasury Note
        000000000
        
          
          
        
        47.00000000
        NC
        USD
        -157618.35000000
        -0.05160758190
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            5932743.35000000
            USD
            -157618.35000000
          
        
        
          N
          N
          N
        
      
      
        Galp Energia SGPS SA
        2138003319Y7NM75FG53
        Galp Energia SGPS SA
        000000000
        
          
          
          
        
        7823.00000000
        NS
        
        98904.25000000
        0.032383343580
        Long
        EC
        CORP
        PT
        N
        
        2
        
          N
          N
          N
        
      
      
        SPANISH BROADCASTING SYS
        5493005DKYB1X4C9LH64
        Spanish Broadcasting System Inc
        846425AQ9
        
          
          
        
        70000.00000000
        PA
        USD
        70435.40000000
        0.023062039886
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          9.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8683.85000000
        -0.00284327618
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -804555.58000000
            GBP
            1048191.58000000
            USD
            2022-04-08
            -8683.85000000
          
        
        
          N
          N
          N
        
      
      
        Mizrahi Tefahot Bank Ltd
        YZO9YEGEO4VYDZMDWF93
        Mizrahi Tefahot Bank Ltd
        000000000
        
          
          
          
        
        1654.00000000
        NS
        
        64592.18000000
        0.021148846056
        Long
        EC
        CORP
        IL
        N
        
        2
        
          N
          N
          N
        
      
      
        DIRECTV FIN LLC/COINC
        N/A
        Directv Financing LLC / Directv Financing Co-Obligor Inc
        25461LAA0
        
          
          
        
        85000.00000000
        PA
        USD
        83731.38000000
        0.027415424989
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHESAPEAKE ENERGY CORP
        X2MT1W32SPAZ9WSKLE78
        Chesapeake Energy Corp
        92735LAA0
        
          
          
        
        70000.00000000
        PA
        USD
        74242.70000000
        0.024308630442
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LINDBLAD EXPEDITIONS LLC
        549300MPUWOG67Y2R254
        Lindblad Expeditions LLC
        53523LAA8
        
          
          
        
        20000.00000000
        PA
        USD
        20075.20000000
        0.006573045132
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936U109
        
          
          
        
        6030.00000000
        NS
        USD
        487465.20000000
        0.159606417876
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Sonoco Products Co
        GKOMIK4RDJGHEF0VNP11
        Sonoco Products Co
        835495102
        
          
          
        
        7881.00000000
        NS
        USD
        493035.36000000
        0.161430206086
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8005.49000000
        0.002621166766
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -1470151.45000000
            CHF
            1599207.49000000
            USD
            2022-04-08
            8005.49000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - JPY
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -74786.02000000
        -0.02448652490
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -2882395.33000000
            USD
            341771523.00000000
            JPY
            2022-04-08
            -74786.02000000
          
        
        
          N
          N
          N
        
      
      
        IMOLA MERGER CORP
        N/A
        Imola Merger Corp
        45258LAA5
        
          
          
        
        70000.00000000
        PA
        USD
        67501.00000000
        0.022101255254
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        19595.13000000
        0.006415860059
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -42900017.00000000
            JPY
            372013.28000000
            USD
            2022-04-08
            19595.13000000
          
        
        
          N
          N
          N
        
      
      
        Amgen Inc
        62QBXGPJ34PQ72Z12S66
        Amgen Inc
        031162100
        
          
          
        
        2370.00000000
        NS
        USD
        573113.40000000
        0.187649450280
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Nintendo Co Ltd
        353800FEEXU6I9M0ZF27
        Nintendo Co Ltd
        000000000
        
          
          
          
        
        200.00000000
        NS
        
        100952.41000000
        0.033053954489
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        VIKING CRUISES LTD
        549300IJP90T4MV2GL84
        Viking Cruises Ltd
        92676XAD9
        
          
          
        
        35000.00000000
        PA
        USD
        31969.35000000
        0.010467441440
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2027-09-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -34149.30000000
        -0.01118120318
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -255221240.00000000
            JPY
            2062460.52000000
            USD
            2022-04-08
            -34149.30000000
          
        
        
          N
          N
          N
        
      
      
        VIASAT INC
        UFC8NYMNFSYIHNSM2I38
        Viasat Inc
        92552VAK6
        
          
          
        
        70000.00000000
        PA
        USD
        68483.45000000
        0.022422930166
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1560.56000000
        0.000510960354
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -3371761.46000000
            CAD
            2698591.15000000
            USD
            2022-04-08
            1560.56000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEB3
        
          
          
        
        456000.00000000
        PA
        USD
        440289.38000000
        0.144160056493
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-02-28
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Snam SpA
        8156002278562044AF79
        Snam SpA
        000000000
        
          
          
          
        
        3750.00000000
        NS
        
        21624.68000000
        0.007080377660
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        Cognizant Technology Solutions
        5493006IEVQEFQO40L83
        Cognizant Technology Solutions Corp
        192446102
        
          
          
        
        6834.00000000
        NS
        USD
        612804.78000000
        0.200645247687
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MGM GROWTH/MGM FINANCE
        N/A
        MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
        55303XAL9
        
          
          
        
        70000.00000000
        PA
        USD
        68908.35000000
        0.022562051414
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71643VAB1
        
          
        
        335000.00000000
        PA
        USD
        318598.40000000
        0.104315855501
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2032-02-16
          Fixed
          6.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hanover Insurance Group Inc/Th
        JJYR6MFKFF6CF8DBZ078
        Hanover Insurance Group Inc/The
        410867105
        
          
          
        
        2142.00000000
        NS
        USD
        320271.84000000
        0.104863775155
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS PRU
        000000000
        
          
        
        1.00000000
        NC
        USD
        -19895.26000000
        -0.00651412897
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                PRUDENTIAL FINANCIAL INC
                Prudential Financial Inc
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2024-12-20
            0.00000000
            USD
            -30287.74000000
            USD
            1140000.00000000
            USD
            10392.48000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379JJF9
        
          
        
        6004654.53000000
        PA
        USD
        599176.85000000
        0.196183175132
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2030-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -12637.15000000
        -0.00413767022
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -896311.26000000
            NZD
            608512.35000000
            USD
            2022-04-08
            -12637.15000000
          
        
        
          N
          N
          N
        
      
      
        Cisco Systems Inc
        549300LKFJ962MZ46593
        Cisco Systems Inc
        17275R102
        
          
          
        
        23952.00000000
        NS
        USD
        1335563.52000000
        0.437291747745
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        TASEKO MINES LTD
        549300XKUO1JSLU7KX54
        Taseko Mines Ltd
        876511AF3
        
          
          
        
        70000.00000000
        PA
        USD
        72178.75000000
        0.023632849553
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-02-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -20329.39000000
        -0.00665627231
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -1046249.07000000
            CAD
            816552.39000000
            USD
            2022-04-08
            -20329.39000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SRI LANKA
        254900HXCCIOHM74FA02
        Sri Lanka Government International Bond
        000000000
        
          
          
        
        200000.00000000
        PA
        USD
        100000.00000000
        0.032742115309
        Long
        DBT
        NUSS
        LK
        N
        
        2
        
          2024-06-28
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SS&C Technologies Holdings Inc
        529900POY8H7NPPNKK71
        SS&C Technologies Holdings Inc
        78467J100
        
          
          
        
        3363.00000000
        NS
        USD
        252292.26000000
        0.082605822685
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BRUNDAGE-BONE CONCRETE
        N/A
        Brundage-Bone Concrete Pumping Holdings Inc
        66981QAA4
        
          
          
        
        70000.00000000
        PA
        USD
        67468.45000000
        0.022090597696
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First American Financial Corp
        549300B6VEZK3N0A1P55
        First American Financial Corp
        31847R102
        
          
          
        
        3703.00000000
        NS
        USD
        240028.46000000
        0.078590395148
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TBY1
        
          
        
        166000.00000000
        PA
        USD
        137830.05000000
        0.045128473901
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          Fixed
          2.43500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners 31
        N/A
        OCTAGON INVESTMENT PARTNERS 31 LLC
        67575XAS0
        
          
        
        580000.00000000
        PA
        USD
        568534.56000000
        0.186150241207
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          2.30400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAP9
        
          
          
        
        60000.00000000
        PA
        USD
        59274.37000000
        0.019407682574
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-06-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10818.59000000
        -0.00354223521
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -5601220.96000000
            NOK
            625373.24000000
            USD
            2022-04-08
            -10818.59000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -54227.91000000
        -0.01775536482
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -3623958.12000000
            CAD
            2844531.69000000
            USD
            2022-04-08
            -54227.91000000
          
        
        
          N
          N
          N
        
      
      
        Yum! Brands Inc
        549300JE8XHZZ7OHN517
        Yum! Brands Inc
        988498101
        
          
          
        
        3652.00000000
        NS
        USD
        432871.56000000
        0.141731305315
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Motorola Solutions Inc
        6S552MUG6KGJVEBSEC55
        Motorola Solutions Inc
        620076307
        
          
          
        
        1546.00000000
        NS
        USD
        374441.20000000
        0.122599969469
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - GBP
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -46529.71000000
        -0.01523481130
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -2330549.63000000
            USD
            1738729.95000000
            GBP
            2022-04-08
            -46529.71000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300TCRXCIFPAC3B85
        Freddie Mac STACR REMIC Trust 2020-HQA1
        35565JAH4
        
          
        
        321964.64000000
        PA
        USD
        322403.51000000
        0.105561729004
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-01-25
          Floating
          2.35657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Service Corp International/US
        549300RKVM2ME20JHZ15
        Service Corp International/US
        817565104
        
          
          
        
        7578.00000000
        NS
        USD
        498783.96000000
        0.163312419326
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MINERVA MERGER SUB INC
        N/A
        Minerva Merger Sub Inc
        60337JAA4
        
          
          
        
        70000.00000000
        PA
        USD
        67996.60000000
        0.022263525178
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6052.35000000
        0.001981667415
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -2322888.77000000
            NZD
            1615829.30000000
            USD
            2022-04-08
            6052.35000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BANK
        RILFO74KP1CM8P6PCT96
        CURRENCY CONTRACT - NOK
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4712.35000000
        0.001542923070
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            -876138.13000000
            USD
            7755268.09000000
            NOK
            2022-04-08
            4712.35000000
          
        
        
          N
          N
          N
        
      
      
        Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
        529900MUF4C20K50JS49
        Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
        000000000
        
          
          
          
        
        247.00000000
        NS
        
        66033.25000000
        0.021620682857
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R02
        20754WAB1
        
          
        
        587587.39000000
        PA
        USD
        585840.61000000
        0.191816608054
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-01-25
          Floating
          2.45657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        Citigroup Commercial Mortgage Trust 2019-C7
        17328CAJ1
        
          
        
        16122259.92000000
        PA
        USD
        848332.36000000
        0.277761959516
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2072-12-15
          Variable
          0.87249200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WENDYS FUNDING LLC
        5493009DRVSTWJOXUL48
        Wendy's Funding LLC
        95058XAG3
        
          
        
        229375.00000000
        PA
        USD
        227438.50000000
        0.074468175927
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2049-06-15
          Fixed
          3.78300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Etsy Inc
        54930089Q7XT501AEA40
        Etsy Inc
        29786A106
        
          
          
        
        2237.00000000
        NS
        USD
        278014.36000000
        0.091027782327
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - CHF
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        14041.14000000
        0.004597366249
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1346453.84000000
            USD
            1256995.45000000
            CHF
            2022-04-08
            14041.14000000
          
        
        
          N
          N
          N
        
      
      
        PepsiCo Inc
        FJSUNZKFNQ5YPJ5OT455
        PepsiCo Inc
        713448108
        
          
          
        
        3772.00000000
        NS
        USD
        631357.36000000
        0.206719754824
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mill City Solar Loan 2019-2 Lt
        N/A
        Mill City Solar Loan 2019-2 Ltd
        59982VAA7
        
          
        
        347513.25000000
        PA
        USD
        345915.28000000
        0.113259979849
        Long
        ABS-O
        CORP
        KY
        
        N
        
        2
        
          2043-07-20
          Fixed
          3.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAR1
        
          
          
        
        200000.00000000
        PA
        USD
        186398.00000000
        0.061030648093
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2034-02-12
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Woodward Capital Management
        N/A
        RCKT Mortgage Trust 2021-4
        74938VAV5
        
          
        
        731279.92000000
        PA
        USD
        671479.94000000
        0.219856736232
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1497.87000000
        -0.00049043432
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1316923.45000000
            EUR
            1455526.35000000
            USD
            2022-04-08
            -1497.87000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        805.64000000
        0.000263783577
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -279666.59000000
            EUR
            310224.53000000
            USD
            2022-04-08
            805.64000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -39410.97000000
        -0.01290398524
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -2730670.59000000
            CHF
            2916099.84000000
            USD
            2022-04-08
            -39410.97000000
          
        
        
          N
          N
          N
        
      
      
        SHEA HOMES LP/FNDG CP
        N/A
        Shea Homes LP / Shea Homes Funding Corp
        82088KAG3
        
          
          
        
        70000.00000000
        PA
        USD
        65590.00000000
        0.021475553431
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verisk Analytics Inc
        549300I1YSWNIRKBWP67
        Verisk Analytics Inc
        92345Y106
        
          
          
        
        2435.00000000
        NS
        USD
        522624.05000000
        0.171118169084
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BROWN BROTHERS HARRIMAN & CO.
        5493006KMX1VFTPYPW14
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        52113.94000000
        0.017063206326
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BROWN BROTHERS HARRIMAN & CO.
              5493006KMX1VFTPYPW14
            
            -165592031.00000000
            JPY
            1412431.28000000
            USD
            2022-04-08
            52113.94000000
          
        
        
          N
          N
          N
        
      
      
        EQM MIDSTREAM PARTNERS L
        549300NELT611CL6XM83
        EQM Midstream Partners LP
        26885BAF7
        
          
          
        
        35000.00000000
        PA
        USD
        35759.50000000
        0.011708416723
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDEX CORP
        549300E707U7WNPZN687
        FedEx Corp
        31428XBB1
        
          
          
        
        152000.00000000
        PA
        USD
        148536.26000000
        0.048633913525
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-02-01
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Unilever PLC
        549300MKFYEKVRWML317
        Unilever PLC
        000000000
        
          
          
          
        
        28.00000000
        NS
        
        1271.27000000
        0.000416240689
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        ENVIVA PARTNERS LP/FIN C
        N/A
        Enviva Partners LP / Enviva Partners Finance Corp
        29413XAD9
        
          
          
        
        70000.00000000
        PA
        USD
        72085.65000000
        0.023602366644
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AXRD7
        
          
        
        2460621.39000000
        PA
        USD
        110973.29000000
        0.036335002574
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-01-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Life Storage Inc
        W9EE01AFDDF9DQCQZC68
        Life Storage Inc
        53223X107
        
          
          
        
        3343.00000000
        NS
        USD
        469457.49000000
        0.153710312703
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        WYNDHAM HOTELS & RESORTS
        549300FE3MQ4RVXXC673
        Wyndham Hotels & Resorts Inc
        98311AAB1
        
          
          
        
        10000.00000000
        PA
        USD
        9636.55000000
        0.003155210312
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -16642.44000000
        -0.00544908689
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -5558663.88000000
            SEK
            574596.57000000
            USD
            2022-04-08
            -16642.44000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810TF5
        
          
          
        
        1516700.00000000
        PA
        USD
        1463378.52000000
        0.479141082427
        Long
        DBT
        UST
        US
        N
        
        2
        
          2042-02-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Take-Two Interactive Software
        BOMSTHHJK882EWYX3334
        Take-Two Interactive Software Inc
        874054109
        
          
          
        
        2980.00000000
        NS
        USD
        458145.20000000
        0.150006429667
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        S&P GLOBAL INC
        Y6X4K52KMJMZE7I7MY94
        S&P Global Inc
        78409VBD5
        
          
          
        
        124000.00000000
        PA
        USD
        126107.38000000
        0.041290223772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        M/I HOMES INC
        5299005M71FH9CCSFB69
        M/I Homes Inc
        55305BAV3
        
          
          
        
        70000.00000000
        PA
        USD
        61723.96000000
        0.020209730156
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        J.P. Morgan Mortgage Trust 2019-2
        46650TAQ5
        
          
        
        62841.39000000
        PA
        USD
        63056.50000000
        0.020646031939
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brambles Ltd
        N/A
        Brambles Ltd
        000000000
        
          
          
          
        
        11067.00000000
        NS
        
        81670.66000000
        0.026740701670
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        Paycom Software Inc
        254900LSB0HNJUDC6Q18
        Paycom Software Inc
        70432V102
        
          
          
        
        1604.00000000
        NS
        USD
        555593.52000000
        0.181913070968
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CarMax Auto Owner Trust
        N/A
        Carmax Auto Owner Trust 2019-3
        14315PAH8
        
          
        
        1200000.00000000
        PA
        USD
        1191943.80000000
        0.390267613416
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Johnson & Johnson
        549300G0CFPGEF6X2043
        Johnson & Johnson
        478160104
        
          
          
        
        12896.00000000
        NS
        USD
        2285558.08000000
        0.748340062011
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ACCO BRANDS CORP
        JCT8P4Y190IH4I1NX328
        ACCO Brands Corp
        00081TAK4
        
          
          
        
        70000.00000000
        PA
        USD
        64767.50000000
        0.021206249532
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consolidated Edison Inc
        54930033SBW53OO8T749
        Consolidated Edison Inc
        209115104
        
          
          
        
        2220.00000000
        NS
        USD
        210189.60000000
        0.068820521199
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ACTN1
        
          
        
        2549824.95000000
        PA
        USD
        171678.69000000
        0.056211234641
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-25
          Floating
          5.74343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AKNQ2
        
          
        
        6931913.69220000
        PA
        USD
        1145620.74000000
        0.375100463696
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-25
          Floating
          5.64343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2020-3
        46592ABH6
        
          
        
        202958.99000000
        PA
        USD
        201199.25000000
        0.065876890436
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIMO WATER HOLDINGS INC
        9845008F9A5F2E1D4832
        Primo Water Holdings Inc
        74168LAA4
        
          
          
        
        70000.00000000
        PA
        USD
        63447.65000000
        0.020774102723
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2029-04-30
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIMMONS FOOD INC/SIMMONS
        N/A
        Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed
        82873MAA1
        
          
          
        
        70000.00000000
        PA
        USD
        65716.00000000
        0.021516808496
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ross Stores Inc
        549300ENZFLPGRDFZQ60
        Ross Stores Inc
        778296103
        
          
          
        
        6407.00000000
        NS
        USD
        579577.22000000
        0.189765841678
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange Inc
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866F104
        
          
          
        
        4907.00000000
        NS
        USD
        648312.84000000
        0.212271337636
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SoftBank Corp
        353800M1YCTS9JRBJ535
        SoftBank Corp
        000000000
        
          
          
          
        
        11700.00000000
        NS
        
        136458.43000000
        0.044679376499
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        DCC PLC
        213800UPS1QEE4TD3T45
        DCC PLC
        000000000
        
          
          
          
        
        770.00000000
        NS
        
        59624.05000000
        0.019522175202
        Long
        EC
        CORP
        IE
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Sekisui House Ltd
        529900GMNDOYQSAJAE76
        Sekisui House Ltd
        000000000
        
          
          
          
        
        4700.00000000
        NS
        
        90912.89000000
        0.029766803274
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Leidos Holdings Inc
        549300IUTGTP6EJP8124
        Leidos Holdings Inc
        525327102
        
          
          
        
        1233.00000000
        NS
        USD
        133188.66000000
        0.043608784635
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        549300TT7IR66ASPWY89
        Sound Point Clo XIV Ltd
        83609NAU4
        
          
        
        450000.00000000
        PA
        USD
        445469.85000000
        0.145856251954
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-01-23
          Floating
          2.30886000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        321 Henderson Receivables LLC
        N/A
        J.G. Wentworth XXXVIII LLC
        46620JAA9
        
          
        
        393140.15000000
        PA
        USD
        408884.94000000
        0.133877578536
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2060-08-16
          Fixed
          3.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        USD CALL VERSUS JPY PUT
        000000000
        
          
        
        855000.00000000
        NC
        USD
        63831.11000000
        0.020899655639
        N/A
        DFE
        CORP
        FR
        
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            Call
            Purchased
            
              
                
                  
                    BNP PARIBAS
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS
                    R0MUWSFPU8MPRO8K5P83
                    USD CALL VERSUS JPY PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    FR
                    US
                  
                  N/A
                  USD
                  N/A
                  JPY
                  2025-02-27
                
              
            
            1.00000000
            USD
            107.50000000
            USD
            2025-02-27
            XXXX
            21423.11000000
          
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAU8
        
          
          
        
        18000.00000000
        PA
        USD
        18549.13000000
        0.006073377533
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4283.37000000
        0.001402465944
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -583437.72000000
            EUR
            649790.05000000
            USD
            2022-04-08
            4283.37000000
          
        
        
          N
          N
          N
        
      
      
        NetApp Inc
        QTX3D84DZDD5JYOCYH15
        NetApp Inc
        64110D104
        
          
          
        
        2712.00000000
        NS
        USD
        225096.00000000
        0.073701191876
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Segro PLC
        213800XC35KGM9NFC641
        Segro PLC
        000000000
        
          
          
          
        
        5727.00000000
        NS
        
        100674.94000000
        0.032963104942
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        ENTERGY ARKANSAS LLC
        549300A0I5ONUIFMLP35
        Entergy Arkansas LLC
        29366MAA6
        
          
          
        
        177000.00000000
        PA
        USD
        190432.95000000
        0.062351776075
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ferguson PLC
        213800DU1LGY3R2S2X42
        Ferguson PLC
        000000000
        
          
          
          
        
        286.00000000
        NS
        
        38747.14000000
        0.012686633257
        Long
        EC
        CORP
        GB
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Fortive Corp
        549300MU9YQJYHDQEF63
        Fortive Corp
        34959J108
        
          
          
        
        3724.00000000
        NS
        USD
        226903.32000000
        0.074292946674
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LPL Financial Holdings Inc
        549300XROQ4Y8G2L7682
        LPL Financial Holdings Inc
        50212V100
        
          
          
        
        832.00000000
        NS
        USD
        151989.76000000
        0.049764662477
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - NZD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        50748.64000000
        0.016616178226
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -1911543.95000000
            USD
            2831564.59000000
            NZD
            2022-04-08
            50748.64000000
          
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DCQ2
        
          
        
        176000.00000000
        PA
        USD
        125724.67000000
        0.041164916423
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T Rowe Price Group Inc
        549300SIV6FPS9Y7IH33
        T Rowe Price Group Inc
        74144T108
        
          
          
        
        2927.00000000
        NS
        USD
        442533.13000000
        0.144894707705
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31397LJK6
        
          
        
        1424990.09000000
        PA
        USD
        165693.00000000
        0.054251393119
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-07-25
          Floating
          6.74343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WF-RBS COMMERCIAL MORTGAGE TRU
        549300GADFYEKC4OLM57
        WFRBS Commercial Mortgage Trust 2013-C14
        92890PBG8
        
          
        
        1750000.00000000
        PA
        USD
        1506801.10000000
        0.493358553641
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-06-15
          Variable
          3.95953300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TAQ9
        
          
        
        125000.00000000
        PA
        USD
        107569.40000000
        0.035220496985
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          Fixed
          1.07930000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIDCAP FINANCIAL ISSR TR
        N/A
        Midcap Financial Issuer Trust
        59567LAA2
        
          
          
        
        35000.00000000
        PA
        USD
        32966.85000000
        0.010794044040
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASBURY AUTOMOTIVE GROUP
        549300JH4DTA7U42GL91
        Asbury Automotive Group Inc
        043436AV6
        
          
          
        
        70000.00000000
        PA
        USD
        66153.50000000
        0.021660055251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marvell Technology Inc
        N/A
        Marvell Technology Inc
        573874104
        
          
          
        
        9628.00000000
        NS
        USD
        690423.88000000
        0.226059382911
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Conagra Brands Inc
        54930035UDEIH090K650
        Conagra Brands Inc
        205887102
        
          
          
        
        6059.00000000
        NS
        USD
        203400.63000000
        0.066597668814
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Verizon Communications Inc
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343V104
        
          
          
        
        24445.00000000
        NS
        USD
        1245228.30000000
        0.407714085848
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        CURRENCY CONTRACT - SEK
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        14712.27000000
        0.004817108407
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -1573574.25000000
            USD
            14932625.92000000
            SEK
            2022-04-08
            14712.27000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - JPY
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -36333.86000000
        -0.01189647433
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -1290425.69000000
            USD
            152661153.00000000
            JPY
            2022-04-08
            -36333.86000000
          
        
        
          N
          N
          N
        
      
      
        Medtronic PLC
        549300GX3ZBSQWUXY261
        Medtronic PLC
        000000000
        
          
          
        
        2277.00000000
        NS
        USD
        252633.15000000
        0.082717437282
        Long
        EC
        CORP
        IE
        
        N
        
        1
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        100696.96000000
        0.032970314756
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -212808998.00000000
            JPY
            1848895.64000000
            USD
            2022-04-08
            100696.96000000
          
        
        
          N
          N
          N
        
      
      
        Secom Co Ltd
        529900TYCL9N3E9PGE47
        Secom Co Ltd
        000000000
        
          
          
          
        
        1300.00000000
        NS
        
        94044.49000000
        0.030792155357
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          
        
      
      
        CONDOR MERGER SUB INC
        254900SAGUYT3MBUU161
        Condor Merger Sub Inc
        579063AB4
        
          
          
        
        70000.00000000
        PA
        USD
        67243.75000000
        0.022017026163
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santen Pharmaceutical Co Ltd
        529900TPT3I7C17MIM03
        Santen Pharmaceutical Co Ltd
        000000000
        
          
          
          
        
        2200.00000000
        NS
        
        21996.56000000
        0.007202139039
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        SUNRUN CALLISTO ISSUER LLC
        N/A
        Sunrun Xanadu Issuer 2019-1 LLC
        86773PAA6
        
          
        
        320934.10000000
        PA
        USD
        316566.28000000
        0.103650496427
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2054-06-30
          Fixed
          3.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDEN ENTERTAINMENT INC
        549300P8YYCKQVJ0Y638
        Golden Entertainment Inc
        381013AA9
        
          
          
        
        70000.00000000
        PA
        USD
        72976.75000000
        0.023894131633
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          7.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - NZD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        23815.01000000
        0.007797538035
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -945496.51000000
            USD
            1398704.86000000
            NZD
            2022-04-08
            23815.01000000
          
        
        
          N
          N
          N
        
      
      
        Paychex Inc
        529900K900DW6SUBM174
        Paychex Inc
        704326107
        
          
          
        
        3596.00000000
        NS
        USD
        490746.12000000
        0.160680660485
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DCG4
        
          
        
        80000.00000000
        PA
        USD
        62518.45000000
        0.020469862988
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-27
          Fixed
          1.41113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        549300YJIXJB9DCDOI21
        COMM 2013-CCRE10 Mortgage Trust
        12626BAY0
        
          
        
        130000.00000000
        PA
        USD
        123865.60000000
        0.040556217580
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-08-10
          Variable
          4.90058000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ILLUMINATE BUYER/HLDG
        N/A
        Illuminate Buyer LLC / Illuminate Holdings IV Inc
        45232TAA9
        
          
          
        
        70000.00000000
        PA
        USD
        70962.50000000
        0.023234623576
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEC1
        
          
          
        
        436000.00000000
        PA
        USD
        424384.69000000
        0.138952524554
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-02-28
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Benefit Street Partners CLO Lt
        N/A
        Benefit Street Partners CLO XXIII Ltd
        08186VAJ9
        
          
        
        400000.00000000
        PA
        USD
        397768.00000000
        0.130237657222
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-25
          Floating
          2.45771000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8341.88000000
        -0.00273130796
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -15181764.36000000
            NOK
            1716016.88000000
            USD
            2022-04-08
            -8341.88000000
          
        
        
          N
          N
          N
        
      
      
        LPL HOLDINGS INC
        549300Z5YF8CCRMYUL26
        LPL Holdings Inc
        50212YAC8
        
          
          
        
        70000.00000000
        PA
        USD
        68906.60000000
        0.022561478427
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        JPMBB Commercial Mortgage Securities Trust 2013-C17
        46640UAQ5
        
          
        
        200000.00000000
        PA
        USD
        161341.14000000
        0.052826502099
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-15
          Variable
          3.86700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya Emerging Markets Hard Cur
        N/A
        Voya Emerging Markets Hard Currency Debt Fund
        92913M401
        
          
          
        
        216298.99500000
        NS
        USD
        1814748.57000000
        0.594187069360
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCM INVESTMENTS HOLDINGS
        549300P5V78NNQTG4428
        LCM Investments Holdings II LLC
        50190EAA2
        
          
          
        
        70000.00000000
        PA
        USD
        66200.39000000
        0.021675408028
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEE7
        
          
          
        
        102000.00000000
        PA
        USD
        101713.13000000
        0.033303030309
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-03-31
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dai Nippon Printing Co Ltd
        529900S7NFNQ4FT6OP83
        Dai Nippon Printing Co Ltd
        000000000
        
          
          
          
        
        2100.00000000
        NS
        
        49234.86000000
        0.016120534633
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Amundi SA
        96950010FL2T1TJKR531
        Amundi SA
        000000000
        
          
          
          
        
        634.00000000
        NS
        
        43353.69000000
        0.014194915170
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
          
        
        350000.00000000
        PA
        USD
        148750.00000000
        0.048703896522
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2025-09-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEEKLEY HOMES LLC/ FINAN
        N/A
        Weekley Homes LLC / Weekley Finance Corp
        948565AD8
        
          
          
        
        70000.00000000
        PA
        USD
        64641.50000000
        0.021164994467
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tryg A/S
        213800ZRS8AC4LSTCE39
        Tryg A/S
        000000000
        
          
          
          
        
        3585.00000000
        NS
        
        87168.18000000
        0.028540706008
        Long
        EC
        CORP
        DK
        N
        
        2
        
          N
          N
          N
        
      
      
        General Mills Inc
        2TGYMUGI08PO8X8L6150
        General Mills Inc
        370334104
        
          
          
        
        9752.00000000
        NS
        USD
        660405.44000000
        0.216230710672
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDT5
        
          
          
        
        206000.00000000
        PA
        USD
        170992.26000000
        0.055986482938
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2056-11-01
          Fixed
          2.93700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MetLife Inc
        C4BXATY60WC6XEOZDX54
        MetLife Inc
        59156R108
        
          
          
        
        4421.00000000
        NS
        USD
        310707.88000000
        0.101732332344
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HOWARD MIDSTREAM ENERGY
        N/A
        Howard Midstream Energy Partners LLC
        442722AA2
        
          
          
        
        70000.00000000
        PA
        USD
        68676.65000000
        0.022486187933
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIMB BANK BHD
        SR3J0ZUTXT7OTFT2VU03
        CIMB Bank Bhd
        12570RAA3
        
          
          
        
        200000.00000000
        PA
        USD
        189499.04000000
        0.062045994186
        Long
        DBT
        CORP
        MY
        N
        
        2
        
          2027-07-20
          Fixed
          2.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust 2019-J2
        12558TAN7
        
          
        
        131294.70000000
        PA
        USD
        130557.15000000
        0.042747172597
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-10-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Woodward Capital Management
        N/A
        RCKT Mortgage Trust 2021-1
        749350BL7
        
          
        
        486714.25000000
        PA
        USD
        432043.10000000
        0.141460049987
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-03-25
          Variable
          2.72335200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOVELIS CORP
        549300G5F3W3B52WYL23
        Novelis Corp
        670001AH9
        
          
          
        
        70000.00000000
        PA
        USD
        64140.65000000
        0.021001005583
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Old Republic International Cor
        549300IV6O2YY2A1KH37
        Old Republic International Corp
        680223104
        
          
          
        
        19370.00000000
        NS
        USD
        501101.90000000
        0.164071361914
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Tokio Marine Holdings Inc
        5299009QN2NZ191KLS29
        Tokio Marine Holdings Inc
        000000000
        
          
          
          
        
        2100.00000000
        NS
        
        122205.83000000
        0.040012773773
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Thermo Fisher Scientific Inc
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556102
        
          
          
        
        1225.00000000
        NS
        USD
        723546.25000000
        0.236904347490
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ROCKCLIFF ENERGY II LLC
        5493007AZNVKZ5HEMT23
        Rockcliff Energy II LLC
        77289KAA3
        
          
          
        
        70000.00000000
        PA
        USD
        70180.60000000
        0.022978612976
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ARQ27
        
          
        
        7987168.82380000
        PA
        USD
        1371498.32000000
        0.449057561397
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-25
          Floating
          5.59343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2019-GC39
        36260JAF4
        
          
        
        13662032.46000000
        PA
        USD
        772045.55000000
        0.252784044220
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-10
          Variable
          1.13260400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bureau Veritas SA
        969500TPU5T3HA5D1F11
        Bureau Veritas SA
        000000000
        
          
          
          
        
        1019.00000000
        NS
        
        29052.75000000
        0.009512484905
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        BANCOLOMBIA SA
        54930052NWJRPNMP1W58
        Bancolombia SA
        05968LAM4
        
          
          
        
        200000.00000000
        PA
        USD
        194760.00000000
        0.063768543776
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2025-01-29
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDW LLC/CDW FINANCE
        N/A
        CDW LLC / CDW Finance Corp
        12513GBF5
        
          
          
        
        70000.00000000
        PA
        USD
        64404.55000000
        0.021087412025
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Walmart Inc
        Y87794H0US1R65VBXU25
        Walmart Inc
        931142103
        
          
          
        
        2824.00000000
        NS
        USD
        420550.08000000
        0.137696992126
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Anthem Inc
        8MYN82XMYQH89CTMTH67
        Anthem Inc
        036752103
        
          
          
        
        848.00000000
        NS
        USD
        416554.56000000
        0.136388774360
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP MORGAN MORTGAGE TRUST 2018-5
        46649KAN5
        
          
          
        
        925341.35000000
        PA
        USD
        899111.72000000
        0.294388196120
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARNIVAL CORP
        F1OF2ZSX47CR0BCWA982
        Carnival Corp
        143658BR2
        
          
          
        
        70000.00000000
        PA
        USD
        66056.90000000
        0.021628426367
        Long
        DBT
        CORP
        PA
        
        N
        
        2
        
          2029-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Medibank Pvt Ltd
        BDYVSUPTML83OLINBJ17
        Medibank Pvt Ltd
        000000000
        
          
          
          
        
        34923.00000000
        NS
        
        80236.69000000
        0.026271189560
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -143.76000000
        -0.00004707006
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -30078514.00000000
            JPY
            246947.38000000
            USD
            2022-04-08
            -143.76000000
          
        
        
          N
          N
          N
        
      
      
        Cboe Global Markets Inc
        529900RLNSGA90UPEH54
        Cboe Global Markets Inc
        12503M108
        
          
          
        
        3845.00000000
        NS
        USD
        439944.90000000
        0.144047266454
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - EUR
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        7336.63000000
        0.002402167854
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -2069189.86000000
            USD
            1876857.23000000
            EUR
            2022-04-08
            7336.63000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHWESTERN ENERGY CO
        EFWMP121W54QV9MGOP87
        Southwestern Energy Co
        845467AR0
        
          
          
        
        70000.00000000
        PA
        USD
        70970.90000000
        0.023237373913
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Silver Creek CLO
        549300LSJSAR2PPV4U78
        Silver Creek CLO Ltd
        827551AQ5
        
          
        
        500000.00000000
        PA
        USD
        497679.50000000
        0.162950795760
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-07-20
          Floating
          2.55400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDM0
        
          
          
        
        2300.00000000
        PA
        USD
        2235.90000000
        0.000732080956
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-11-30
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AVDU8
        
          
        
        2891651.29000000
        PA
        USD
        431780.21000000
        0.141373974240
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-15
          Floating
          5.80343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCTAGON LOAN FUNDING LTD
        549300HJJWTCMWFILG24
        Octagon Loan Funding Ltd
        67590RBE4
        
          
        
        250000.00000000
        PA
        USD
        241469.50000000
        0.079062222126
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-11-18
          Floating
          2.68814000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICTORIA'S SECRET & CO
        5493006T3O70U3UWVF17
        Victoria's Secret & Co
        926400AA0
        
          
          
        
        70000.00000000
        PA
        USD
        63131.25000000
        0.020670506671
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERITAGE HOMES CORP
        52990044W9UMFJO2FB97
        Meritage Homes Corp
        59001ABA9
        
          
          
        
        70000.00000000
        PA
        USD
        70840.00000000
        0.023194514485
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-06
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wolters Kluwer NV
        724500TEM53I0U077B74
        Wolters Kluwer NV
        000000000
        
          
          
          
        
        753.00000000
        NS
        
        80275.07000000
        0.026283755983
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        2879.02000000
        0.000942652048
        N/A
        DIR
        CORP
        US
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
              
                
              
            
            
            2032-04-18
            0.00000000
            USD
            0.00000000
            USD
            497000.00000000
            USD
            2879.02000000
          
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corpora
        N/A
        Chase Mortgage Finance Corp
        16163YAC8
        
          
        
        289648.28000000
        PA
        USD
        283936.16000000
        0.092966704911
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-04-25
          Variable
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTH JERSEY INDUSTRIES
        549300DJYWYT5VXLFA46
        South Jersey Industries Inc
        838518AA6
        
          
          
        
        286000.00000000
        PA
        USD
        281292.15000000
        0.092101000108
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-15
          Variable
          5.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        International Paper Co
        824LMFJDH41EY779Q875
        International Paper Co
        460146103
        
          
          
        
        11109.00000000
        NS
        USD
        512680.35000000
        0.167862391364
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        VIKING CRUISES LTD
        549300IJP90T4MV2GL84
        Viking Cruises Ltd
        92676XAE7
        
          
          
        
        35000.00000000
        PA
        USD
        38955.53000000
        0.012754864551
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-05-15
          Fixed
          13.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2019-8
        46591KBE2
        
          
        
        23675.81000000
        PA
        USD
        23655.36000000
        0.007745265247
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        URBAN ONE INC
        549300PLGIGPBRQUP240
        Urban One Inc
        91705JAC9
        
          
          
        
        70000.00000000
        PA
        USD
        70369.95000000
        0.023040610172
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        47367.22000000
        0.015509029791
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1654689.24000000
            GBP
            2220990.09000000
            USD
            2022-04-08
            47367.22000000
          
        
        
          N
          N
          N
        
      
      
        Voya Floating Rate Fund
        54930033N6GOK9FB2919
        Voya Floating Rate Fund
        92913L619
        
          
          
        
        2141040.55460000
        NS
        USD
        19055260.94000000
        6.239095509437
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398RNN1
        
          
        
        583640.62000000
        PA
        USD
        79505.57000000
        0.026031805406
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-25
          Floating
          5.31343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO
        549300FC3G3YU2FBZD92
        Southern Co/The
        842587DF1
        
          
          
        
        275000.00000000
        PA
        USD
        266750.00000000
        0.087339592587
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NABORS INDUSTRIES INC
        549300VFQWRKICUFNU92
        Nabors Industries Inc
        62957HAJ4
        
          
          
        
        60000.00000000
        PA
        USD
        62426.40000000
        0.020439723871
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2019-1
        46650HAC2
        
          
        
        81466.32000000
        PA
        USD
        81725.20000000
        0.026758559220
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - GBP
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -9099.90000000
        -0.00297949975
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -1196585.70000000
            USD
            903983.85000000
            GBP
            2022-04-08
            -9099.90000000
          
        
        
          N
          N
          N
        
      
      
        WILLIAM CARTER
        TGI2A0HXEYNQPU7TYV27
        William Carter Co/The
        96926JAC1
        
          
          
        
        70000.00000000
        PA
        USD
        71121.40000000
        0.023286650797
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XSX3
        
          
        
        319237.76000000
        PA
        USD
        325179.03000000
        0.106470492963
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-02-25
          Floating
          3.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gilead Sciences Inc
        549300WTZWR07K8MNV44
        Gilead Sciences Inc
        375558103
        
          
          
        
        12097.00000000
        NS
        USD
        719166.65000000
        0.235470373808
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DUKE ENERGY CORP
        I1BZKREC126H0VB1BL91
        Duke Energy Corp
        26441CBG9
        
          
          
        
        380000.00000000
        PA
        USD
        384989.40000000
        0.126053673276
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -41236.82000000
        -0.01350180715
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -2525456.98000000
            AUD
            1848654.71000000
            USD
            2022-04-08
            -41236.82000000
          
        
        
          N
          N
          N
        
      
      
        QUALCOMM Inc
        H1J8DDZKZP6H7RWC0H53
        QUALCOMM Inc
        747525103
        
          
          
        
        3623.00000000
        NS
        USD
        553666.86000000
        0.181282241729
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DT Midstream Inc
        N/A
        DT Midstream Inc
        23345M107
        
          
          
        
        8491.00000000
        NS
        USD
        460721.66000000
        0.150850017171
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CROATIA
        74780000O00QGQ7CER13
        Croatia Government International Bond
        000000000
        
          
          
        
        225000.00000000
        PA
        
        233599.76000000
        0.076485502781
        Long
        DBT
        NUSS
        HR
        N
        
        2
        
          2029-06-19
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aurizon Holdings Ltd
        5299005PC1O6NOWL3H48
        Aurizon Holdings Ltd
        000000000
        
          
          
          
        
        37570.00000000
        NS
        
        103266.81000000
        0.033811738006
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        FALABELLA SA
        5493004CKJQ7H391LM41
        Falabella SA
        30607FAA8
        
          
          
        
        200000.00000000
        PA
        USD
        186911.00000000
        0.061198615145
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2032-01-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMPASS MINERALS INTERNA
        2549008X9G8XP7YJGC47
        Compass Minerals International Inc
        20451NAG6
        
          
          
        
        70000.00000000
        PA
        USD
        70968.10000000
        0.023236457134
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Australia & New Zealand Bankin
        JHE42UYNWWTJB8YTTU19
        Australia & New Zealand Banking Group Ltd
        000000000
        
          
          
          
        
        7058.00000000
        NS
        
        144625.79000000
        0.047353542928
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030N101
        
          
          
        
        26821.00000000
        NS
        USD
        1255759.22000000
        0.411162131817
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mello Mortgage Capital Accepta
        N/A
        Mello Mortgage Capital Acceptance 2018-MTG2
        585499BQ8
        
          
        
        460987.13000000
        PA
        USD
        453575.24000000
        0.148510128094
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-25
          Variable
          4.35527000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GDJ6
        
          
          
        
        70000.00000000
        PA
        USD
        71214.85000000
        0.023317248304
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Orange SA
        969500MCOONR8990S771
        Orange SA
        000000000
        
          
          
          
        
        11436.00000000
        NS
        
        135417.82000000
        0.044338658773
        Long
        EC
        CORP
        FR
        N
        
        1
        
          N
          N
          N
        
      
      
        SUNOCO LP/FINANCE CORP
        N/A
        Sunoco LP / Sunoco Finance Corp
        86765LAT4
        
          
          
        
        70000.00000000
        PA
        USD
        66129.00000000
        0.021652033432
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSENSUS CLOUD SOLUTION
        N/A
        Consensus Cloud Solutions Inc
        20848VAB1
        
          
          
        
        70000.00000000
        PA
        USD
        69690.95000000
        0.022818291209
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Microsoft Corp
        INR2EJN1ERAN0W5ZP974
        Microsoft Corp
        594918104
        
          
          
        
        18129.00000000
        NS
        USD
        5589351.99000000
        1.830072073600
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Atlantia SpA
        8156008DEC771409C487
        Atlantia SpA
        000000000
        
          
          
          
        
        4400.00000000
        NS
        
        91487.76000000
        0.029955027872
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        BOFA SECURITIES, INC.
        549300HN4UKV1E2R3U73
        BOFA SECURITIES INC
        000000000
        
          
        
        1177265.00000000
        PA
        USD
        1177265.00000000
        0.385461463794
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          0.30000000
          2022-04-01
          
            
              1665228.16377298
              USD
              1200810.30007244
              USD
              AMBS
            
          
        
        
          
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDL2
        
          
          
        
        167900.00000000
        PA
        USD
        158176.88000000
        0.051790456442
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-11-30
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AA5T8
        
          
        
        1600259.82000000
        PA
        USD
        173594.59000000
        0.056838540828
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          5.74343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        CURRENCY CONTRACT - NOK
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8291.31000000
        -0.00271475028
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -1590546.88000000
            USD
            13930645.79000000
            NOK
            2022-04-08
            -8291.31000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -18147.30000000
        -0.00594180989
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -6124749.98000000
            NOK
            677507.44000000
            USD
            2022-04-08
            -18147.30000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137AWZD0
        
          
        
        1764683.95000000
        PA
        USD
        62264.40000000
        0.020386681644
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-09-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KLABIN AUSTRIA GMBH
        984500578YEA8DD41B09
        Klabin Austria GmbH
        49836AAA2
        
          
          
        
        200000.00000000
        PA
        USD
        210933.00000000
        0.069063926085
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2029-04-03
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Neuberger Berman CLO Ltd
        549300RVE5T2OYI2H743
        Neuberger Berman Loan Advisers CLO 33 Ltd
        64132TAN3
        
          
        
        750000.00000000
        PA
        USD
        741625.50000000
        0.242823876372
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-10-16
          Floating
          2.14129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCM MERGER INC
        549300P77RSBKKFME089
        CCM Merger Inc
        14985VAE1
        
          
          
        
        70000.00000000
        PA
        USD
        70785.05000000
        0.023176522692
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jardine Matheson Holdings Ltd
        2138009KENVUNWOLPK41
        Jardine Matheson Holdings Ltd
        000000000
        
          
          
        
        1100.00000000
        NS
        USD
        60500.00000000
        0.019808979762
        Long
        EC
        CORP
        HK
        N
        
        1
        
          N
          N
          N
        
      
      
        DTE Energy Co
        549300IX8SD6XXD71I78
        DTE Energy Co
        233331107
        
          
          
        
        4527.00000000
        NS
        USD
        598514.67000000
        0.195966363393
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - SEK
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        20298.23000000
        0.006646069872
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -579598.54000000
            USD
            5640061.74000000
            SEK
            2022-04-08
            20298.23000000
          
        
        
          N
          N
          N
        
      
      
        Zebra Technologies Corp
        PO0I32GKZ3HZMMDPZZ08
        Zebra Technologies Corp
        989207105
        
          
          
        
        1304.00000000
        NS
        USD
        539464.80000000
        0.176632186868
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CASTLE US HOLDING CORP
        N/A
        Castle US Holding Corp
        14852LAA1
        
          
          
        
        70000.00000000
        PA
        USD
        69632.85000000
        0.022799268040
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC Trust 2022-FRR3
        36459DCS8
        
          
        
        92000.00000000
        PA
        USD
        62062.06000000
        0.020320431248
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-01-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EVRAZ PLC
        5493005B7DAN39RXLK23
        Evraz PLC
        30052KAA7
        
          
          
        
        250000.00000000
        PA
        USD
        140125.00000000
        0.045879889076
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2024-04-02
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NETFLIX INC
        549300Y7VHGU0I7CE873
        Netflix Inc
        64110LAT3
        
          
          
        
        70000.00000000
        PA
        USD
        77336.00000000
        0.025321442295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT US Long Bond
        000000000
        
          
          
        
        -42.00000000
        NC
        USD
        213161.02000000
        0.069793426962
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            -6515786.02000000
            USD
            213161.02000000
          
        
        
          N
          N
          N
        
      
      
        Hartford Financial Services Gr
        IU7C3FTM7Y3BQM112U94
        Hartford Financial Services Group Inc/The
        416515104
        
          
          
        
        7245.00000000
        NS
        USD
        520263.45000000
        0.170345258710
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273VAM2
        
          
          
        
        450000.00000000
        PA
        USD
        439875.00000000
        0.144024379716
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAIWA CAPITAL MARKETS AMERICA INC.
        M67H5PRC0NQKM73ZAS82
        DAIWA CAPITAL MARKETS AMERICA
        000000000
        
          
        
        1177265.00000000
        PA
        USD
        1177265.00000000
        0.385461463794
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          Y
          0.30000000
          2022-04-01
          
            
              1198624.52308931
              USD
              539730.24088306
              USD
              AMBS
            
            
              668742.13626679
              USD
              661080.05910909
              USD
              UST
            
          
        
        
          
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31397HE46
        
          
        
        466040.00000000
        PA
        USD
        50651.23000000
        0.016584284132
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-05-15
          Floating
          6.01343000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hannover Rueck SE
        529900KIN5BE45V5KB18
        Hannover Rueck SE
        000000000
        
          
          
          
        
        394.00000000
        NS
        
        66932.43000000
        0.021915093409
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        Yara International ASA
        213800WKOUWXWFJ5Z514
        Yara International ASA
        000000000
        
          
          
          
        
        734.00000000
        NS
        
        36706.27000000
        0.012018409249
        Long
        EC
        CORP
        NO
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Auto Trader Group PLC
        213800QLK9BZILB1DI86
        Auto Trader Group PLC
        000000000
        
          
          
          
        
        4456.00000000
        NS
        
        36785.44000000
        0.012044331181
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Aflac Inc
        549300N0B7DOGLXWPP39
        Aflac Inc
        001055102
        
          
          
        
        2750.00000000
        NS
        USD
        177072.50000000
        0.057977282130
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -101949.97000000
        -0.03338057673
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            -3237898.78000000
            AUD
            2321087.74000000
            USD
            2022-04-08
            -101949.97000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage A
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378UVZ7
        
          
        
        958625.85000000
        PA
        USD
        139361.48000000
        0.045629896478
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-10-16
          Floating
          5.24943000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Yamato Holdings Co Ltd
        N/A
        Yamato Holdings Co Ltd
        000000000
        
          
          
          
        
        3400.00000000
        NS
        
        63512.58000000
        0.020795362179
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2019-KG01 Mortgage Trust
        30298CAU5
        
          
        
        200000.00000000
        PA
        USD
        122343.68000000
        0.040057908779
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-05-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY FLORIDA LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAF8
        
          
          
        
        74000.00000000
        PA
        USD
        79190.83000000
        0.025928752872
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-07-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jeronimo Martins SGPS SA
        259400A8SZP10GB5IB19
        Jeronimo Martins SGPS SA
        000000000
        
          
          
          
        
        3770.00000000
        NS
        
        90442.57000000
        0.029612810557
        Long
        EC
        CORP
        PT
        N
        
        2
        
          N
          N
          N
        
      
      
        Oak Hill Credit Partners
        N/A
        OHA Credit Funding 8 Ltd
        67707GAJ8
        
          
        
        250000.00000000
        PA
        USD
        246953.00000000
        0.080857636019
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-01-18
          Floating
          2.14129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATION CASINOS LLC
        5493004E7Q60TX54WL62
        Station Casinos LLC
        857691AG4
        
          
          
        
        70000.00000000
        PA
        USD
        66514.70000000
        0.021778319771
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - CAD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -0.01000000
            USD
            0.01000000
            CAD
            2022-04-08
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        NatWest Group PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        000000000
        
          
          
          
        
        19031.00000000
        NS
        
        53749.86000000
        0.017598841139
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        BEASLEY MEZ HLDGS LLC
        549300VK8LJV1TK18D38
        Beasley Mezzanine Holdings LLC
        07403VAA7
        
          
          
        
        70000.00000000
        PA
        USD
        66579.80000000
        0.021799634888
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          8.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OASIS PETROLEUM INC
        529900FA4V2YNIKZ0M71
        Oasis Petroleum Inc
        674215AL2
        
          
          
        
        70000.00000000
        PA
        USD
        71839.95000000
        0.023521919267
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SG Holdings Co Ltd
        N/A
        SG Holdings Co Ltd
        000000000
        
          
          
          
        
        3700.00000000
        NS
        
        69673.85000000
        0.022812692307
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        OLIN CORP
        549300GKK294V7W57P06
        Olin Corp
        680665AJ5
        
          
          
        
        70000.00000000
        PA
        USD
        69866.30000000
        0.022875704508
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Parcel Service Inc
        D01LMJZU09ULLNCY6Z23
        United Parcel Service Inc
        911312106
        
          
          
        
        2254.00000000
        NS
        USD
        483392.84000000
        0.158273041069
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2016-K60 Mortgage Trust
        302947AJ5
        
          
        
        525000.00000000
        PA
        USD
        384186.86000000
        0.125790904703
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD CALL VERSUS AUD PUT
        000000000
        
          
        
        -9367000.00000000
        NC
        USD
        -2470.73000000
        -0.00080896926
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Written
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    USD CALL VERSUS AUD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  AUD
                  2022-04-13
                
              
            
            1.00000000
            USD
            0.71000000
            USD
            2022-04-13
            XXXX
            69986.29000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2539.22000000
        0.000831394340
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -652218.93000000
            EUR
            724144.39000000
            USD
            2022-04-08
            2539.22000000
          
        
        
          N
          N
          N
        
      
      
        Novozymes A/S
        529900T6WNZXD2R3JW38
        Novozymes A/S
        000000000
        
          
          
          
        
        1352.00000000
        NS
        
        92698.80000000
        0.030351547986
        Long
        EC
        CORP
        DK
        N
        
        2
        
          N
          N
          
        
      
      
        Telefonica Deutschland Holding
        391200ECRPJ3SWQJUM30
        Telefonica Deutschland Holding AG
        000000000
        
          
          
          
        
        23822.00000000
        NS
        
        64791.34000000
        0.021214055253
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        Wind River CLO Ltd
        N/A
        THL Credit Wind River 2017-3 Clo Ltd
        97316LAE8
        
          
        
        600000.00000000
        PA
        USD
        595430.40000000
        0.194956508153
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-04-15
          Floating
          2.74129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lawson Inc
        529900IWO8XQO92PR233
        Lawson Inc
        000000000
        
          
          
          
        
        1500.00000000
        NS
        
        57419.89000000
        0.018800486594
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        USD CALL VERSUS EUR PUT
        000000000
        
          
        
        -2025800.00000000
        NC
        USD
        -1779.38000000
        -0.00058260665
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            Call
            Written
            
              
                
                  
                    MORGAN STANLEY CAPITAL SERVICES LLC
                    I7331LVCZKQKX5T7XV54
                  
                  
                    MORGAN STANLEY CAPITAL SERVICES LLC
                    I7331LVCZKQKX5T7XV54
                    USD CALL VERSUS EUR PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2022-04-13
                
              
            
            1.00000000
            USD
            1.08000000
            USD
            2022-04-13
            XXXX
            6664.15000000
          
        
        
          N
          N
          N
        
      
      
        PT PERTAMINA (PERSERO)
        254900NDAKGNZ2IBBL45
        Pertamina Persero PT
        69370RAL1
        
          
          
        
        425000.00000000
        PA
        USD
        375593.75000000
        0.122977338719
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2031-02-09
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Randstad NV
        7245009EAAUUQJ0U4T57
        Randstad NV
        000000000
        
          
          
          
        
        1465.00000000
        NS
        
        88127.42000000
        0.028854781475
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2016-CR28 Mortgage Trust
        12593YBN2
        
          
          
        
        1530000.00000000
        PA
        USD
        1444099.68000000
        0.472828782404
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-10
          Variable
          3.88777600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCIENTIFIC GAMES INTERNA
        RLTHESQ0RNFQJWPBJN60
        Scientific Games International Inc
        80874YBA7
        
          
          
        
        35000.00000000
        PA
        USD
        36443.75000000
        0.011932454647
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA4
        35564KNS4
        
          
        
        1000000.00000000
        PA
        USD
        941973.30000000
        0.308421984067
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-25
          Floating
          2.44900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2162.04000000
        0.000707897629
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -132833.59000000
            EUR
            149127.12000000
            USD
            2022-04-08
            2162.04000000
          
        
        
          N
          N
          N
        
      
      
        UNIFRAX ESCROW ISS CORP
        549300RRU6BWJLD0YT71
        ASP Unifrax Holdings Inc
        90473LAA0
        
          
          
        
        15000.00000000
        PA
        USD
        13953.45000000
        0.004568654688
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-30
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -17305.79000000
        -0.00566628171
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2032-05-06
            0.00000000
            USD
            0.00000000
            USD
            1196600.00000000
            USD
            -17305.79000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac Multiclass Certifi
        N/A
        Freddie Mac Multiclass Certificates Series 2021-P011
        3137H2NR1
        
          
        
        1184394.95000000
        PA
        USD
        172953.76000000
        0.056628719530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-09-25
          Variable
          1.84294500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVISTA CORP
        Q0IK63NITJD6RJ47SW96
        Avista Corp
        05379BAR8
        
          
          
        
        243000.00000000
        PA
        USD
        246994.77000000
        0.080871312401
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gam Resecuritization Trust
        N/A
        GAM RE-REMIC TRUST 2021-FRR2
        36459TAS5
        
          
        
        125000.00000000
        PA
        USD
        100047.25000000
        0.032757585958
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAT8
        
          
          
        
        35000.00000000
        PA
        USD
        35344.40000000
        0.011572504203
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTA EQUIPMENT GROUP
        N/A
        Alta Equipment Group Inc
        02128LAA4
        
          
          
        
        70000.00000000
        PA
        USD
        66645.95000000
        0.021821293797
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHOBANI LLC/FINANCE CORP
        N/A
        Chobani LLC / Chobani Finance Corp Inc
        17027NAB8
        
          
          
        
        25000.00000000
        PA
        USD
        23109.13000000
        0.007566417991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Horizon Therapeutics Plc
        529900P0GSQ79OOZEV53
        Horizon Therapeutics Plc
        000000000
        
          
          
        
        6228.00000000
        NS
        USD
        655247.88000000
        0.214542016430
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CME Ultra Long Term US Treasury Bond
        000000000
        
          
          
        
        -21.00000000
        NC
        USD
        140931.69000000
        0.046144016446
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            -3860556.69000000
            USD
            140931.69000000
          
        
        
          N
          N
          N
        
      
      
        DSV A/S
        529900X41C0BSLK67H70
        DSV A/S
        000000000
        
          
          
          
        
        266.00000000
        NS
        
        50980.39000000
        0.016692058078
        Long
        EC
        CORP
        DK
        N
        
        2
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL SERVICES LLC
        I7331LVCZKQKX5T7XV54
        CURRENCY CONTRACT - BRL
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        45.78000000
        0.000014989340
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY CAPITAL SERVICES LLC
              I7331LVCZKQKX5T7XV54
            
            -657.55000000
            USD
            3378.60000000
            BRL
            2022-05-06
            45.78000000
          
        
        
          N
          N
          N
        
      
      
        BROWN BROTHERS HARRIMAN & CO.
        5493006KMX1VFTPYPW14
        CURRENCY CONTRACT - PLN
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4.88000000
        0.000001597815
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BROWN BROTHERS HARRIMAN & CO.
              5493006KMX1VFTPYPW14
            
            -107.89000000
            USD
            474.96000000
            PLN
            2022-04-29
            4.88000000
          
        
        
          N
          N
          N
        
      
      
        J Sainsbury PLC
        213800VGZAAJIKJ9Y484
        J Sainsbury PLC
        000000000
        
          
          
          
        
        26803.00000000
        NS
        
        88711.97000000
        0.029046175510
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        KOOKMIN BANK
        549300XXMOJSIW8P4769
        Kookmin Bank
        50049MAD1
        
          
          
        
        200000.00000000
        PA
        USD
        200498.00000000
        0.065647286352
        Long
        DBT
        CORP
        KR
        N
        
        2
        
          N/A
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2018-R07
        20753QAE9
        
          
          
        
        133192.86000000
        PA
        USD
        133247.74000000
        0.043628128677
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-04-25
          Floating
          2.85657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Target Corp
        8WDDFXB5T1Z6J0XC1L66
        Target Corp
        87612E106
        
          
          
        
        2802.00000000
        NS
        USD
        594640.44000000
        0.194697858539
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        PARAMOUNT GLOBAL
        5KYC8KF17ROCY24M3H09
        Paramount Global
        92556HAE7
        
          
          
        
        280000.00000000
        PA
        USD
        282994.60000000
        0.092658418250
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2062-03-30
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Idemitsu Kosan Co Ltd
        549300P0R46FF6DUA630
        Idemitsu Kosan Co Ltd
        000000000
        
          
          
          
        
        3600.00000000
        NS
        
        99235.90000000
        0.032491932806
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          
        
      
      
        Symrise AG
        529900D82I6R9601CF26
        Symrise AG
        000000000
        
          
          
          
        
        583.00000000
        NS
        
        69897.88000000
        0.022886044468
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        Credit Suisse Commercial Mortg
        N/A
        CSWF 2021-SOP2
        12657VAL6
        
          
        
        599354.63000000
        PA
        USD
        581564.47000000
        0.190416509364
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-15
          Floating
          2.71344800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INRETAIL CONSUMER
        N/A
        InRetail Consumer
        45790TAB1
        
          
          
        
        200000.00000000
        PA
        USD
        187911.00000000
        0.061526036298
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2028-03-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CORELOGIC INC
        54930086CD8K2UIL0516
        CoreLogic Inc
        21871DAD5
        
          
          
        
        70000.00000000
        PA
        USD
        66143.35000000
        0.021656731926
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nasdaq Inc
        549300L8X1Q78ERXFD06
        Nasdaq Inc
        631103108
        
          
          
        
        1834.00000000
        NS
        USD
        326818.80000000
        0.107007388348
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bluemountain CLO Ltd
        5493001GLQHON6UV2U40
        BlueMountain CLO XXVIII Ltd
        09630PAG8
        
          
        
        250000.00000000
        PA
        USD
        245517.00000000
        0.080387459243
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-15
          Floating
          2.24129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown Holdings Inc
        NYLWZIOY8PUNIT4JOE22
        Crown Holdings Inc
        228368106
        
          
          
        
        4816.00000000
        NS
        USD
        602433.44000000
        0.197249451585
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Schroders PLC
        2138001YYBULX5SZ2H24
        Schroders PLC
        000000000
        
          
          
          
        
        1125.00000000
        NS
        
        47373.00000000
        0.015510922285
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        SUNCOKE ENERGY INC
        1KF1J2NXQE2PI0QOB943
        SunCoke Energy Inc
        86722AAD5
        
          
          
        
        70000.00000000
        PA
        USD
        66080.00000000
        0.021635989796
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-30
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Drive Auto Receivabl
        N/A
        Santander Drive Auto Receivables Trust 2019-1
        80285HAG5
        
          
        
        424710.38000000
        PA
        USD
        427126.05000000
        0.139850103806
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REAL HERO MERGER SUB 2
        N/A
        Real Hero Merger Sub 2 Inc
        75602BAA7
        
          
          
        
        70000.00000000
        PA
        USD
        63917.70000000
        0.020928007036
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDE9
        
          
          
        
        425000.00000000
        PA
        USD
        392891.25000000
        0.128640906114
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-01-28
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2016-4
        46647JAN0
        
          
        
        476208.33000000
        PA
        USD
        467769.25000000
        0.153157547215
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-10-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DCP MIDSTREAM OPERATING
        549300Y6CTBSE0QIPL28
        DCP Midstream Operating LP
        23311VAJ6
        
          
          
        
        70000.00000000
        PA
        USD
        73529.05000000
        0.024074966336
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hikma Pharmaceuticals PLC
        549300BNS685UXH4JI75
        Hikma Pharmaceuticals PLC
        000000000
        
          
          
          
        
        1866.00000000
        NS
        
        50340.79000000
        0.016482639509
        Long
        EC
        CORP
        JO
        N
        
        2
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAM6
        
          
          
        
        19000.00000000
        PA
        USD
        19941.83000000
        0.006529376973
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        5324.83000000
        0.001743461978
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-05-06
            0.00000000
            USD
            0.00000000
            USD
            607500.00000000
            USD
            5324.83000000
          
        
        
          N
          N
          N
        
      
      
        TEMPUR SEALY INTL INC
        549300HFEKVR3US71V91
        Tempur Sealy International Inc
        88023UAJ0
        
          
          
        
        70000.00000000
        PA
        USD
        60128.60000000
        0.019687375545
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-10-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        SWOP IRS USD
        000000000
        
          
        
        -1476000.00000000
        NC
        USD
        -10068.42000000
        -0.00329661368
        N/A
        DIR
        CORP
        FR
        
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            Call
            Written
            
              
                
                  
                    BNP PARIBAS
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS
                    R0MUWSFPU8MPRO8K5P83
                    IRS USD
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    US
                  
                  
                    
                      THE SECURED OVERNIGHT FINANCING RATE
                      THE SECURED OVERNIGHT FINANCING RATE
                      
                        
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-05-04
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            0.01000000
            USD
            2.23000000
            USD
            2022-04-29
            XXXX
            7569.78000000
          
        
        
          N
          N
          N
        
      
      
        Geberit AG
        52990093Z5OHD6T7BS47
        Geberit AG
        000000000
        
          
          
          
        
        104.00000000
        NS
        
        64111.49000000
        0.020991457982
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        SPECTRUM BRANDS INC
        549300VU3EH2E73C1Q04
        Spectrum Brands Inc
        84762LAU9
        
          
          
        
        70000.00000000
        PA
        USD
        71410.50000000
        0.023381308252
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CURRENCY CONTRACT - GBP
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10808.24000000
        -0.00353884640
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            -1196864.17000000
            USD
            902895.35000000
            GBP
            2022-04-08
            -10808.24000000
          
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2021-B24 Mortgage Trust
        08163CBE8
        
          
        
        2097023.83000000
        PA
        USD
        157827.68000000
        0.051676120975
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-03-15
          Variable
          1.15389500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Evonik Industries AG
        41GUOJQTALQHLF39XJ34
        Evonik Industries AG
        000000000
        
          
          
          
        
        3352.00000000
        NS
        
        92993.22000000
        0.030447947322
        Long
        EC
        CORP
        DE
        N
        
        2
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortga
        N/A
        UBS-Barclays Commercial Mortgage Trust 2012-C4
        90270RAN4
        
          
        
        240000.00000000
        PA
        USD
        182136.91000000
        0.059635477092
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-12-10
          Variable
          4.46048300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        CURRENCY CONTRACT - USD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -37.75000000
        -0.00001236014
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -14949.98000000
            MXN
            709.64000000
            USD
            2022-05-06
            -37.75000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BANK
        RILFO74KP1CM8P6PCT96
        JPY CALL VERSUS USD PUT
        000000000
        
          
        
        -1911000.00000000
        NC
        USD
        -6305.23000000
        -0.00206446567
        N/A
        DFE
        CORP
        GB
        
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            Put
            Written
            
              
                
                  
                    STANDARD CHARTERED BANK
                    RILFO74KP1CM8P6PCT96
                  
                  
                    STANDARD CHARTERED BANK
                    RILFO74KP1CM8P6PCT96
                    JPY CALL VERSUS USD PUT
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    GB
                    US
                  
                  N/A
                  JPY
                  N/A
                  USD
                  2022-04-26
                
              
            
            1.00000000
            USD
            119.00000000
            USD
            2022-04-26
            XXXX
            -2316.89000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2018-3
        46649TAZ9
        
          
        
        1093816.75000000
        PA
        USD
        1070556.41000000
        0.350522814211
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-25
          Variable
          3.72474800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROCS INC
        549300B0J6YCXD63OG72
        Crocs Inc
        227046AB5
        
          
          
        
        70000.00000000
        PA
        USD
        59277.05000000
        0.019408560062
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GPT Group/The
        N/A
        GPT Group/The
        000000000
        
          
          
          
        
        26558.00000000
        NS
        
        102442.64000000
        0.033541887314
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        Nitto Denko Corp
        3538009GX5P09USH2J25
        Nitto Denko Corp
        000000000
        
          
          
          
        
        600.00000000
        NS
        
        43012.85000000
        0.014083316944
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Elia Group SA/NV
        549300S1MP1NFDIKT460
        Elia Group SA/NV
        000000000
        
          
          
          
        
        282.00000000
        NS
        
        43025.24000000
        0.014087373692
        Long
        EC
        CORP
        BE
        N
        
        2
        
          N
          N
          
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        CURRENCY CONTRACT - CHF
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2209.68000000
        0.000723495973
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            -175644.74000000
            USD
            164324.16000000
            CHF
            2022-04-08
            2209.68000000
          
        
        
          N
          N
          N
        
      
      
        Bank of Hawaii Corp
        5493006Q8BQ8AD8M2U33
        Bank of Hawaii Corp
        062540109
        
          
          
        
        2814.00000000
        NS
        USD
        236150.88000000
        0.077320793433
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        GLOBAL INFRASTRUCTURE SO
        2549003BGLQITAJ6ZT28
        Global Infrastructure Solutions Inc
        37960XAA5
        
          
          
        
        70000.00000000
        PA
        USD
        67580.10000000
        0.022127154268
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Recordati Industria Chimica e
        815600FBF92FD3531704
        Recordati Industria Chimica e Farmaceutica SpA
        000000000
        
          
          
          
        
        1048.00000000
        NS
        
        52546.35000000
        0.017204786507
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        Cummins Inc
        ZUNI8PYC725B6H8JU438
        Cummins Inc
        231021106
        
          
          
        
        1583.00000000
        NS
        USD
        324689.13000000
        0.106310089340
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N