Form NPORT-P BlackRock Strategic Glob For: Jun 30

August 27, 2020 2:29 PM

  
    NPORT-P
    false
    
      
      
        
          0000835620
          XXXXXXXX
        
      
      
      
      
        S000002866
        C000007879
        C000007882
        C000162768
        C000038980
      
      
      
    
  
  
    
      BlackRock Strategic Global Bond Fund, Inc.
      811-05603
      0000835620
      WLNAPPG3EBO2UQ0EB806
      100 BELLEVUE PARKWAY
      WILMINGTON
      
      19809
      800-441-7762
      BlackRock Strategic Global Bond Fund, Inc.
      S000002866
      WLNAPPG3EBO2UQ0EB806
      2020-12-31
      2020-06-30
      N
    
    
      636395880.08
      95473267.20
      540922612.88
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      44778192.44000000
      0.00000000
      0.00000000
      45341522.16000000
      
        
          GBP
          
          
        
        
          RUB
          
          
        
        
          USD
          
          
        
        
          JPY
          
          
        
        
          IDR
          
          
        
        
          CNY
          
          
        
        
          EUR
          
          
        
      
      
      
      N
      
        
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST SEP20 300 CALL
        000000000
        
          
        
        37.00000000
        NC
        USD
        75221.00000000
        0.013906055729
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            300.00000000
            USD
            2020-09-18
            XXXX
            32427.12000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36196FZG2
        
          
        
        3742.55000000
        PA
        USD
        4040.09000000
        0.000746888723
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        2994.49000000
        0.000553589354
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            14919461.11000000
            MXN
            651000.00000000
            USD
            2020-07-15
            2994.49000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FKTD2
        
          
        
        662.61000000
        PA
        USD
        713.42000000
        0.000131889476
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN FIN SERV NV
        529900ZTQC8D1TW6BL41
        Volkswagen Financial Services NV
        000000000
        
          
        
        200000.00000000
        PA
        
        247510.34000000
        0.045757070254
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-11-30
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XYBY9
        
          
        
        14308.28000000
        PA
        USD
        15559.46000000
        0.002876466915
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAP9
        
          
        
        34000.00000000
        PA
        USD
        39655.77000000
        0.007331135555
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-06-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Colombia
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325BD6
        
          
        
        200000.00000000
        PA
        USD
        240062.50000000
        0.044380193078
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2024-05-21
          Fixed
          8.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHERN STATES PWR-MINN
        3S1GHB0TEH85KX44SB51
        Northern States Power Co/MN
        665772CN7
        
          
        
        128000.00000000
        PA
        USD
        155449.77000000
        0.028737894533
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-08-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAB7
        
          
        
        136000.00000000
        PA
        USD
        155894.76000000
        0.028820159536
        Long
        DBT
        
        US
        N
        
        2
        
          2026-02-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PulteGroup Inc
        N/A
        PulteGroup Inc
        745867101
        
          
        
        1579.00000000
        NS
        USD
        53733.37000000
        0.009933652008
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        KLA Corp
        549300H0BF5JCG96TJ81
        KLA Corp
        482480AH3
        
          
        
        110000.00000000
        PA
        USD
        143522.94000000
        0.026532989485
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EHWD0
        
          
        
        124275.20000000
        PA
        USD
        142425.42000000
        0.026330091700
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRMENICH PRODUCTIONS
        635400DX7HXMEAP36T24
        Firmenich Productions Participations SAS
        000000000
        
          
        
        200000.00000000
        PA
        
        233503.66000000
        0.043167664734
        Long
        DBT
        CORP
        FR
        
        N
        
        2
        
          2030-04-30
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST NOV20 350 CALL
        000000000
        
          
        
        60.00000000
        NC
        USD
        15930.00000000
        0.002944968396
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            350.00000000
            USD
            2020-11-20
            XXXX
            -10899.17000000
          
        
        
          N
          N
          N
        
      
      
        HTA GROUP LTD
        213800WEFU8O8X6EPU13
        HTA Group Ltd/Mauritius
        40435WAB6
        
          
        
        605000.00000000
        PA
        USD
        611050.00000000
        0.112964402938
        Long
        DBT
        CORP
        MU
        
        N
        
        2
        
          2025-12-18
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST AUG20 315 CALL
        000000000
        
          
        
        102.00000000
        NC
        USD
        81396.00000000
        0.015047623830
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            315.00000000
            USD
            2020-08-21
            XXXX
            -5023.79000000
          
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        132970000.00000000
        PA
        
        19227452.79000000
        3.554566278460
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2029-05-23
          Fixed
          3.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -3516.02000000
        -0.00065000425
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            446894129.00000000
            KRW
            369000.00000000
            USD
            2020-07-15
            -3516.02000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10276.15000000
        -0.00189974494
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            745000.00000000
            USD
            10827375550.00000000
            IDR
            2020-09-16
            -10276.15000000
          
        
        
          N
          N
          N
        
      
      
        NVIDIA CORP
        549300S4KLFTLO7GSQ80
        NVIDIA Corp
        67066GAH7
        
          
        
        86000.00000000
        PA
        USD
        98259.73000000
        0.018165210264
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J6EK9
        
          
        
        18454.21000000
        PA
        USD
        20475.73000000
        0.003785334447
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3133A04K7
        
          
        
        141914.09000000
        PA
        USD
        151841.61000000
        0.028070856419
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L BRANDS INC
        GR3KVMWVCR54YWQNXU90
        L Brands Inc
        501797AS3
        
          
        
        20000.00000000
        PA
        USD
        20650.00000000
        0.003817551625
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLOROX COMPANY
        54930044KVSC06Z79I06
        Clorox Co/The
        189054AX7
        
          
        
        144000.00000000
        PA
        USD
        145298.78000000
        0.026861287833
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PENSKE TRUCK LEASING/PTL
        N/A
        Penske Truck Leasing Co Lp / PTL Finance Corp
        709599BG8
        
          
        
        300000.00000000
        PA
        USD
        308646.53000000
        0.057059276623
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Motorola Solutions Inc
        6S552MUG6KGJVEBSEC55
        Motorola Solutions Inc
        620076BN8
        
          
        
        425000.00000000
        PA
        USD
        490447.59000000
        0.090668716434
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-23
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ETPF7
        
          
        
        15873.24000000
        PA
        USD
        17512.23000000
        0.003237474193
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        000000000
        
          
        
        210000.00000000
        PA
        
        247932.20000000
        0.045835059229
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AEJ87
        
          
        
        1247.00000000
        PA
        USD
        1368.25000000
        0.000252947458
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        ETSY INC SEP20 60 PUT
        000000000
        
          
        
        -17.00000000
        NC
        USD
        -1657.50000000
        -0.00030642091
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                Etsy Inc
                Etsy Inc
                
                  
                  
                
              
            
            100.00000000
            60.00000000
            USD
            2020-09-18
            XXXX
            3390.55000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2014-1 B PTT
        N/A
        United Airlines 2014-1 Class B Pass Through Trust
        90932PAB4
        
          
        
        2725.13000000
        PA
        USD
        2420.15000000
        0.000447411504
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-11
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.760000 27-SEP-2029
        000000000
        
          
        
        2536000.00000000
        OU
        Notional Amount
        USD
        -281314.94000000
        -0.05200650394
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2029-09-27
            0.00000000
            USD
            -48.47000000
            USD
            2536000.00000000
            USD
            -281266.47000000
          
        
        
          N
          N
          N
        
      
      
        VNO Mortgage Trust
        N/A
        VNDO 2012-6AVE Mortgage Trust
        91830CAJ7
        
          
        
        1000000.00000000
        PA
        USD
        1016508.30000000
        0.187921206434
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-11-15
          Variable
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -191.63000000
        -0.00003542650
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            101475.72000000
            USD
            90000.00000000
            EUR
            2020-09-16
            -191.63000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.125000 12-AUG-2024
        000000000
        
          
        
        7136000.00000000
        OU
        Notional Amount
        USD
        -597488.25000000
        -0.11045725132
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2024-08-12
            0.00000000
            USD
            -107.19000000
            USD
            7136000.00000000
            USD
            -597381.06000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERPJ3
        
          
        
        185264.66000000
        PA
        USD
        201403.28000000
        0.037233289051
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4117.89000000
        -0.00076127155
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1280764.12000000
            USD
            1136000.00000000
            EUR
            2020-07-15
            -4117.89000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAV8
        
          
        
        254000.00000000
        PA
        USD
        297806.07000000
        0.055055208066
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-23
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DXC TECHNOLOGY CO
        549300DOVZ3EDJB7O259
        DXC Technology Co
        23355LAJ5
        
          
        
        206000.00000000
        PA
        USD
        216200.94000000
        0.039968922513
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCK3
        
          
        
        125000.00000000
        PA
        USD
        151588.11000000
        0.028023992044
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-03-15
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY FLORIDA LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAJ0
        
          
        
        130000.00000000
        PA
        USD
        131776.19000000
        0.024361375705
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CRH FUNDING
        549300XYDB6706OPOS81
        CRH Funding BV
        000000000
        
          
        
        100000.00000000
        PA
        
        117654.90000000
        0.021750782311
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-05-05
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOTORANTIM SA
        5493009RIHSE12DQ0J28
        Votorantim SA
        92911HAA5
        
          
        
        299000.00000000
        PA
        USD
        307386.95000000
        0.056826418914
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2021-04-05
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NETHERLANDS GOVERNMENT
        254900G14ALGVKORFN62
        Netherlands Government Bond
        000000000
        
          
        
        311000.00000000
        PA
        
        603707.77000000
        0.111607049811
        Long
        DBT
        NUSS
        NL
        N
        
        2
        
          2047-01-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        235125.00000000
        0.043467400770
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2047-07-18
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EQU26
        
          
        
        890.07000000
        PA
        USD
        944.58000000
        0.000174623869
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -380.17000000
        -0.00007028177
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            6869804.73000000
            MXN
            298000.00000000
            USD
            2020-07-15
            -380.17000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW21ADR4 EUR PUT USD CALL JUL20 1.115 PUT
        000000000
        
          
        
        -846000.00000000
        OU
        Notional Amount
        
        -3445.49000000
        -0.00063696542
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    -3445.49000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  846000.00000000
                  EUR
                  943290.00000000
                  USD
                  2020-07-23
                
              
            
            1.00000000
            1.11500000
            EUR
            2020-07-23
            XXXX
            18428.26000000
          
        
        
          N
          N
          N
        
      
      
        Ryder System Inc
        ZXJ6Y2OSPZXIVGRILD15
        Ryder System Inc
        78355HKM0
        
          
        
        81000.00000000
        PA
        USD
        83813.44000000
        0.015494534338
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        1200000.00000000
        PA
        
        173883.58000000
        0.032145740603
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2024-04-11
          Fixed
          3.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHT9
        
          
        
        117000.00000000
        PA
        USD
        130581.49000000
        0.024140512319
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-23
          Fixed
          3.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        235750.00000000
        0.043582944100
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2028-04-23
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MK4
        
          
        
        10000.00000000
        PA
        USD
        8887.50000000
        0.001643026153
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-30
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMW US Capital LLC
        KK5MZM9DIXLXZL9DZL15
        BMW US Capital LLC
        05565EAH8
        
          
        
        72000.00000000
        PA
        USD
        76239.77000000
        0.014094395054
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-04-11
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM GROWTH/MGM FINANCE
        54930066VBP7DZEGGJ87
        MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
        55303XAB1
        
          
        
        11000.00000000
        PA
        USD
        10893.30000000
        0.002013837051
        Long
        DBT
        
        US
        N
        
        2
        
          2026-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMPRESA DE TRANSPORTE ME
        959800T4M5QUPYMSCH69
        Empresa de Transporte de Pasajeros Metro SA
        29246QAE5
        
          
        
        217000.00000000
        PA
        USD
        247814.00000000
        0.045813207675
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2050-05-07
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAE8
        
          
        
        30000.00000000
        PA
        USD
        31448.50000000
        0.005813863064
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-05-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Russian Federation
        5493004EHVGF71PDBU58
        Russian Foreign Bond - Eurobond
        000000000
        
          
        
        400000.00000000
        PA
        USD
        528400.00000000
        0.097684952970
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2047-06-23
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GRX74
        
          
        
        83910.49000000
        PA
        USD
        91648.15000000
        0.016942931912
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AT5
        
          
        
        270000.00000000
        PA
        USD
        289373.11000000
        0.053496212417
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-12
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        iShares iBoxx High Yield Corporate Bond ETF
        549300WY6QQ9HGWLNX87
        iShares iBoxx High Yield Corporate Bond ETF
        464288513
        
          
        
        86094.00000000
        NS
        USD
        7026992.28000000
        1.299075341403
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        PROLOGIS EURO FINANCE
        549300MI5D1784PRQH06
        Prologis Euro Finance LLC
        000000000
        
          
        
        100000.00000000
        PA
        
        108780.39000000
        0.020110157610
        Long
        DBT
        
        US
        N
        
        2
        
          2035-02-06
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cydsa SAB de CV
        4469000001BNTACN9916
        Cydsa SAB de CV
        232553AA5
        
          
        
        200000.00000000
        PA
        USD
        195750.00000000
        0.036188170976
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2027-10-04
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAK6
        
          
        
        2359000.00000000
        PA
        USD
        2598438.50000000
        0.480371579617
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2032-04-27
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        CAN 10YR BOND FUT SEP20 XMOD 20200921
        000000000
        
          
        
        81.00000000
        NC
        
        16438.16000000
        0.003038911594
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Long
            
              
                Canadian Government Bond
                CNU0 Comdty
              
            
            2020-09-21
            12437103.56000000
            CAD
            16438.16000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5099.25000000
        -0.00094269492
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            556534.85000000
            USD
            490000.00000000
            EUR
            2020-09-16
            -5099.25000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        000000000
        
          
        
        475000.00000000
        PA
        
        602848.01000000
        0.111448106558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911365BG8
        
          
        
        39000.00000000
        PA
        USD
        39975.00000000
        0.007390151391
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMEREN ILLINOIS CO
        RC71E2BZ6UOMFPDJSE79
        Ameren Illinois Co
        02361DAU4
        
          
        
        81000.00000000
        PA
        USD
        89422.27000000
        0.016531434972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HASBRO INC
        549300NUB6D2R1ITYR45
        Hasbro Inc
        418056AZ0
        
          
        
        15000.00000000
        PA
        USD
        15620.24000000
        0.002887703273
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-19
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA, NA
        1IE8VN30JCEQV1H4R804
        BRW69FXE3 USD CALL MXN PUT JUL20 24 CALL
        000000000
        
          
        
        -1952000.00000000
        OU
        Notional Amount
        USD
        -16545.15000000
        -0.00305869076
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC BANK USA, NA
              1IE8VN30JCEQV1H4R804
            
            Call
            Written
            
              
                
                  
                    HSBC BANK USA, NA
                    1IE8VN30JCEQV1H4R804
                  
                  
                    HSBC BANK USA, NA
                    1IE8VN30JCEQV1H4R804
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -16545.15000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1952000.00000000
                  USD
                  46848000.00000000
                  MXN
                  2020-07-27
                
              
            
            1.00000000
            24.00000000
            USD
            2020-07-27
            XXXX
            983.81000000
          
        
        
          N
          N
          N
        
      
      
        Texas Instruments Inc
        WDJNR2L6D8RWOEB8T652
        Texas Instruments Inc
        882508104
        
          
        
        521.00000000
        NS
        USD
        66151.37000000
        0.012229359325
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBK1
        
          
        
        95000.00000000
        PA
        USD
        98668.76000000
        0.018240827366
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-22
          Fixed
          2.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERPUBLIC GROUP COS
        5493008IUOJ5VWTRC333
        Interpublic Group of Cos Inc/The
        460690BN9
        
          
        
        10000.00000000
        PA
        USD
        10367.70000000
        0.001916669732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-10-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IHS Markit Ltd
        549300HLPTRASHS0E726
        IHS Markit Ltd
        44962LAC1
        
          
        
        6000.00000000
        PA
        USD
        6588.00000000
        0.001217919133
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2026-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        254900HROIFWPRGM1V77
        Freddie Mac Gold Pool
        3132JNVH7
        
          
        
        8914.11000000
        PA
        USD
        9924.90000000
        0.001834809594
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investments Partners 36, Ltd.
        549300S890TBOLY1D042
        Octagon Investment Partners 36 Ltd
        67591UAC1
        
          
        
        750000.00000000
        PA
        USD
        730296.45000000
        0.135009414029
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          2.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        000000000
        
          
        
        270000.00000000
        PA
        
        344243.25000000
        0.063640018332
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-19
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J6EL7
        
          
        
        43257.89000000
        PA
        USD
        47695.47000000
        0.008817429492
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FirstEnergy Corp
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AC1
        
          
        
        98000.00000000
        PA
        USD
        143125.39000000
        0.026459494684
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-11-15
          Fixed
          7.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        000000000
        
          
        
        1870000.00000000
        PA
        USD
        2006977.50000000
        0.371028581947
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2030-10-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9606.25000000
        -0.00177590098
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            880000.00000000
            USD
            62468472.00000000
            RUB
            2020-09-16
            -9606.25000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J5XZ7
        
          
        
        12330.76000000
        PA
        USD
        12927.97000000
        0.002389985127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419ADT1
        
          
        
        8905.21000000
        PA
        USD
        9767.51000000
        0.001805713010
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        107140.06000000
        0.019806910905
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -112.15000000
        -0.00002073309
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            95296.69000000
            USD
            359962762.80000000
            COP
            2020-09-16
            -112.15000000
          
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BP6
        
          
        
        23000.00000000
        PA
        USD
        27879.93000000
        0.005154143926
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-15
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ETS31
        
          
        
        3728.81000000
        PA
        USD
        4152.93000000
        0.000767749378
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        720000.00000000
        PA
        
        1021416.42000000
        0.188828567280
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2048-03-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416VXQ2
        
          
        
        10791.99000000
        PA
        USD
        11588.36000000
        0.002142332327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: IFS 3.343500 15-APR-2030
        000000000
        
          
        
        1710000.00000000
        OU
        Notional Amount
        
        7913.41000000
        0.001462946789
        N/A
        DO
        
        GB
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
            
              
                
              
            
            2030-04-15
            69.77000000
            GBP
            0.00000000
            GBP
            1710000.00000000
            GBP
            7826.92000000
          
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN FIN SERV NV
        529900ZTQC8D1TW6BL41
        Volkswagen Financial Services NV
        000000000
        
          
        
        200000.00000000
        PA
        
        246065.55000000
        0.045489972898
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-02-10
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        549300TJB5YBRUPOG437
        Dell International LLC / EMC Corp
        25272KAK9
        
          
        
        286000.00000000
        PA
        USD
        327891.95000000
        0.060617164487
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36180DSX6
        
          
        
        9951.70000000
        PA
        USD
        10554.71000000
        0.001951242146
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AT5
        
          
        
        110000.00000000
        PA
        USD
        121749.09000000
        0.022507672465
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vistra Operations Co LLC
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAA0
        
          
        
        24000.00000000
        PA
        USD
        24490.56000000
        0.004527553372
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5.12000000
        -0.00000094653
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            273951.01000000
            USD
            20860000.00000000
            INR
            2020-09-16
            -5.12000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q83N3
        
          
        
        523731.84000000
        PA
        USD
        581297.15000000
        0.107464013549
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HASBRO INC
        549300NUB6D2R1ITYR45
        Hasbro Inc
        418056AW7
        
          
        
        40000.00000000
        PA
        USD
        41397.31000000
        0.007653092885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-19
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -5981.50000000
        -0.00110579588
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            15163000.00000000
            CNY
            2130026.73000000
            USD
            2020-09-16
            -5981.50000000
          
        
        
          N
          N
          N
        
      
      
        GIVAUDAN FIN EUROPE
        213800MGRS1DZVKTKA03
        Givaudan Finance Europe BV
        000000000
        
          
        
        100000.00000000
        PA
        
        116336.44000000
        0.021507039496
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-04-22
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.054500 18-JUN-2028
        000000000
        
          
        
        1410000.00000000
        OU
        Notional Amount
        USD
        -266087.75000000
        -0.04919146355
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2028-06-19
            9046.33000000
            USD
            0.00000000
            USD
            1410000.00000000
            USD
            -275134.08000000
          
        
        
          N
          N
          N
        
      
      
        Level 3 Financing Inc
        N/A
        Level 3 Financing Inc
        527298BK8
        
          
        
        748000.00000000
        PA
        USD
        753610.00000000
        0.139319374353
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -1094.42000000
        -0.00020232469
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            133276000.00000000
            KRW
            110000.00000000
            USD
            2020-07-15
            -1094.42000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1349.48000000
        -0.00024947746
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            486000.00000000
            USD
            2635578.00000000
            BRL
            2020-07-02
            -1349.48000000
          
        
        
          N
          N
          N
        
      
      
        Raytheon Technologies Corp
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513E101
        
          
        
        1398.00000000
        NS
        USD
        86144.76000000
        0.015925523900
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        90DAY EUR FUTR  SEP21 XCME 20210913
        000000000
        
          
        
        -65.00000000
        NC
        USD
        -482686.95000000
        -0.08923401213
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                Eurodollar Time Deposit
                EDU1 Comdty
              
            
            2021-09-13
            -15738875.55000000
            USD
            -482686.95000000
          
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BT5
        
          
        
        277000.00000000
        PA
        USD
        320024.36000000
        0.059162688410
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807102
        
          
        
        100.00000000
        NS
        USD
        30744.00000000
        0.005683622623
        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
        55303XAJ4
        
          
        
        18000.00000000
        PA
        USD
        18450.00000000
        0.003410839103
        Long
        DBT
        
        US
        N
        
        2
        
          2027-02-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UnitedHealth Group Inc
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDF6
        
          
        
        89000.00000000
        PA
        USD
        106200.34000000
        0.019633185500
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ENWR6
        
          
        
        17154.49000000
        PA
        USD
        19352.92000000
        0.003577761317
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.850000 21-FEB-2029
        000000000
        
          
        
        2640000.00000000
        OU
        Notional Amount
        USD
        -543291.78000000
        -0.10043798633
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2029-02-21
            0.00000000
            USD
            -47.13000000
            USD
            2640000.00000000
            USD
            -543244.65000000
          
        
        
          N
          N
          N
        
      
      
        FedEx Corp
        549300E707U7WNPZN687
        FedEx Corp
        31428XBG0
        
          
        
        27000.00000000
        PA
        USD
        29109.56000000
        0.005381464798
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-04-01
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.340000 25-OCT-2029
        000000000
        
          
        
        10653000.00000000
        OU
        Notional Amount
        USD
        -1728195.57000000
        -0.31949035386
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2029-10-25
            0.00000000
            USD
            -205.80000000
            USD
            10653000.00000000
            USD
            -1727989.77000000
          
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI FINL GRP
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        86562MAN0
        
          
        
        73000.00000000
        PA
        USD
        81044.46000000
        0.014982634866
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-01-11
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        Royal Bank of Canada
        000000000
        
          
        
        200000.00000000
        PA
        
        222835.34000000
        0.041195419583
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-07-23
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANZ FINANCE II B.V.
        529900C9NVPTCPDI1D65
        Allianz Finance II BV
        000000000
        
          
        
        100000.00000000
        PA
        
        118882.58000000
        0.021977742688
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-02-14
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.100000 06-SEP-2028
        000000000
        
          
        
        1641000.00000000
        OU
        Notional Amount
        USD
        357903.55000000
        0.066165388814
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2028-09-06
            28.50000000
            USD
            0.00000000
            USD
            1641000.00000000
            USD
            357875.05000000
          
        
        
          N
          N
          N
        
      
      
        Nyse Euronext - Euronext Paris
        549300HIIRNTNKXV3M12
        STMICROELECTRONICS NV SEP20 29 CALL
        000000000
        
          
        
        -20.00000000
        NC
        
        -1033.62000000
        -0.00019108463
        N/A
        DE
        
        NL
        
        N
        
        1
        
          
            
              Nyse Euronext - Euronext Paris
              549300HIIRNTNKXV3M12
            
            Call
            Written
            
              
                STMicroelectronics NV
                STMicroelectronics NV
                
                  
                
              
            
            100.00000000
            29.00000000
            EUR
            2020-09-18
            XXXX
            186.44000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        2278.86000000
        0.000421291317
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            7964040.00000000
            RUB
            114000.00000000
            USD
            2020-07-15
            2278.86000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: MXN 6.590000 08-NOV-2024
        000000000
        
          
        
        17860194.00000000
        OU
        Notional Amount
        
        58236.76000000
        0.010766190692
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                MXN - 28D Mexican Interbank Rate (TIIE)
                MXIBTIIE Index
              
            
            Y
            
            
              
                
              
            
            2024-11-08
            284.75000000
            MXN
            0.00000000
            MXN
            17860194.00000000
            MXN
            58222.28000000
          
        
        
          N
          N
          N
        
      
      
        VEOLIA ENVIRONNEMENT SA
        969500LENY69X51OOT31
        Veolia Environnement SA
        000000000
        
          
        
        200000.00000000
        PA
        
        229228.52000000
        0.042377322474
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-01-14
          Fixed
          0.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -225.79000000
        -0.00004174164
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            67748.52000000
            USD
            60000.00000000
            EUR
            2020-09-16
            -225.79000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        INTEL CORP SEP20 75 CALL
        000000000
        
          
        
        -5.00000000
        NC
        USD
        -107.50000000
        -0.00001987345
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Intel Corp
                Intel Corp
                
                  
                  
                
              
            
            100.00000000
            75.00000000
            USD
            2020-09-18
            XXXX
            382.54000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        7040.80000000
        0.001301627965
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            629794.90000000
            GBP
            700000.00000000
            EUR
            2020-09-16
            7040.80000000
          
        
        
          N
          N
          N
        
      
      
        BMW FINANCE NV
        5299006ZHG3IXU0PNJ56
        BMW Finance NV
        000000000
        
          
        
        35000.00000000
        PA
        
        38938.30000000
        0.007198497358
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-03-24
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP /  CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAP4
        
          
        
        600000.00000000
        PA
        USD
        640917.03000000
        0.118485900707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2016-DC2 Mortgage Trust
        12594CBJ8
        
          
        
        100000.00000000
        PA
        USD
        101847.06000000
        0.018828397551
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-10
          Variable
          4.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        SWAP/SWAP/SWP: OIS 5.130000 02-JAN-2023
        000000000
        
          
        
        6048413.00000000
        OU
        Notional Amount
        
        36246.43000000
        0.006700853160
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            
              
                BRL - 1D Overnight Brazil Interbank Deposit (CETIP)
                BZDIOVRA Index
              
            
            Y
            
            
              
                
              
            
            2023-01-03
            0.00000000
            BRL
            0.00000000
            BRL
            6048413.00000000
            BRL
            36246.43000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.260000 25-OCT-2024
        000000000
        
          
        
        10653000.00000000
        OU
        Notional Amount
        USD
        927821.76000000
        0.171525785372
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2024-10-25
            167.94000000
            USD
            0.00000000
            USD
            10653000.00000000
            USD
            927653.82000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132XCRX5
        
          
        
        237235.78000000
        PA
        USD
        262350.20000000
        0.048500505202
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Dynamics Corp
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550BC1
        
          
        
        61000.00000000
        PA
        USD
        71135.58000000
        0.013150786878
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Australia and New Zealand Banking Group Limited
        JHE42UYNWWTJB8YTTU19
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        134840.21000000
        0.024927819024
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Australia and New Zealand Banking Group Limited
              JHE42UYNWWTJB8YTTU19
            
            2286201257.00000000
            JPY
            21329648.00000000
            USD
            2020-09-16
            134840.21000000
          
        
        
          N
          N
          N
        
      
      
        Telefonica Europe BV
        7245007FZS0M65WUGP67
        Telefonica Europe BV
        000000000
        
          
        
        200000.00000000
        PA
        
        231440.91000000
        0.042786325527
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-12-14
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT
        4BFD7AQU0A75QLAHK410
        Canadian Government Bond
        135087YQ1
        
          
        
        280000.00000000
        PA
        
        325959.93000000
        0.060259993248
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2041-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -87067.48000000
        -0.01609610652
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            2708000.00000000
            USD
            60852811.17000000
            MXN
            2020-09-17
            -87067.48000000
          
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAT8
        
          
        
        82000.00000000
        PA
        USD
        86510.00000000
        0.015993045574
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NVIDIA Corp
        549300S4KLFTLO7GSQ80
        NVIDIA Corp
        67066GAE4
        
          
        
        165000.00000000
        PA
        USD
        186898.72000000
        0.034551840790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-16
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DC1
        
          
        
        60000.00000000
        PA
        USD
        61190.41000000
        0.011312229983
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-03-09
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRYKER CORP
        5493002F0SC4JTBU5137
        Stryker Corp
        000000000
        
          
        
        100000.00000000
        PA
        
        110510.34000000
        0.020429972304
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZURICH FINANCE IRELAND
        549300E0FVHYR37EGX65
        Zurich Finance Ireland Designated Activity Co
        000000000
        
          
        
        200000.00000000
        PA
        
        248738.09000000
        0.045984043572
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2039-06-17
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMPRESAS PUBLIC MEDELLIN
        549300SU25TO8EMXB434
        Empresas Publicas de Medellin ESP
        29246BAE8
        
          
        
        432000.00000000
        PA
        USD
        431595.00000000
        0.079788677663
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2029-07-18
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aon Corp
        LTS3U8DGK38SETRUWX71
        Aon Corp
        037389BB8
        
          
        
        75000.00000000
        PA
        USD
        89234.68000000
        0.016496755335
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -1504.23000000
        -0.00027808598
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            2814850.00000000
            TWD
            95000.00000000
            USD
            2020-08-26
            -1504.23000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J75N1
        
          
        
        25292.28000000
        PA
        USD
        26885.24000000
        0.004970256254
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140F1UF7
        
          
        
        66136.55000000
        PA
        USD
        72965.91000000
        0.013489158756
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAD4
        
          
        
        341000.00000000
        PA
        USD
        357829.96000000
        0.066151784281
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW4ZLDC2 JUL20 WDC US CALL JUL20 47.5 CALL
        000000000
        
          
        
        -1750.00000000
        NC
        USD
        -1373.75000000
        -0.00025396423
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                Western Digital Corp
                Western Digital Corp
                
                  
                  
                
              
            
            1.00000000
            47.50000000
            USD
            2020-07-17
            XXXX
            639.98000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        259050000.00000000
        PA
        
        2483353.23000000
        0.459095843077
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2048-06-20
          Fixed
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780CT1
        
          
        
        200000.00000000
        PA
        USD
        222500.00000000
        0.041133425503
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2050-10-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: CHF -0.657500 09-MAY-2023
        000000000
        
          
        
        1758000.00000000
        OU
        Notional Amount
        
        -1458.01000000
        -0.00026954132
        N/A
        DIR
        
        CH
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CHF - 6M Swiss Franc LIBOR Rate BBA (SF0006M)
                SF0006M Index
              
            
            Y
            
            
              
                
              
            
            2023-05-09
            30.33000000
            CHF
            0.00000000
            CHF
            1758000.00000000
            CHF
            -1489.21000000
          
        
        
          N
          N
          N
        
      
      
        DAVITA INC
        M2XHYMU3TZNEZURC6H66
        DaVita Inc
        23918KAS7
        
          
        
        1050000.00000000
        PA
        USD
        1044960.00000000
        0.193181053096
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9U68
        
          
        
        35108.51000000
        PA
        USD
        37889.73000000
        0.007004648927
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VanEck Vectors Semiconductor ETF
        549300MJTG2N9QRH7I02
        VanEck Vectors Semiconductor ETF
        92189F676
        
          
        
        1896.00000000
        NS
        USD
        289708.80000000
        0.053558271202
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST JUL20 281 CALL
        000000000
        
          
        
        -25.00000000
        NC
        USD
        -71662.50000000
        -0.01324819822
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            281.00000000
            USD
            2020-07-17
            XXXX
            -27927.70000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        254900HROIFWPRGM1V77
        Freddie Mac Gold Pool
        31335AGZ5
        
          
        
        21531.46000000
        PA
        USD
        24706.91000000
        0.004567549851
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        000000000
        
          
        
        160000.00000000
        PA
        
        173592.37000000
        0.032091904806
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-02-20
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Group AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        90352JAF0
        
          
        
        425000.00000000
        PA
        USD
        441468.75000000
        0.081614031191
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-01-31
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group Inc
        60687YBD0
        
          
        
        387000.00000000
        PA
        USD
        396916.52000000
        0.073377690366
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2026-05-25
          Fixed
          2.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CF4
        
          
        
        200000.00000000
        PA
        USD
        240312.81000000
        0.044426467719
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-03-31
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638DA7
        
          
        
        66000.00000000
        PA
        USD
        70702.50000000
        0.013070723670
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2030-06-20
          Fixed
          2.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP TRANSMISSION CO LLC
        549300X123Z1I0LA3Y84
        AEP Transmission Co LLC
        00115AAL3
        
          
        
        38000.00000000
        PA
        USD
        40909.70000000
        0.007562948751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-09-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132M9MM3
        
          
        
        5148.24000000
        PA
        USD
        5629.15000000
        0.001040657178
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTURYLINK INC
        8M3THTGWLTYZVE6BBY25
        CenturyLink Inc
        156700BC9
        
          
        
        29000.00000000
        PA
        USD
        28166.25000000
        0.005207075712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        FSWP: IFS 3.407500 15-DEC-2024
        000000000
        
          
        
        110000.00000000
        OU
        Notional Amount
        
        -3915.15000000
        -0.00072379114
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
              
                
              
            
            
            2024-12-16
            0.00000000
            GBP
            -3.97000000
            GBP
            110000.00000000
            GBP
            -3909.92000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828ZJ2
        
          
        
        2548568.94000000
        PA
        USD
        2669903.61000000
        0.493583286486
        Long
        DBT
        UST
        US
        N
        
        2
        
          2025-04-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: CHF -0.617500 07-JUN-2023
        000000000
        
          
        
        2729414.00000000
        OU
        Notional Amount
        
        -1264.84000000
        -0.00023383012
        N/A
        DIR
        
        CH
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CHF - 6M Swiss Franc LIBOR Rate BBA (SF0006M)
                SF0006M Index
              
            
            Y
            
            
              
                
              
            
            2023-06-07
            47.08000000
            CHF
            0.00000000
            CHF
            2729414.00000000
            CHF
            -1313.82000000
          
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBB8
        
          
        
        445000.00000000
        PA
        USD
        486553.76000000
        0.089948866698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-14
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM GROWTH/MGM FINANCE
        N/A
        MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
        55303XAK1
        
          
        
        70000.00000000
        PA
        USD
        68451.60000000
        0.012654601299
        Long
        DBT
        
        US
        N
        
        2
        
          2025-06-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUKOIL SECURITIES BV
        724500IVNQ6LF8OFIO42
        Lukoil Securities BV
        54988LAB2
        
          
        
        299000.00000000
        PA
        USD
        310892.73000000
        0.057474530107
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-05-06
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2016-1 B PTT
        N/A
        United Airlines 2016-1 Class B Pass Through Trust
        90933HAA3
        
          
        
        16574.08000000
        PA
        USD
        12229.79000000
        0.002260913060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-07
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEGLOBAL CANADA ULC
        635400MHHHT7LMKMQL03
        MEGlobal Canada ULC
        58518N2A9
        
          
        
        305000.00000000
        PA
        USD
        345221.88000000
        0.063820937002
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2030-05-18
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT SEP20 XCBT 20200921
        000000000
        
          
        
        -14.00000000
        NC
        USD
        -31812.81000000
        -0.00588121280
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Ultra Long Bond
                WNU0 Comdty
              
            
            2020-09-21
            -3022374.69000000
            USD
            -31812.81000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -22529.59000000
        -0.00416503016
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            705000.00000000
            USD
            15712969.50000000
            MXN
            2020-07-15
            -22529.59000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WKK61
        
          
        
        9077.08000000
        PA
        USD
        9650.27000000
        0.001784038930
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MAY6
        
          
        
        11563.97000000
        PA
        USD
        12751.35000000
        0.002357333506
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        BRW64A2Y9 SWAPTION AUG20 95 PUT
        000000000
        
          
        
        -1572000.00000000
        OU
        Notional Amount
        USD
        -3296.23000000
        -0.00060937182
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Put
            Written
            
              
                
                  
                    Intercontinental Exchange, Inc.
                    5493000F4ZO33MV32P92
                  
                  
                    Intercontinental Exchange, Inc.
                    5493000F4ZO33MV32P92
                    CDX Swap
                    N/A
                    
                      
                    
                    1572000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3296.23000000
                    0.00000000
                    DCR
                    
                    US
                  
                  
                    
                      Markit CDX.NA.IG.S34.V1
                      2I65BYDW2
                    
                  
                  
                  sell protection
                  2025-06-20
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1572000.00000000
                  USD
                
              
            
            1.00000000
            95.00000000
            USD
            2020-08-19
            XXXX
            280.07000000
          
        
        
          N
          N
          N
        
      
      
        RELX Capital Inc
        2R15C3RTKJN1RCBOV146
        RELX Capital Inc
        74949LAB8
        
          
        
        437000.00000000
        PA
        USD
        466008.47000000
        0.086150672740
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-03-16
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        FSWP: USD 2.730000 02-AUG-2029
        000000000
        
          
        
        4473000.00000000
        OU
        Notional Amount
        USD
        907423.96000000
        0.167754857791
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2029-08-02
            83.30000000
            USD
            0.00000000
            USD
            4473000.00000000
            USD
            907340.66000000
          
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT
        4BFD7AQU0A75QLAHK410
        Canadian Government Bond
        135087XW9
        
          
        
        90000.00000000
        PA
        
        109819.76000000
        0.020302305243
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2037-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAA3
        
          
        
        30000.00000000
        PA
        USD
        28725.00000000
        0.005310371449
        Long
        DBT
        
        US
        N
        
        2
        
          2026-12-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEXAS EASTERN TRANSMISSI
        549300SIOULUXXIDGA69
        Texas Eastern Transmission LP
        882384AD2
        
          
        
        215000.00000000
        PA
        USD
        228788.53000000
        0.042295981819
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hellenic Republic
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        136634.00000000
        PA
        
        183802.47000000
        0.033979439132
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2028-01-30
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Snam SpA
        8156002278562044AF79
        Snam SpA
        000000000
        
          
        
        8390.00000000
        NS
        
        40902.48000000
        0.007561613995
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        ENGIE SA
        LAXUQCHT4FH58LRZDY46
        Engie SA
        000000000
        
          
        
        400000.00000000
        PA
        
        514422.59000000
        0.095100958575
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2032-03-30
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        2020000.00000000
        PA
        
        290618.08000000
        0.053726369184
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2026-12-05
          Fixed
          3.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAWAG Group AG
        529900S9YO2JHTIIDG38
        BAWAG Group AG
        000000000
        
          
        
        100000.00000000
        PA
        
        109123.27000000
        0.020173545605
        Long
        DBT
        CORP
        AT
        N
        
        2
        
          2029-03-26
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        FINANCIAL SELECT SECTOR SPDR F JUL20 25 CALL
        000000000
        
          
        
        167.00000000
        NC
        USD
        2421.50000000
        0.000447661078
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                Financial Select Sector SPDR Fund
                Financial Select Sector SPDR Fund
                
                  
                  
                
              
            
            100.00000000
            25.00000000
            USD
            2020-07-17
            XXXX
            -7888.88000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER MEXICO
        SCRYQ25DTVRHYYMM6P89
        Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand
        05969BAD5
        
          
        
        550000.00000000
        PA
        USD
        601920.00000000
        0.111276545973
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2025-04-17
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WC7G2
        
          
        
        9608.74000000
        PA
        USD
        10254.23000000
        0.001895692610
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.705000 05-MAY-2026
        000000000
        
          
        
        92000.00000000
        OU
        Notional Amount
        USD
        -7258.95000000
        -0.00134195720
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2026-05-05
            0.00000000
            USD
            -1.09000000
            USD
            92000.00000000
            USD
            -7257.86000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J5W96
        
          
        
        17834.68000000
        PA
        USD
        19561.60000000
        0.003616339848
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: AUD 0.432500 16-MAY-2024
        000000000
        
          
        
        1437374.00000000
        OU
        Notional Amount
        
        806.55000000
        0.000149106356
        N/A
        DIR
        
        AU
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                AUD - 3M Australian Bank Bill Rate (BBSW)
                AU1303M Index
              
            
            Y
            
            
              
                
              
            
            2024-05-16
            27.38000000
            AUD
            0.00000000
            AUD
            1437374.00000000
            AUD
            788.34000000
          
        
        
          N
          N
          N
        
      
      
        Florida Power & Light Co
        A89MY1K3YLIGJMYWVX50
        Florida Power & Light Co
        341081FQ5
        
          
        
        157000.00000000
        PA
        USD
        197414.90000000
        0.036495959920
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        1900000.00000000
        PA
        
        270577.32000000
        0.050021447348
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2026-08-13
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        NASDAQ 100 E-MINI SEP20 XCME 20200918
        000000000
        
          
        
        -15.00000000
        NC
        USD
        -154361.25000000
        -0.02853666057
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                NASDAQ 100 Stock Index
                NQU0 Index
              
            
            2020-09-18
            -2889813.75000000
            USD
            -154361.25000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WGSM7
        
          
        
        15472.75000000
        PA
        USD
        16820.53000000
        0.003109600079
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Enel SpA
        WOCMU6HCI0OJWNPRZS33
        Enel SpA
        000000000
        
          
        
        209.00000000
        NS
        
        1807.52000000
        0.000334155007
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -49993.96000000
        -0.00924234979
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            1516000.00000000
            USD
            33752830.40000000
            MXN
            2020-07-15
            -49993.96000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAF8
        
          
        
        342000.00000000
        PA
        USD
        385356.83000000
        0.071240658242
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        5204000.00000000
        PA
        
        5959965.55000000
        1.101814826758
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2023-03-01
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CBAM CLO Management
        254900IPFC9SXD6VQ444
        CBAM 2019-10 Ltd
        12482NAA9
        
          
        
        1000000.00000000
        PA
        USD
        983707.00000000
        0.181857252142
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-04-20
          Floating
          2.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Grupo Bimbo SAB de CV
        5493000RIXURZEBFEV60
        Grupo Bimbo SAB de CV
        000000000
        
          
        
        200000.00000000
        PA
        USD
        209524.00000000
        0.038734561101
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2022-01-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Waste Management Inc
        549300YX8JIID70NFS41
        Waste Management Inc
        94106LBK4
        
          
        
        68000.00000000
        PA
        USD
        85264.10000000
        0.015762716878
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-07-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADANI ELECTRICITY MUMBAI
        335800AIC1B5EBFVUC38
        Adani Electricity Mumbai Ltd
        00654GAA1
        
          
        
        672000.00000000
        PA
        USD
        626430.00000000
        0.115807693204
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2030-02-12
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GEE5
        
          
        
        50000.00000000
        PA
        USD
        51336.38000000
        0.009490522077
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-01-05
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON INGALLS INDUS
        5TZLZ6WJTBVJ0QWBG121
        Huntington Ingalls Industries Inc
        446413AP1
        
          
        
        179000.00000000
        PA
        USD
        199457.07000000
        0.036873494516
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DTE Electric Co
        9N0FWODEJVKHC2DYLO03
        DTE Electric Co
        23338VAJ5
        
          
        
        59000.00000000
        PA
        USD
        71786.99000000
        0.013271212607
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-03-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Analog Devices Inc
        GYVOE5EZ4GDAVTU4CQ61
        Analog Devices Inc
        032654AK1
        
          
        
        5000.00000000
        PA
        USD
        6728.82000000
        0.001243952432
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-12-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Schaeffler AG
        549300Q7E782X7GC1P43
        Schaeffler AG
        000000000
        
          
        
        10000.00000000
        PA
        
        10876.60000000
        0.002010749734
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-03-26
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMBOTELLADORA ANDINA SA
        254900NNPKP1J9XTSA53
        Embotelladora Andina SA
        29081PAF2
        
          
        
        436000.00000000
        PA
        USD
        438398.00000000
        0.081046343702
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2050-01-21
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8MD4
        
          
        
        179123.29000000
        PA
        USD
        194875.61000000
        0.036026523084
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/SWP: IFS 1.664000 03-MAR-2030
        000000000
        
          
        
        660000.00000000
        OU
        Notional Amount
        USD
        -15906.85000000
        -0.00294068867
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                USD - US CPI Urban Consumers NAS (CPURNSA)
                CPURNSA Index
              
            
            Y
            
              
                
              
            
            
            2030-03-04
            0.00000000
            USD
            -26.93000000
            USD
            660000.00000000
            USD
            -15879.92000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.165000 20-NOV-2028
        000000000
        
          
        
        1155000.00000000
        OU
        Notional Amount
        USD
        255232.89000000
        0.047184732884
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2028-11-20
            20.53000000
            USD
            0.00000000
            USD
            1155000.00000000
            USD
            255212.36000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        EUR/NOK One-touch barrier option; Barrier price EUR 10.50000
        000000000
        
          
        
        -10639.00000000
        OU
        Notional Amount
        
        -9021.12000000
        -0.00166772839
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    EUR/NOK One-touch barrier option; Barrier price EUR 10.50000
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    -9021.12000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  10639.00000000
                  EUR
                  111709.50000000
                  NOK
                  2020-09-10
                
              
            
            1.00000000
            10.50000000
            EUR
            2020-09-10
            XXXX
            -2483.27000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        CDS: (CMBX.NA.9.BBB-)
        000000000
        
          
        
        265000.00000000
        OU
        Notional Amount
        USD
        -51385.15000000
        -0.00949953815
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            
            sell protection
            2058-09-18
            0.00000000
            USD
            -1085.70000000
            USD
            265000.00000000
            USD
            -50299.45000000
          
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        232000.00000000
        PA
        
        390365.83000000
        0.072166668707
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2044-09-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRG Energy Inc
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CL4
        
          
        
        40000.00000000
        PA
        USD
        41982.20000000
        0.007761221106
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO BANK NA
        KB1H1DSPRFMYMCUFXT09
        Wells Fargo Bank NA
        94988J6A0
        
          
        
        250000.00000000
        PA
        USD
        254033.39000000
        0.046962982125
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-09
          Fixed
          2.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7S63
        
          
        
        17685.34000000
        PA
        USD
        18761.67000000
        0.003468457327
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Telstra Corp Ltd
        PCTXNQGRJVR3OG33JG65
        Telstra Corp Ltd
        000000000
        
          
        
        100000.00000000
        PA
        
        120427.92000000
        0.022263428655
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2022-09-21
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        266450.00000000
        PA
        
        376231.20000000
        0.069553609156
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2050-05-25
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        9420000.00000000
        PA
        
        1352817.46000000
        0.250094454879
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2029-11-21
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDY7
        
          
        
        2051000.00000000
        PA
        USD
        2419207.19000000
        0.447237207762
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-16
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJEP9
        
          
        
        17712.14000000
        PA
        USD
        18809.32000000
        0.003477266350
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416WYL0
        
          
        
        62355.44000000
        PA
        USD
        68793.78000000
        0.012717859886
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -16995.95000000
        -0.00314202985
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            479000.00000000
            USD
            10637026.07000000
            MXN
            2020-07-15
            -16995.95000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FGPR4
        
          
        
        6191.58000000
        PA
        USD
        6764.91000000
        0.001250624366
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWP: CAD 1.907500 09-JUL-2021
        000000000
        
          
        
        9280000.00000000
        OU
        Notional Amount
        
        111189.97000000
        0.020555615045
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CAD - 3M Canadian Bankers Acceptances (BA)
                CDOR03 Index
              
            
            Y
            
            
              
                
              
            
            2021-07-09
            91.63000000
            CAD
            0.00000000
            CAD
            9280000.00000000
            CAD
            111118.27000000
          
        
        
          N
          N
          N
        
      
      
        SIGMA FINANCE NL
        549300K5R8C331KIC659
        Sigma Finance Netherlands BV
        8265QNAA0
        
          
        
        269000.00000000
        PA
        USD
        289343.13000000
        0.053490670034
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-03-27
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        617446448
        
          
        
        800.00000000
        NS
        USD
        38640.00000000
        0.007143350837
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAU4
        
          
        
        10000.00000000
        PA
        USD
        11382.02000000
        0.002104186389
        Long
        DBT
        
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WPP FINANCE SA
        549300KWN0W6L03WNN80
        WPP Finance SA
        000000000
        
          
        
        420000.00000000
        PA
        
        484383.18000000
        0.089547593032
        Long
        DBT
        CORP
        FR
        
        N
        
        2
        
          2027-05-19
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        AUST 10Y BOND FUT SEP20 XSFE 20200915
        000000000
        
          
        
        32.00000000
        NC
        
        9936.34000000
        0.001836924499
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                10 Year Commonwealth Treasury Bond
                XMU0 Comdty
              
            
            2020-09-15
            4746829.44000000
            AUD
            9936.34000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1003.97000000
        -0.00018560325
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            147303.21000000
            USD
            130000.00000000
            EUR
            2020-09-16
            -1003.97000000
          
        
        
          N
          N
          N
        
      
      
        AEP Texas Inc
        5493001L78U618KXNZ75
        AEP Texas Inc
        00108WAJ9
        
          
        
        27000.00000000
        PA
        USD
        31910.22000000
        0.005899220931
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-05-01
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENCENT HOLDINGS LTD
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032WAV8
        
          
        
        655000.00000000
        PA
        USD
        661084.95000000
        0.122214330526
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2050-06-03
          Fixed
          3.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        eBay Inc
        OML71K8X303XQONU6T67
        eBay Inc
        278642103
        
          
        
        800.00000000
        NS
        USD
        41960.00000000
        0.007757117007
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        592.54000000
        0.000109542471
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            95275.39000000
            USD
            7300000.00000000
            INR
            2020-09-16
            592.54000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36197MRS9
        
          
        
        25116.38000000
        PA
        USD
        28114.34000000
        0.005197479145
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Dynamics Corp
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550AX6
        
          
        
        292000.00000000
        PA
        USD
        312264.52000000
        0.057728132003
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITAU UNIBANCO HLDG SA/KY
        5493002W2IVG62O3ZJ94
        Itau Unibanco Holding SA/Cayman Island
        46556JAA7
        
          
        
        455000.00000000
        PA
        USD
        448743.75000000
        0.082958955553
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2023-01-24
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BU9
        
          
        
        33000.00000000
        PA
        USD
        39043.33000000
        0.007217914184
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EW4P7
        
          
        
        1715.40000000
        PA
        USD
        1824.01000000
        0.000337203503
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIELSEN CO LUX SARL/THE
        549300MFMRJBOPHHM352
        Nielsen Co Luxembourg SARL/The
        65410CAC4
        
          
        
        11000.00000000
        PA
        USD
        10807.50000000
        0.001997975263
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2025-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        ISHARES RUSSELL 2000 ETF AUG20 145 CALL
        000000000
        
          
        
        85.00000000
        NC
        USD
        54230.00000000
        0.010025463663
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                iShares Russell 2000 ETF
                iShares Russell 2000 ETF
                
                  
                  
                
              
            
            100.00000000
            145.00000000
            USD
            2020-08-21
            XXXX
            2614.70000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36213FZ22
        
          
        
        5797.22000000
        PA
        USD
        6191.27000000
        0.001144575925
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J6DA2
        
          
        
        1273.84000000
        PA
        USD
        1351.88000000
        0.000249921147
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        SWAP/CDSWAP/ICE: (ITRAXX.EUR.33.V1)
        000000000
        
          
        
        2370000.00000000
        OU
        Notional Amount
        
        -45265.80000000
        -0.00836825803
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe S33.V1
                2I666VCW3
              
            
            Y
            buy protection
            
            2025-06-21
            10555.11000000
            EUR
            0.00000000
            EUR
            2370000.00000000
            EUR
            -56449.25000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.736510 25-MAY-2026
        000000000
        
          
        
        210000.00000000
        OU
        Notional Amount
        USD
        -16999.51000000
        -0.00314268799
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2026-05-26
            0.00000000
            USD
            0.00000000
            USD
            210000.00000000
            USD
            -16999.51000000
          
        
        
          N
          N
          N
        
      
      
        Consumers Energy Co
        7NKTFWJ1G6MELP9TU740
        Consumers Energy Co
        210518CV6
        
          
        
        2000.00000000
        PA
        USD
        2152.31000000
        0.000397896103
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANALOG DEVICES INC
        GYVOE5EZ4GDAVTU4CQ61
        Analog Devices Inc
        032654AS4
        
          
        
        15000.00000000
        PA
        USD
        16249.88000000
        0.003004104397
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J57D5
        
          
        
        289132.34000000
        PA
        USD
        310529.34000000
        0.057407350442
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        SWAP/SWAP/FSWP: THB 0.662000 16-SEP-2025
        000000000
        
          
        
        7460000.00000000
        OU
        Notional Amount
        
        -1440.40000000
        -0.00026628578
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            
              
                THB - 6M Thailand Fixing Rate (BOFX6M)
                BOFX6M Index
              
            
            Y
            
            
              
                
              
            
            2025-09-16
            0.00000000
            THB
            0.00000000
            THB
            7460000.00000000
            THB
            -1440.40000000
          
        
        
          N
          N
          N
        
      
      
        Republic Services Inc
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759AT7
        
          
        
        159000.00000000
        PA
        USD
        185678.67000000
        0.034326290966
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9YZ0
        
          
        
        22865.71000000
        PA
        USD
        24675.46000000
        0.004561735710
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P RETAIL ETF SEP20 42 PUT
        000000000
        
          
        
        43.00000000
        NC
        USD
        11717.50000000
        0.002166206352
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                SPDR S&P Retail ETF
                SPDR S&P Retail ETF
                
                  
                  
                
              
            
            100.00000000
            42.00000000
            USD
            2020-09-18
            XXXX
            1731.23000000
          
        
        
          N
          N
          N
        
      
      
        Westpac Banking Corporation
        EN5TNI6CI43VEPAMHL14
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -45795.34000000
        -0.00846615373
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Westpac Banking Corporation
              EN5TNI6CI43VEPAMHL14
            
            5600000.00000000
            EUR
            5046854.40000000
            GBP
            2020-09-16
            -45795.34000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GHT6
        
          
        
        219261.37000000
        PA
        USD
        234975.03000000
        0.043439675917
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CL2
        
          
        
        143000.00000000
        PA
        USD
        148378.85000000
        0.027430698304
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTI-GUMMI FINANCE B.V.
        7245005XLGUQL4UWDV24
        Conti-Gummi Finance BV
        000000000
        
          
        
        100000.00000000
        PA
        
        112094.47000000
        0.020722829353
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-09-25
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Waste Management Inc
        549300YX8JIID70NFS41
        Waste Management Inc
        94106LBE8
        
          
        
        131000.00000000
        PA
        USD
        146640.60000000
        0.027109349194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJNK0
        
          
        
        45878.62000000
        PA
        USD
        50350.58000000
        0.009308277894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BP0
        
          
        
        31000.00000000
        PA
        USD
        34453.39000000
        0.006369375060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Industrial Select Sector SPDR Fund
        549300HQI51T8KP6U325
        Industrial Select Sector SPDR Fund
        81369Y704
        
          
        
        6585.00000000
        NS
        USD
        452389.50000000
        0.083632942906
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        2747000.00000000
        PA
        USD
        3138447.50000000
        0.580202680618
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2028-11-01
          Fixed
          9.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        YUM! BRANDS INC
        549300JE8XHZZ7OHN517
        Yum! Brands Inc
        988498AL5
        
          
        
        18000.00000000
        PA
        USD
        18270.00000000
        0.003377562624
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6328.85000000
        -0.00117001024
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            607000.00000000
            USD
            3266509.80000000
            BRL
            2020-07-02
            -6328.85000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        10320.08000000
        0.001907866255
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            13740000.00000000
            ZAR
            795969.61000000
            USD
            2020-09-16
            10320.08000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        STARBUCKS CORP AUG20 92.5 CALL
        000000000
        
          
        
        -4.00000000
        NC
        USD
        -80.00000000
        -0.00001478954
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Starbucks Corp
                Starbucks Corp
                
                  
                  
                
              
            
            100.00000000
            92.50000000
            USD
            2020-08-21
            XXXX
            272.03000000
          
        
        
          N
          N
          N
        
      
      
        INTERPUBLIC GROUP COS
        5493008IUOJ5VWTRC333
        Interpublic Group of Cos Inc/The
        460690BM1
        
          
        
        40000.00000000
        PA
        USD
        40265.02000000
        0.007443767193
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2020-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505FL3
        
          
        
        85000.00000000
        PA
        USD
        86831.22000000
        0.016052429299
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UnitedHealth Group Inc
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PBW1
        
          
        
        10000.00000000
        PA
        USD
        12782.51000000
        0.002363094035
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397XU2
        
          
        
        400000.00000000
        PA
        USD
        380872.00000000
        0.070411550734
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-08
          Fixed
          4.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264AAY1
        
          
        
        100000.00000000
        PA
        USD
        119023.00000000
        0.022003702039
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TITULOS DE TESORERIA
        549300MHDRBVRF6B9117
        Colombian TES
        000000000
        
          
        
        5875900000.00000000
        PA
        
        1615434.70000000
        0.298644327586
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2034-10-18
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST JUL20 300 CALL
        000000000
        
          
        
        51.00000000
        NC
        USD
        63775.50000000
        0.011790133834
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            300.00000000
            USD
            2020-07-17
            XXXX
            37156.05000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRTW17101 SWAPTION AUG20 1.88 PUT
        000000000
        
          
        
        -21242052.00000000
        OU
        Notional Amount
        USD
        -0.21000000
        -0.00000003882
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    21242052.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.21000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2022-08-17
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  21242052.00000000
                  USD
                
              
            
            1.00000000
            1.88000000
            USD
            2020-08-13
            XXXX
            40626.00000000
          
        
        
          N
          N
          N
        
      
      
        Bausch Health Cos Inc
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        91911KAP7
        
          
        
        35000.00000000
        PA
        USD
        37702.35000000
        0.006970008112
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2025-12-15
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132XCRW7
        
          
        
        148677.74000000
        PA
        USD
        161257.38000000
        0.029811543492
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YDC0
        
          
        
        18000.00000000
        PA
        USD
        19971.28000000
        0.003692077114
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Motor Credit Corp
        Z2VZBHUMB7PWWJ63I008
        Toyota Motor Credit Corp
        89236TDW2
        
          
        
        64000.00000000
        PA
        USD
        68747.43000000
        0.012709291193
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-17
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        13053.72000000
        0.002413232445
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1157299200.00000000
            COP
            320000.00000000
            USD
            2020-08-10
            13053.72000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468P7
        
          
        
        980000.00000000
        PA
        USD
        1119526.39000000
        0.206966091515
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW4RZRH4 USD CALL TWD PUT NOV20 30 CALL
        000000000
        
          
        
        2234000.00000000
        OU
        Notional Amount
        USD
        7104.12000000
        0.001313333891
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    7104.12000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  67020000.00000000
                  TWD
                  2234000.00000000
                  USD
                  2020-11-03
                
              
            
            1.00000000
            30.00000000
            USD
            2020-11-03
            XXXX
            -11974.24000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA, NA
        1IE8VN30JCEQV1H4R804
        BRW69FX52 USD PUT MXN CALL JUL20 22.6 PUT
        000000000
        
          
        
        1952000.00000000
        OU
        Notional Amount
        USD
        21909.25000000
        0.004050348326
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC BANK USA, NA
              1IE8VN30JCEQV1H4R804
            
            Put
            Purchased
            
              
                
                  
                    HSBC BANK USA, NA
                    1IE8VN30JCEQV1H4R804
                  
                  
                    HSBC BANK USA, NA
                    1IE8VN30JCEQV1H4R804
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    21909.25000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1952000.00000000
                  USD
                  44115200.00000000
                  MXN
                  2020-07-27
                
              
            
            1.00000000
            22.60000000
            USD
            2020-07-27
            XXXX
            -6499.57000000
          
        
        
          N
          N
          N
        
      
      
        GLP CAPITAL LP / FIN II
        N/A
        GLP Capital LP / GLP Financing II Inc
        361841AP4
        
          
        
        154000.00000000
        PA
        USD
        152652.50000000
        0.028220765108
        Long
        DBT
        
        US
        N
        
        2
        
          2030-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAN1
        
          
        
        746000.00000000
        PA
        USD
        799703.53000000
        0.147840654274
        Long
        DBT
        
        US
        N
        
        2
        
          2029-11-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        168.30000000
        0.000031113507
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            80000.00000000
            EUR
            90198.60000000
            USD
            2020-09-16
            168.30000000
          
        
        
          N
          N
          N
        
      
      
        Union Pacific Corp
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818DY1
        
          
        
        686000.00000000
        PA
        USD
        754176.31000000
        0.139424067702
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERNOD RICARD SA
        52990097YFPX9J0H5D87
        Pernod Ricard SA
        000000000
        
          
        
        1200000.00000000
        PA
        
        1335744.81000000
        0.246938245544
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-10-24
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        APPLIED MATERIALS INC OCT20 72.5 CALL
        000000000
        
          
        
        -6.00000000
        NC
        USD
        -888.00000000
        -0.00016416396
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Applied Materials Inc
                Applied Materials Inc
                
                  
                  
                
              
            
            100.00000000
            72.50000000
            USD
            2020-10-16
            XXXX
            -167.95000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4039.15000000
        0.000746714946
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            323557.20000000
            GBP
            360000.00000000
            EUR
            2020-09-16
            4039.15000000
          
        
        
          N
          N
          N
        
      
      
        PROLOGIS EURO FINANCE
        549300MI5D1784PRQH06
        Prologis Euro Finance LLC
        000000000
        
          
        
        100000.00000000
        PA
        
        106962.78000000
        0.019774137270
        Long
        DBT
        
        US
        N
        
        2
        
          2049-09-10
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGICEL GROUP 0.5 LTD
        N/A
        Digicel Group 0.5 Ltd
        25381YAB7
        
          
        
        129469.00000000
        PA
        USD
        28483.18000000
        0.005265666348
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-04-01
          Fixed
          8.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Latam Finance Ltd
        549300HX3UUDPEFTG707
        Latam Finance Ltd
        51818KAB6
        
          
        
        200000.00000000
        PA
        USD
        54500.00000000
        0.010075378381
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-04-11
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Largo Resources Ltd
        549300DNLDBZOCZKIM08
        Largo Resources Ltd
        000000000
        
          
        
        10127.00000000
        NS
        
        6265.97000000
        0.001158385663
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBA3
        
          
        
        96000.00000000
        PA
        USD
        109348.55000000
        0.020215192967
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-29
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW4QNC47 USD PUT MXN CALL AUG20 24 PUT
        000000000
        
          
        
        1191000.00000000
        OU
        Notional Amount
        USD
        59557.15000000
        0.011010290304
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    59557.15000000
                    0.01000000
                    DFE
                    
                    XX
                  
                  28584000.00000000
                  MXN
                  1191000.00000000
                  USD
                  2020-08-06
                
              
            
            1.00000000
            24.00000000
            USD
            2020-08-06
            XXXX
            25373.07000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.956000 27-JUN-2029
        000000000
        
          
        
        2645000.00000000
        OU
        Notional Amount
        USD
        323675.80000000
        0.059837727669
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2029-06-27
            49.27000000
            USD
            0.00000000
            USD
            2645000.00000000
            USD
            323626.53000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5JRWV1 USD CALL KRW PUT JUL20 1240 CALL
        000000000
        
          
        
        -2125000.00000000
        OU
        Notional Amount
        USD
        -2.13000000
        -0.00000039377
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -2.13000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  2125000.00000000
                  USD
                  2635000000.00000000
                  KRW
                  2020-07-02
                
              
            
            1.00000000
            1240.00000000
            USD
            2020-07-02
            XXXX
            7832.75000000
          
        
        
          N
          N
          N
        
      
      
        TenneT Holding BV
        724500LTUWK3JQG63903
        TenneT Holding BV
        000000000
        
          
        
        100000.00000000
        PA
        
        121335.48000000
        0.022431208662
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2039-06-03
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        UBER TECHNOLOGIES INC SEP20 46 CALL
        000000000
        
          
        
        -9.00000000
        NC
        USD
        -292.50000000
        -0.00005407427
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Uber Technologies Inc
                Uber Technologies Inc
                
                  
                  
                
              
            
            100.00000000
            46.00000000
            USD
            2020-09-18
            XXXX
            643.57000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -23315.13000000
        -0.00431025241
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            707000.00000000
            USD
            15740930.80000000
            MXN
            2020-07-15
            -23315.13000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.717850 25-MAY-2026
        000000000
        
          
        
        220000.00000000
        OU
        Notional Amount
        USD
        -17568.31000000
        -0.00324784166
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2026-05-26
            0.00000000
            USD
            -2.62000000
            USD
            220000.00000000
            USD
            -17565.69000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -144732.62000000
        -0.02675662221
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            4529000.00000000
            USD
            100941899.10000000
            MXN
            2020-07-15
            -144732.62000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        BRW3Q7PX6 USD PUT RUB CALL JUL20 75 PUT
        000000000
        
          
        
        -6000000.00000000
        OU
        Notional Amount
        USD
        -315930.00000000
        -0.05840576682
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -315930.00000000
                    -0.06000000
                    DFE
                    
                    XX
                  
                  6000000.00000000
                  USD
                  450000000.00000000
                  RUB
                  2020-07-02
                
              
            
            1.00000000
            75.00000000
            USD
            2020-07-02
            XXXX
            -205381.51000000
          
        
        
          N
          N
          N
        
      
      
        PENSKE TRUCK LEASING/PTL
        549300ZX07JYMI8GHQ39
        Penske Truck Leasing Co Lp / PTL Finance Corp
        709599BB9
        
          
        
        4000.00000000
        PA
        USD
        4266.94000000
        0.000788826330
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FNHG2
        
          
        
        29764.60000000
        PA
        USD
        32838.23000000
        0.006070781516
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLIED MATERIALS INC
        41BNNE1AFPNAZELZ6K07
        Applied Materials Inc
        038222AP0
        
          
        
        41000.00000000
        PA
        USD
        41873.24000000
        0.007741077744
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GNL Quintero SA
        549300JJJIQXE6E1QY27
        GNL Quintero SA
        000000000
        
          
        
        200000.00000000
        PA
        USD
        214000.00000000
        0.039562036214
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2029-07-31
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        724500M9BY5293JDF951
        NXP BV / NXP Funding LLC
        62947QAV0
        
          
        
        206000.00000000
        PA
        USD
        225935.30000000
        0.041768507106
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2023-06-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2F9
        
          
        
        217000.00000000
        PA
        USD
        235292.32000000
        0.043498333106
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-17
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Uber Technologies Inc
        549300B2FTG34FILDR98
        Uber Technologies Inc
        90353T100
        
          
        
        900.00000000
        NS
        USD
        27972.00000000
        0.005171164845
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        000000000
        
          
        
        100000.00000000
        PA
        
        116655.88000000
        0.021566094155
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2029-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -50040.45000000
        -0.00925094436
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2318000.00000000
            USD
            161671459.80000000
            RUB
            2020-07-15
            -50040.45000000
          
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAB4
        
          
        
        136000.00000000
        PA
        USD
        154312.68000000
        0.028527681469
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2029-06-18
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nexa Resources SA
        549300QRMRHM7GAU7L47
        Nexa Resources SA
        91832CAA4
        
          
        
        200000.00000000
        PA
        USD
        193275.00000000
        0.035730619389
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2027-05-04
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCP5
        
          
        
        200000.00000000
        PA
        USD
        173780.00000000
        0.032126591838
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2029-01-23
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030470
        
          
        
        929000.00000000
        PA
        USD
        976466.09000000
        0.180518629975
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERM49
        
          
        
        9009.61000000
        PA
        USD
        9619.72000000
        0.001778391172
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8C78
        
          
        
        57460.88000000
        PA
        USD
        63025.87000000
        0.011651550240
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2017-500K
        36253XAN5
        
          
        
        120000.00000000
        PA
        USD
        116544.88000000
        0.021545573659
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-07-15
          Floating
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -41.83000000
        -0.00000773308
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            340000.00000000
            USD
            461456.50000000
            CAD
            2020-09-16
            -41.83000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        FSWP: USD 2.640000 26-JUL-2024
        000000000
        
          
        
        5230000.00000000
        OU
        Notional Amount
        USD
        551689.08000000
        0.101990389542
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2024-07-26
            77.24000000
            USD
            0.00000000
            USD
            5230000.00000000
            USD
            551611.84000000
          
        
        
          N
          N
          N
        
      
      
        CHENIERE CORP CHRISTI HD
        549300I7CIEWU1BBLQ53
        Cheniere Corpus Christi Holdings LLC
        16412XAD7
        
          
        
        355000.00000000
        PA
        USD
        403897.38000000
        0.074668237264
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-30
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        000000000
        
          
        
        290000.00000000
        PA
        
        340090.26000000
        0.062872257861
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2027-03-07
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11087.81000000
        -0.00204979598
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            455000.00000000
            USD
            2414038.90000000
            BRL
            2020-07-02
            -11087.81000000
          
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BM3
        
          
        
        470000.00000000
        PA
        USD
        508352.19000000
        0.093978727806
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED NOK / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -11834.85000000
        -0.00218790076
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            1854366.00000000
            CAD
            13031710.24000000
            NOK
            2020-09-16
            -11834.85000000
          
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        000000000
        
          
        
        565000.00000000
        PA
        
        622542.56000000
        0.115089024784
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-01-29
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.120000 30-OCT-2022
        000000000
        
          
        
        3500000.00000000
        OU
        Notional Amount
        USD
        162212.68000000
        0.029988149161
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2022-10-31
            0.00000000
            USD
            -2303.87000000
            USD
            3500000.00000000
            USD
            164516.55000000
          
        
        
          N
          N
          N
        
      
      
        HUNTINGTON INGALLS INDUS
        5TZLZ6WJTBVJ0QWBG121
        Huntington Ingalls Industries Inc
        446413AN6
        
          
        
        525000.00000000
        PA
        USD
        570057.96000000
        0.105386232046
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          3.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DH0
        
          
        
        25000.00000000
        PA
        USD
        28074.70000000
        0.005190150925
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        NORTHROP GRUMMAN CORP AUG20 370 CALL
        000000000
        
          
        
        -1.00000000
        NC
        USD
        -105.00000000
        -0.00001941127
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Northrop Grumman Corp
                Northrop Grumman Corp
                
                  
                  
                
              
            
            100.00000000
            370.00000000
            USD
            2020-08-21
            XXXX
            274.00000000
          
        
        
          N
          N
          N
        
      
      
        ATLAS COPCO FINANCE
        549300ZF2VKZ1G5T2U85
        Atlas Copco Finance DAC
        000000000
        
          
        
        275000.00000000
        PA
        
        299092.89000000
        0.055293101615
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2029-09-03
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        JPN 10Y BOND(OSE) SEP20 XOSE 20200914
        000000000
        
          
        
        1.00000000
        NC
        
        -744.13000000
        -0.00013756681
        N/A
        DIR
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Long
            
              
                Japan Government Ten Year Bond
                JBU0 Comdty
              
            
            2020-09-14
            152030347.00000000
            JPY
            -744.13000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5U3DA8 EURC USDP 1.1125 AUG20 1.1125 CALL
        000000000
        
          
        
        -880000.00000000
        OU
        Notional Amount
        
        -17860.50000000
        -0.00330185863
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    -17860.50000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  880000.00000000
                  EUR
                  979000.00000000
                  USD
                  2020-08-31
                
              
            
            1.00000000
            1.11250000
            EUR
            2020-08-31
            XXXX
            11704.21000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWM2
        
          
        
        50000.00000000
        PA
        USD
        51945.41000000
        0.009603113044
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-24
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST JUL20 310 CALL
        000000000
        
          
        
        50.00000000
        NC
        USD
        28375.00000000
        0.005245667184
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            310.00000000
            USD
            2020-07-17
            XXXX
            2674.25000000
          
        
        
          N
          N
          N
        
      
      
        Verizon Communications Inc
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343V104
        
          
        
        4000.00000000
        NS
        USD
        220520.00000000
        0.040767384233
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200KJ9
        
          
        
        724000.00000000
        PA
        USD
        740538.85000000
        0.136902919635
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828U65
        
          
        
        5000.00000000
        PA
        USD
        5111.52000000
        0.000944963267
        Long
        DBT
        UST
        US
        N
        
        2
        
          2021-11-30
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILIP MORRIS INTL INC
        HL3H1H2BGXWVG3BSWR90
        Philip Morris International Inc
        718172CQ0
        
          
        
        72000.00000000
        PA
        USD
        73217.16000000
        0.013535607174
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications Inc
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044CC9
        
          
        
        25000.00000000
        PA
        USD
        29539.17000000
        0.005460886510
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-06-30
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        20543.12000000
        0.003797792791
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            7000000.00000000
            EUR
            7898194.50000000
            USD
            2020-09-16
            20543.12000000
          
        
        
          N
          N
          N
        
      
      
        Fiserv Inc
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AR9
        
          
        
        140000.00000000
        PA
        USD
        164276.79000000
        0.030369739790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        90DAY EUR FUTR  MAR21 XCME 20210315
        000000000
        
          
        
        -60.00000000
        NC
        USD
        -94768.09000000
        -0.01751971312
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                Eurodollar Time Deposit
                EDH1 Comdty
              
            
            2021-03-15
            -14875231.91000000
            USD
            -94768.09000000
          
        
        
          N
          N
          N
        
      
      
        BXP Trust
        N/A
        BXP Trust 2017-CC
        05607CAN9
        
          
        
        220000.00000000
        PA
        USD
        162459.92000000
        0.030033856254
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-13
          Variable
          3.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F060675
        
          
        
        61000.00000000
        PA
        USD
        67901.65000000
        0.012552932412
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Autodesk Inc
        FRKKVKAIQEF3FCSTPG55
        Autodesk Inc
        052769AD8
        
          
        
        210000.00000000
        PA
        USD
        239580.65000000
        0.044291113792
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -1455.87000000
        -0.00026914570
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            1008406000.00000000
            COP
            266000.00000000
            USD
            2020-08-10
            -1455.87000000
          
        
        
          N
          N
          N
        
      
      
        Hellenic Republic
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        12153.00000000
        PA
        
        17779.55000000
        0.003286893462
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2033-01-30
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335ANJ3
        
          
        
        11806.32000000
        PA
        USD
        12838.47000000
        0.002373439322
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATIONAL INFORM
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        31620MAT3
        
          
        
        163000.00000000
        PA
        USD
        180604.56000000
        0.033388243659
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEOLIA ENVIRONNEMENT SA
        969500LENY69X51OOT31
        Veolia Environnement SA
        000000000
        
          
        
        200000.00000000
        PA
        
        221870.94000000
        0.041017131603
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2031-01-15
          Fixed
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAJ2
        
          
        
        140000.00000000
        PA
        USD
        151604.67000000
        0.028027053480
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468L6
        
          
        
        275000.00000000
        PA
        USD
        291303.64000000
        0.053853108201
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-22
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gran Tierra Energy Inc
        549300IH2S17MAIUCM32
        Gran Tierra Energy Inc
        38502JAA9
        
          
        
        207000.00000000
        PA
        USD
        92115.00000000
        0.017029238158
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-05-23
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.075000 19-DEC-2028
        000000000
        
          
        
        6410000.00000000
        OU
        Notional Amount
        USD
        -1364847.38000000
        -0.25231841810
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2028-12-19
            0.00000000
            USD
            -114.93000000
            USD
            6410000.00000000
            USD
            -1364732.45000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        WAYFAIR INC AUG20 160 PUT
        000000000
        
          
        
        4.00000000
        NC
        USD
        3760.00000000
        0.000695108673
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                Wayfair Inc
                Wayfair Inc
                
                  
                  
                
              
            
            100.00000000
            160.00000000
            USD
            2020-08-21
            XXXX
            -2831.69000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        000000000
        
          
        
        325000.00000000
        PA
        
        364532.69000000
        0.067390913472
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2027-06-24
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828V49
        
          
        
        1592445.00000000
        PA
        USD
        1715849.65000000
        0.317207971924
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-01-15
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2019-2 AA PTT
        N/A
        United Airlines 2019-2 Class AA Pass Through Trust
        90932JAA0
        
          
        
        76000.00000000
        PA
        USD
        68626.91000000
        0.012687010741
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-05-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OJSC NOVO(STEEL FUNDING)
        549300RUD5HLLXOVGU89
        Novolipetsk Steel Via Steel Funding DAC
        85812RAB5
        
          
        
        497000.00000000
        PA
        USD
        544370.31000000
        0.100637373450
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2026-05-30
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arab Republic of Egypt
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        1219000.00000000
        PA
        
        1266830.02000000
        0.234198014620
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2031-04-11
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2388.98000000
        -0.00044164912
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            2654533.68000000
            USD
            3600000.00000000
            CAD
            2020-09-16
            -2388.98000000
          
        
        
          N
          N
          N
        
      
      
        SCIENTIFIC GAMES INTERNA
        RLTHESQ0RNFQJWPBJN60
        Scientific Games International Inc
        80874YAW0
        
          
        
        29000.00000000
        PA
        USD
        26774.54000000
        0.004949791220
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HRY8
        
          
        
        601000.00000000
        PA
        USD
        679690.27000000
        0.125653883534
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          3.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICA MOVIL SAB DE CV
        5493000FNR3UCEAONM59
        America Movil SAB de CV
        02364WBJ3
        
          
        
        975000.00000000
        PA
        USD
        1029161.25000000
        0.190260348799
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-05-07
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WD7A3
        
          
        
        2232.46000000
        PA
        USD
        2348.37000000
        0.000434141584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO VOTORANTIM
        X2EUTZGMHS8RBQFIUS93
        Banco Votorantim SA
        05967CAD5
        
          
        
        575000.00000000
        PA
        USD
        578953.13000000
        0.107030676147
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2022-09-24
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Progress LLC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        26442RAD3
        
          
        
        10000.00000000
        PA
        USD
        12205.55000000
        0.002256431827
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-12-01
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -1455.87000000
        -0.00026914570
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            1008406000.00000000
            COP
            266000.00000000
            USD
            2020-08-10
            -1455.87000000
          
        
        
          N
          N
          N
        
      
      
        BECTON DICKINSON EURO
        549300W40NLZ25XUTH09
        Becton Dickinson Euro Finance Sarl
        000000000
        
          
        
        200000.00000000
        PA
        
        223061.32000000
        0.041237196354
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2023-06-04
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERM23
        
          
        
        66503.41000000
        PA
        USD
        71147.77000000
        0.013153040436
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -904.24000000
        -0.00016716624
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            2434000.00000000
            AUD
            1679236.07000000
            USD
            2020-09-16
            -904.24000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHM4
        
          
        
        1442000.00000000
        PA
        USD
        1700789.77000000
        0.314423862027
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-23
          Fixed
          4.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        ICE: (ITRAXX.FINSR.29.V2)
        000000000
        
          
        
        1020000.00000000
        OU
        Notional Amount
        
        -8295.76000000
        -0.00153363157
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Senior Financials S29.V1
                2I667DBT0
              
            
            Y
            
            sell protection
            2023-06-20
            0.00000000
            EUR
            -10729.87000000
            EUR
            1020000.00000000
            EUR
            4851.99000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        0J0XRGZE3PBRFEZ7MV65
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BA1
        
          
        
        527000.00000000
        PA
        USD
        696824.06000000
        0.128821395779
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-23
          Fixed
          6.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LVMH MOET HENNESSY VUITT
        IOG4E947OATN0KJYSD45
        LVMH Moet Hennessy Louis Vuitton SE
        000000000
        
          
        
        100000.00000000
        PA
        
        112434.74000000
        0.020785734839
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-02-28
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED AUD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        N/A
        18017.04000000
        0.003330798079
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            278582802.00000000
            JPY
            3767589.00000000
            AUD
            2020-09-16
            18017.04000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/FSWP: USD 1.180000 15-JUN-2051
        000000000
        
          
        
        510649.00000000
        OU
        Notional Amount
        USD
        -33272.87000000
        -0.00615113312
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2051-06-15
            0.00000000
            USD
            -14.09000000
            USD
            510649.00000000
            USD
            -33258.78000000
          
        
        
          N
          N
          N
        
      
      
        PEPSICO INC
        FJSUNZKFNQ5YPJ5OT455
        PepsiCo Inc
        713448EZ7
        
          
        
        144000.00000000
        PA
        USD
        146642.57000000
        0.027109713387
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7MK8
        
          
        
        53097.53000000
        PA
        USD
        55207.31000000
        0.010206138306
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W4VB4
        
          
        
        831.16000000
        PA
        USD
        899.77000000
        0.000166339875
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: OIS -0.450000 07-JUN-2023
        000000000
        
          
        
        2390000.00000000
        OU
        Notional Amount
        
        2717.22000000
        0.000502330635
        N/A
        DIR
        
        XX
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                EUR - 1D Effective Overnight Index Average (EONIA)
                EONIA Index
              
            
            Y
            
            
              
                
              
            
            2023-06-07
            0.00000000
            EUR
            -183.99000000
            EUR
            2390000.00000000
            EUR
            2925.69000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8WB7
        
          
        
        262923.87000000
        PA
        USD
        290561.74000000
        0.053715953646
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XTVX0
        
          
        
        12986.99000000
        PA
        USD
        13858.73000000
        0.002562054103
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GVZ99
        
          
        
        43422.57000000
        PA
        USD
        48001.18000000
        0.008873945894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WGBR4
        
          
        
        31981.38000000
        PA
        USD
        35622.17000000
        0.006585446633
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Progress LLC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        144141DB1
        
          
        
        120000.00000000
        PA
        USD
        144564.40000000
        0.026725523495
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kingdom of Denmark
        549300PTO6LS1PTM6607
        Denmark Government Bond
        000000000
        
          
        
        200000.00000000
        PA
        
        32271.39000000
        0.005965990186
        Long
        DBT
        NUSS
        DK
        N
        
        2
        
          2023-11-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEXIS HOLDING NV
        7245009Q5867Q0YC9Q13
        Enexis Holding NV
        000000000
        
          
        
        100000.00000000
        PA
        
        114863.90000000
        0.021234812016
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2031-07-02
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARSH & MCLENNAN COS INC
        549300XMP3KDCKJXIU47
        Marsh & McLennan Cos Inc
        571748BN1
        
          
        
        64000.00000000
        PA
        USD
        66416.07000000
        0.012278294236
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HQJ2
        
          
        
        5000.00000000
        PA
        USD
        5062.43000000
        0.000935888032
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-03-01
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J5U49
        
          
        
        64605.83000000
        PA
        USD
        70846.95000000
        0.013097428044
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AS7
        
          
        
        406000.00000000
        PA
        USD
        432923.87000000
        0.080034344967
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        BRW64A2Z6 SWAPTION AUG20 70 CALL
        000000000
        
          
        
        -3145000.00000000
        OU
        Notional Amount
        USD
        -5968.55000000
        -0.00110340182
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Call
            Written
            
              
                
                  
                    Intercontinental Exchange, Inc.
                    5493000F4ZO33MV32P92
                  
                  
                    Intercontinental Exchange, Inc.
                    5493000F4ZO33MV32P92
                    CDX Swap
                    N/A
                    
                      
                    
                    3145000.00000000
                    OU
                    Notional Amount
                    N/A
                    -5968.55000000
                    0.00000000
                    DCR
                    
                    US
                  
                  
                    
                      Markit CDX.NA.IG.S34.V1
                      2I65BYDW2
                    
                  
                  buy protection
                  
                  2025-06-20
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3145000.00000000
                  USD
                
              
            
            1.00000000
            70.00000000
            USD
            2020-08-19
            XXXX
            2837.45000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)SEP20 XCBT 20200921
        000000000
        
          
        
        82.00000000
        NC
        USD
        47139.71000000
        0.008714686514
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYU0 Comdty
              
            
            2020-09-21
            11364954.04000000
            USD
            47139.71000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F040479
        
          
        
        180000.00000000
        PA
        USD
        190396.05000000
        0.035198389837
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        ISHARES RUSSELL 2000 ETF SEP20 160 CALL
        000000000
        
          
        
        137.00000000
        NC
        USD
        26852.00000000
        0.004964111198
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                iShares Russell 2000 ETF
                iShares Russell 2000 ETF
                
                  
                  
                
              
            
            100.00000000
            160.00000000
            USD
            2020-09-18
            XXXX
            -49056.47000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468G7
        
          
        
        54000.00000000
        PA
        USD
        64337.09000000
        0.011893954600
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-23
          Fixed
          4.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 19-1B PTT
        N/A
        American Airlines 2019-1 Class B Pass Through Trust
        02379DAA8
        
          
        
        92479.99000000
        PA
        USD
        64744.20000000
        0.011969216752
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        000000000
        
          
        
        100000.00000000
        PA
        
        108072.75000000
        0.019979336678
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2032-01-15
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QAX0
        
          
        
        65000.00000000
        PA
        USD
        65020.31000000
        0.012020261022
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2021-01-21
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FMG RESOURCES AUG 2006
        549300EFD6S2NFE9D745
        FMG Resources August 2006 Pty Ltd
        30251GAY3
        
          
        
        11000.00000000
        PA
        USD
        11302.50000000
        0.002089485580
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2023-03-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAW0
        
          
        
        17000.00000000
        PA
        USD
        19240.17000000
        0.003556917300
        Long
        DBT
        
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Orsted A/S
        W9NG6WMZIYEU8VEDOG48
        Orsted A/S
        000000000
        
          
        
        200000.00000000
        PA
        
        264441.41000000
        0.048887105789
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2027-05-17
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        YGEF8 RRP TREASURY 1.65 RRP JPM OPEN
        000000000
        
          
        
        -932325.00000000
        PA
        USD
        -932325.00000000
        -0.17235829632
        Short
        RA
        CORP
        US
        N
        
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.16000000
          2049-12-31
          
            
              932325.00000000
              USD
              937974.37000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9Y23
        
          
        
        22912.82000000
        PA
        USD
        24627.07000000
        0.004552789884
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
        
        68229000000.00000000
        PA
        
        5015082.25000000
        0.927134885949
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2039-04-15
          Fixed
          8.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: AUD 0.440000 16-MAY-2024
        000000000
        
          
        
        1453738.00000000
        OU
        Notional Amount
        
        965.51000000
        0.000178493184
        N/A
        DIR
        
        AU
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                AUD - 3M Australian Bank Bill Rate (BBSW)
                AU1303M Index
              
            
            Y
            
            
              
                
              
            
            2024-05-16
            27.70000000
            AUD
            0.00000000
            AUD
            1453738.00000000
            AUD
            947.38000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST SEP20 330 CALL
        000000000
        
          
        
        138.00000000
        NC
        USD
        58029.00000000
        0.010727782240
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            330.00000000
            USD
            2020-09-18
            XXXX
            7077.10000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        254900HROIFWPRGM1V77
        Freddie Mac Gold Pool
        31335ARP5
        
          
        
        34581.92000000
        PA
        USD
        39687.78000000
        0.007337053222
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-01-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513EAV3
        
          
        
        6000.00000000
        PA
        USD
        8061.14000000
        0.001490257535
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          7.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        3511.87000000
        0.000649237047
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            23936456.00000000
            RUB
            337026.38000000
            USD
            2020-09-16
            3511.87000000
          
        
        
          N
          N
          N
        
      
      
        MARINER CLO LLC
        N/A
        Mariner CLO 2016-3 LLC
        56845AAY4
        
          
        
        250000.00000000
        PA
        USD
        240600.00000000
        0.044479560342
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        3
        
          2029-07-23
          Floating
          3.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING Groep NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        000000000
        
          
        
        3300.00000000
        NS
        
        23003.97000000
        0.004252728477
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        Kingdom of Denmark
        549300PTO6LS1PTM6607
        Denmark Government Bond
        000000000
        
          
        
        450000.00000000
        PA
        
        128065.28000000
        0.023675342267
        Long
        DBT
        NUSS
        DK
        N
        
        2
        
          2039-11-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TECK RESOURCES LIMITED
        T8KI5SQ2JRWHL7XY0E11
        Teck Resources Ltd
        878742AE5
        
          
        
        30000.00000000
        PA
        USD
        34049.94000000
        0.006294789529
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2035-10-01
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.942000 17-JUL-2028
        000000000
        
          
        
        4726200.00000000
        OU
        Notional Amount
        USD
        -963148.03000000
        -0.17805652917
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2028-07-17
            0.00000000
            USD
            -80.85000000
            USD
            4726200.00000000
            USD
            -963067.18000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        000000000
        
          
        
        100000.00000000
        PA
        
        114440.79000000
        0.021156591955
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-07-17
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6US8
        
          
        
        414645.49000000
        PA
        USD
        440462.10000000
        0.081427932482
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        6338.22000000
        0.001171742472
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            12036780.00000000
            ZAR
            699000.00000000
            USD
            2020-07-15
            6338.22000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967424
        
          
        
        2800.00000000
        NS
        USD
        143080.00000000
        0.026451103465
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        TITULOS DE TESORERIA
        549300MHDRBVRF6B9117
        Colombian TES
        000000000
        
          
        
        2101100000.00000000
        PA
        
        603308.67000000
        0.111533268462
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2025-11-26
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NBH1
        
          
        
        28000.00000000
        PA
        USD
        28126.00000000
        0.005199634722
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2031-01-03
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP Transmission Co LLC
        549300X123Z1I0LA3Y84
        AEP Transmission Co LLC
        00115AAF6
        
          
        
        69000.00000000
        PA
        USD
        82853.63000000
        0.015317094909
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.510000 28-AUG-2024
        000000000
        
          
        
        19731000.00000000
        OU
        Notional Amount
        USD
        -1108304.90000000
        -0.20489158219
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2024-08-28
            0.00000000
            USD
            -299.43000000
            USD
            19731000.00000000
            USD
            -1108005.47000000
          
        
        
          N
          N
          N
        
      
      
        OOREDOO INTL FINANCE
        549300BHXCDJ03WU7N77
        Ooredoo International Finance Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        229500.00000000
        0.042427510800
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-10-19
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Depot Inc/The
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076102
        
          
        
        100.00000000
        NS
        USD
        25051.00000000
        0.004631161538
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CHENIERE CORP CHRISTI HD
        549300I7CIEWU1BBLQ53
        Cheniere Corpus Christi Holdings LLC
        16412XAC9
        
          
        
        231000.00000000
        PA
        USD
        258898.33000000
        0.047862360314
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-31
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EQ5F5
        
          
        
        10323.86000000
        PA
        USD
        11168.81000000
        0.002064770400
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BURLINGTN NORTH SANTA FE
        N/A
        Burlington Northern Santa Fe LLC
        12189LBF7
        
          
        
        124000.00000000
        PA
        USD
        134962.12000000
        0.024950356444
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-02-15
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        N/A
        Dryden 53 CLO Ltd
        26243EAA9
        
          
        
        600000.00000000
        PA
        USD
        586709.04000000
        0.108464506018
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-15
          Floating
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        000000000
        
          
        
        240000.00000000
        PA
        
        257518.71000000
        0.047607310892
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-02-11
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        20671.37000000
        0.003821502282
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1905122.10000000
            BRL
            371000.00000000
            USD
            2020-07-02
            20671.37000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5MZ010 USD PUT ZAR CALL AUG20 16.9 PUT
        000000000
        
          
        
        1436000.00000000
        OU
        Notional Amount
        USD
        11515.28000000
        0.002128822076
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    11515.28000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1436000.00000000
                  USD
                  24268400.00000000
                  ZAR
                  2020-08-05
                
              
            
            1.00000000
            16.90000000
            USD
            2020-08-05
            XXXX
            -21950.70000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5QHBV8 USD PUT TRY CALL AUG20 6.6 PUT
        000000000
        
          
        
        -1033000.00000000
        OU
        Notional Amount
        USD
        -1105.31000000
        -0.00020433791
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -1105.31000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  6817800.00000000
                  TRY
                  1033000.00000000
                  USD
                  2020-08-07
                
              
            
            1.00000000
            6.60000000
            USD
            2020-08-07
            XXXX
            7409.71000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -768.34000000
        -0.00014204249
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            840000.00000000
            USD
            1139166.34000000
            CAD
            2020-09-16
            -768.34000000
          
        
        
          N
          N
          N
        
      
      
        UK TSY 0 3/4% 2023
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        1826000.00000000
        PA
        
        2319696.54000000
        0.428840740757
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2023-07-22
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578AAN8
        
          
        
        250000.00000000
        PA
        USD
        266849.14000000
        0.049332221217
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2029-10-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bausch Health Cos Inc
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AF4
        
          
        
        34000.00000000
        PA
        USD
        35700.00000000
        0.006599835013
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2029-05-30
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DAG4
        
          
        
        25000.00000000
        PA
        USD
        28447.47000000
        0.005259064665
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        INVESCO QQQ TRUST SERIES 1 AUG20 275 CALL
        000000000
        
          
        
        -52.00000000
        NC
        USD
        -4394.00000000
        -0.00081231582
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Invesco QQQ Trust Series 1
                Invesco QQQ Trust Series 1
                
                  
                  
                
              
            
            100.00000000
            275.00000000
            USD
            2020-08-21
            XXXX
            897.46000000
          
        
        
          N
          N
          N
        
      
      
        EMBRAER NETHERLANDS FINA
        724500PBR8LR26XBSP67
        Embraer Netherlands Finance BV
        29082HAB8
        
          
        
        249000.00000000
        PA
        USD
        220365.00000000
        0.040738729487
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-02-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW4QNDC8 USD CALL MXN PUT AUG20 25.5 CALL
        000000000
        
          
        
        -447000.00000000
        OU
        Notional Amount
        USD
        -1677.59000000
        -0.00031013493
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -1677.59000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  447000.00000000
                  USD
                  11398500.00000000
                  MXN
                  2020-08-06
                
              
            
            1.00000000
            25.50000000
            USD
            2020-08-06
            XXXX
            9400.86000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H7Q91
        
          
        
        11313.95000000
        PA
        USD
        12471.39000000
        0.002305577489
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Dynamics Corp
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550AZ1
        
          
        
        91000.00000000
        PA
        USD
        98776.74000000
        0.018260789556
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W6A63
        
          
        
        1925.26000000
        PA
        USD
        2084.20000000
        0.000385304653
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38148LAC0
        
          
        
        285000.00000000
        PA
        USD
        310267.03000000
        0.057358857369
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-23
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LIQUIDE FINANCE
        549300YGXL5Z3R14K812
        Air Liquide Finance SA
        000000000
        
          
        
        100000.00000000
        PA
        
        122659.19000000
        0.022675922041
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2030-04-02
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        iShares Nasdaq Biotechnology ETF
        549300S7IVD88MPK0066
        iShares Nasdaq Biotechnology ETF
        464287556
        
          
        
        739.00000000
        NS
        USD
        101013.91000000
        0.018674373670
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BAT INTL FINANCE PLC
        21380041YBGOQDFAC823
        BAT International Finance PLC
        000000000
        
          
        
        315000.00000000
        PA
        
        365993.79000000
        0.067661026047
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-01-16
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY GAS HLDG
        549300BFOD6TDMVV4O24
        Dominion Energy Gas Holdings LLC
        257375AF2
        
          
        
        21000.00000000
        PA
        USD
        24746.04000000
        0.004574783788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-11-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBOTT IRELAND FINANCING
        54930021QV18ZVZQDE71
        Abbott Ireland Financing DAC
        000000000
        
          
        
        530000.00000000
        PA
        
        591853.46000000
        0.109415551486
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2024-11-19
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FHWB9
        
          
        
        2349.17000000
        PA
        USD
        2554.09000000
        0.000472172902
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        000000000
        
          
        
        100000.00000000
        PA
        
        115058.94000000
        0.021270868930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-31
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J9RY9
        
          
        
        66202.26000000
        PA
        USD
        73429.82000000
        0.013574921486
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMDB Commercial Mortgage Securities Trust
        N/A
        JPMDB Commercial Mortgage Securities Trust 2017-C7
        46648KAU0
        
          
        
        1113000.00000000
        PA
        USD
        1237999.14000000
        0.228868069206
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERJL5
        
          
        
        33494.72000000
        PA
        USD
        35803.11000000
        0.006618896889
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.090000 27-NOV-2023
        000000000
        
          
        
        3756000.00000000
        OU
        Notional Amount
        USD
        372924.23000000
        0.068942251834
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2023-11-27
            47.65000000
            USD
            0.00000000
            USD
            3756000.00000000
            USD
            372876.58000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VDR8
        
          
        
        73441.07000000
        PA
        USD
        78512.74000000
        0.014514597491
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CBB INTL SUKUK PRGM SPC
        5493006IRJ2IWXTNIM16
        CBB International Sukuk Programme Co SPC
        05675M2B9
        
          
        
        200000.00000000
        PA
        USD
        211750.00000000
        0.039146080226
        Long
        DBT
        CORP
        BH
        N
        
        2
        
          2024-11-14
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WYNDHAM HOTELS & RESORTS
        549300FE3MQ4RVXXC673
        Wyndham Hotels & Resorts Inc
        98311AAA3
        
          
        
        11000.00000000
        PA
        USD
        10587.50000000
        0.001957304011
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        SWAP/CDSWAP/SCDS: (PHILIP)
        000000000
        
          
        
        1722561.00000000
        OU
        Notional Amount
        USD
        -29014.13000000
        -0.00536382271
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                Philippine Government International Bond
                Philippine Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            58278.94000000
            USD
            0.00000000
            USD
            1722561.00000000
            USD
            -87293.07000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DS1
        
          
        
        548000.00000000
        PA
        USD
        544164.00000000
        0.100599233059
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2031-04-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKA9
        
          
        
        240000.00000000
        PA
        USD
        251285.08000000
        0.046454903902
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-06-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        342.87000000
        0.000063386146
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            310274.96000000
            USD
            2205000.00000000
            CNY
            2020-09-16
            342.87000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        R0MUWSFPU8MPRO8K5P83
        YU7ST3 RRP GOLDMAN SACHS GROUP RRP BNPNR OPEN
        000000000
        
          
        
        -227400.00000000
        PA
        USD
        -227400.00000000
        -0.04203928521
        Short
        RA
        CORP
        US
        N
        
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.95000000
          2049-12-31
          
            
              240000.00000000
              USD
              239923.21920000
              USD
              CDS
            
          
        
        
          N
          N
          N
        
      
      
        OP CORPORATE BANK PLC
        549300NQ588N7RWKBP98
        OP Corporate Bank plc
        000000000
        
          
        
        130000.00000000
        PA
        
        145008.95000000
        0.026807707155
        Long
        DBT
        CORP
        FI
        N
        
        2
        
          2027-01-18
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        900.22000000
        0.000166423066
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            631000.00000000
            USD
            518839750.00000000
            CLP
            2020-07-20
            900.22000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -166.32000000
        -0.00003074746
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            112704.20000000
            USD
            100000.00000000
            EUR
            2020-09-16
            -166.32000000
          
        
        
          N
          N
          N
        
      
      
        FEDEX CORP
        549300E707U7WNPZN687
        FedEx Corp
        31428XBZ8
        
          
        
        160000.00000000
        PA
        USD
        182740.49000000
        0.033783111603
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        4581.94000000
        0.000847060169
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            2722918000.00000000
            COP
            727630.76000000
            USD
            2020-07-27
            4581.94000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GWB6
        
          
        
        72000.00000000
        PA
        USD
        81217.06000000
        0.015014543312
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-26
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BECTON DICKINSON AND CO
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887CK3
        
          
        
        69000.00000000
        PA
        USD
        76636.88000000
        0.014167808513
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-20
          Fixed
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Velocity Commercial Capital Loan Trust
        N/A
        Velocity Commercial Capital Loan Trust 2020-1
        92259LAL2
        
          
        
        99434.17000000
        PA
        USD
        90147.67000000
        0.016665539183
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-25
          Variable
          3.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominican Republic
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        000000000
        
          
        
        100000.00000000
        PA
        USD
        104843.75000000
        0.019382393618
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2026-01-29
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7MC6
        
          
        
        23343.78000000
        PA
        USD
        24270.81000000
        0.004486928337
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        BRW62VYG9 USD PUT BRL CALL JUL20 4.95 PUT
        000000000
        
          
        
        -1922000.00000000
        OU
        Notional Amount
        USD
        -4061.19000000
        -0.00075078946
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -4061.19000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  9513900.00000000
                  BRL
                  1922000.00000000
                  USD
                  2020-07-20
                
              
            
            1.00000000
            4.95000000
            USD
            2020-07-20
            XXXX
            3619.13000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36196FZJ6
        
          
        
        7467.33000000
        PA
        USD
        7938.87000000
        0.001467653562
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/SWP: USD 0.915000 26-MAY-2050
        000000000
        
          
        
        2262000.00000000
        OU
        Notional Amount
        USD
        1641.02000000
        0.000303374264
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2050-05-26
            0.00000000
            USD
            -62.26000000
            USD
            2262000.00000000
            USD
            1703.28000000
          
        
        
          N
          N
          N
        
      
      
        Lennar Corp
        529900K900DW6SUBM174
        Lennar Corp
        526057104
        
          
        
        600.00000000
        NS
        USD
        36972.00000000
        0.006834988798
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCM Ltd Partnership
        N/A
        LCM 26 Ltd
        50200FAC3
        
          
        
        600000.00000000
        PA
        USD
        586320.48000000
        0.108392673191
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-20
          Floating
          2.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO 2017-4, Ltd.
        N/A
        Voya Clo 2017-4 Ltd
        92916QAA0
        
          
        
        400000.00000000
        PA
        USD
        391958.12000000
        0.072461034289
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-15
          Floating
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Financial Select Sector SPDR Fund
        549300Y12KQ6ZG08NY28
        Financial Select Sector SPDR Fund
        81369Y605
        
          
        
        15935.00000000
        NS
        USD
        368735.90000000
        0.068167958081
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW1QX7F2 SWAPTION AUG20 1.8 PUT
        000000000
        
          
        
        8100355.00000000
        OU
        Notional Amount
        USD
        33.94000000
        0.000006274464
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    8100355.00000000
                    OU
                    Notional Amount
                    N/A
                    33.94000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-08-13
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8100355.00000000
                  USD
                
              
            
            1.00000000
            1.80000000
            USD
            2020-08-11
            XXXX
            -69584.11000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE SA
        969500TJ5KRTCJQWXH05
        Credit Agricole SA
        000000000
        
          
        
        100000.00000000
        PA
        
        113297.07000000
        0.020945153207
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-04-22
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QCVY9
        
          
        
        294221.88000000
        PA
        USD
        316414.77000000
        0.058495385932
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Facebook Inc
        BQ4BKCS1HXDV9HN80Z93
        Facebook Inc
        30303M102
        
          
        
        100.00000000
        NS
        USD
        22707.00000000
        0.004197827833
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        42244.55000000
        0.007809721574
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            5122036053.00000000
            COP
            1396658.64000000
            USD
            2020-09-16
            42244.55000000
          
        
        
          N
          N
          N
        
      
      
        GRUPO AVAL LTD
        549300J4FW1ELLQ80113
        Grupo Aval Ltd
        40053FAC2
        
          
        
        1017000.00000000
        PA
        USD
        963607.50000000
        0.178141471082
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-02-04
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        128493.97000000
        0.023754593899
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-05-21
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NAV1
        
          
        
        350000.00000000
        PA
        USD
        362796.88000000
        0.067070015444
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-01-27
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fiserv Inc
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AQ1
        
          
        
        2000.00000000
        PA
        USD
        2185.20000000
        0.000403976455
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Norfolk Southern Corp
        54930036C8MWP850MI84
        Norfolk Southern Corp
        655844BS6
        
          
        
        101000.00000000
        PA
        USD
        111590.98000000
        0.020629749495
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.795000 11-JAN-2029
        000000000
        
          
        
        1320000.00000000
        OU
        Notional Amount
        USD
        -263105.62000000
        -0.04864015919
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2029-01-11
            0.00000000
            USD
            -23.34000000
            USD
            1320000.00000000
            USD
            -263082.28000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JP7
        
          
        
        218000.00000000
        PA
        USD
        239403.77000000
        0.044258414105
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-27
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        DAX INDEX FUTURE  SEP20 XEUR 20200918
        000000000
        
          
        
        1.00000000
        NC
        
        15600.15000000
        0.002883989248
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                DAX Index
                GXU0 Index
              
            
            2020-09-18
            294252.18000000
            EUR
            15600.15000000
          
        
        
          N
          N
          N
        
      
      
        SCHNEIDER ELECTRIC SE
        969500A1YF1XUYYXS284
        Schneider Electric SE
        000000000
        
          
        
        200000.00000000
        PA
        
        224388.93000000
        0.041482630723
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-06-12
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM RESORTS INTL
        54930066VBP7DZEGGJ87
        MGM Resorts International
        552953CE9
        
          
        
        20000.00000000
        PA
        USD
        19775.40000000
        0.003655864911
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGIN MEDIA SECURED FIN
        213800X3RLP4NOTPY579
        Virgin Media Secured Finance PLC
        92769XAM7
        
          
        
        200000.00000000
        PA
        USD
        204588.00000000
        0.037822046098
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140F3DD7
        
          
        
        779.38000000
        PA
        USD
        847.28000000
        0.000156636084
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.815000 21-FEB-2029
        000000000
        
          
        
        7650000.00000000
        OU
        Notional Amount
        USD
        -1550385.41000000
        -0.28661870905
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2029-02-21
            0.00000000
            USD
            -136.55000000
            USD
            7650000.00000000
            USD
            -1550248.86000000
          
        
        
          N
          N
          N
        
      
      
        BMW US CAPITAL LLC
        KK5MZM9DIXLXZL9DZL15
        BMW US Capital LLC
        05565EBK0
        
          
        
        135000.00000000
        PA
        USD
        149810.63000000
        0.027695390511
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-04-09
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAA6
        
          
        
        11000.00000000
        PA
        USD
        12309.08000000
        0.002275571349
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-06-18
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FXB27
        
          
        
        48604.10000000
        PA
        USD
        55986.33000000
        0.010350155210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179R7J2
        
          
        
        550331.90000000
        PA
        USD
        590209.31000000
        0.109111598581
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        -14924.70000000
        -0.00275911926
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            46017002316.00000000
            IDR
            3149153.28000000
            USD
            2020-07-15
            -14924.70000000
          
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        000000000
        
          
        
        200000.00000000
        PA
        
        223037.13000000
        0.041232724365
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-01-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SEH6
        
          
        
        316649.34000000
        PA
        USD
        338809.20000000
        0.062635429159
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-06-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOYOTA MOTOR CREDIT CORP
        Z2VZBHUMB7PWWJ63I008
        Toyota Motor Credit Corp
        89236TGT6
        
          
        
        221000.00000000
        PA
        USD
        229073.38000000
        0.042348641847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-13
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBE2
        
          
        
        196000.00000000
        PA
        USD
        242386.74000000
        0.044809873765
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-02-14
          Fixed
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.28000000 08-DEC-2027
        000000000
        
          
        
        2354000.00000000
        OU
        Notional Amount
        USD
        -315224.00000000
        -0.05827524908
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2027-12-08
            0.00000000
            USD
            -37.10000000
            USD
            2354000.00000000
            USD
            -315186.90000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        2295000.00000000
        PA
        
        3479242.65000000
        0.643205251020
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2048-10-31
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAU5
        
          
        
        509000.00000000
        PA
        USD
        525904.96000000
        0.097223696602
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.489100 30-SEP-2025
        000000000
        
          
        
        18750000.00000000
        OU
        Notional Amount
        USD
        2231160.91000000
        0.412473218326
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2025-09-30
            291.34000000
            USD
            0.00000000
            USD
            18750000.00000000
            USD
            2230869.57000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.715000 21-FEB-2029
        000000000
        
          
        
        10900000.00000000
        OU
        Notional Amount
        USD
        2111255.09000000
        0.390306309946
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2029-02-21
            194.56000000
            USD
            0.00000000
            USD
            10900000.00000000
            USD
            2111060.53000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Austria
        529900QWWUI4XRVR7I03
        Republic of Austria Government Bond
        000000000
        
          
        
        556000.00000000
        PA
        
        677846.05000000
        0.125312943822
        Long
        DBT
        NUSS
        AT
        N
        
        2
        
          2028-02-20
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        INVESCO QQQ TRUST SERIES 1 AUG20 270 CALL
        000000000
        
          
        
        -82.00000000
        NC
        USD
        -12218.00000000
        -0.00225873345
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Invesco QQQ Trust Series 1
                Invesco QQQ Trust Series 1
                
                  
                  
                
              
            
            100.00000000
            270.00000000
            USD
            2020-08-21
            XXXX
            9446.49000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC SERVICES INC
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759AV2
        
          
        
        142000.00000000
        PA
        USD
        148085.35000000
        0.027376439156
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ladder Capital Commercial Mortgage Securities LLC
        549300LIDRVT45XGLR93
        LCCM 2014-909 Mortgage Trust
        50185VAA1
        
          
        
        1000000.00000000
        PA
        USD
        1002666.10000000
        0.185362208220
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-05-15
          Fixed
          3.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genneia SA
        529900YZ70LX0XWS9P67
        Genneia SA
        372319AA1
        
          
        
        74000.00000000
        PA
        USD
        59292.46000000
        0.010961357241
        Long
        DBT
        CORP
        AR
        N
        
        2
        
          2022-01-20
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.145000 09-AUG-2024
        000000000
        
          
        
        7694000.00000000
        OU
        Notional Amount
        USD
        -650703.20000000
        -0.12029506337
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2024-08-09
            0.00000000
            USD
            -115.42000000
            USD
            7694000.00000000
            USD
            -650587.78000000
          
        
        
          N
          N
          N
        
      
      
        PFIZER INC
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081EW9
        
          
        
        47000.00000000
        PA
        USD
        51776.13000000
        0.009571818364
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419KKV6
        
          
        
        2878.70000000
        PA
        USD
        3159.64000000
        0.000584120523
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFP9
        
          
        
        204000.00000000
        PA
        USD
        225891.48000000
        0.041760406132
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-21
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        000000000
        
          
        
        400000.00000000
        PA
        
        447894.34000000
        0.082801925697
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-05-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAIDU INC
        254900AL64IANZYI1E02
        Baidu Inc
        056752AQ1
        
          
        
        254000.00000000
        PA
        USD
        265829.57000000
        0.049143733996
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-04-07
          Fixed
          3.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JVL0
        
          
        
        5000.00000000
        PA
        USD
        5544.44000000
        0.001024996897
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SINOPEC GRP DEV 2018
        549300C6OZZ8LTVR8209
        Sinopec Group Overseas Development 2018 Ltd
        82939GAN8
        
          
        
        400000.00000000
        PA
        USD
        411428.00000000
        0.076060417923
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2025-05-13
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SES SA
        5493008JPA4HYMH1HX51
        SES SA
        000000000
        
          
        
        635000.00000000
        PA
        
        711374.69000000
        0.131511360971
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2026-03-22
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828YS3
        
          
        
        3250000.00000000
        PA
        USD
        3588203.13000000
        0.663348701747
        Long
        DBT
        UST
        US
        N
        
        2
        
          2029-11-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        150000.00000000
        PA
        
        169032.53000000
        0.031248930249
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2020-11-25
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAC4
        
          
        
        393000.00000000
        PA
        USD
        452030.18000000
        0.083566515659
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBM6
        
          
        
        141000.00000000
        PA
        USD
        152516.97000000
        0.028195709768
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJF94
        
          
        
        1234.68000000
        PA
        USD
        1283.75000000
        0.000237325999
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Baidu Inc
        254900AL64IANZYI1E02
        Baidu Inc
        056752AM0
        
          
        
        200000.00000000
        PA
        USD
        217806.00000000
        0.040265648877
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-05-14
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        SWAP/SWAP/FSWP: MYR 2.185000 16-DEC-2022
        000000000
        
          
        
        5540000.00000000
        OU
        Notional Amount
        
        5527.47000000
        0.001021859665
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            
              
                MYR - 3M Malaysia Bumiputra Bank Rate (KLIBOR)
                KLIB3M Index
              
            
            Y
            
            
              
                
              
            
            2022-12-16
            0.00000000
            MYR
            0.00000000
            MYR
            5540000.00000000
            MYR
            5527.47000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        13107.70000000
        0.002423211692
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1175947500.00000000
            COP
            325000.00000000
            USD
            2020-08-10
            13107.70000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        000000000
        
          
        
        170000.00000000
        PA
        
        195156.71000000
        0.036078489852
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-05-18
          Fixed
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36196FZF4
        
          
        
        4618.89000000
        PA
        USD
        4998.49000000
        0.000924067487
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONCOR ELECTRIC DELIVERY
        549300SP2X2BS1KERD24
        Oncor Electric Delivery Co LLC
        68233JBH6
        
          
        
        115000.00000000
        PA
        USD
        134910.42000000
        0.024940798699
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179N2J6
        
          
        
        110828.26000000
        PA
        USD
        119802.31000000
        0.022147772555
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIFC Funding 2013-I Ltd
        549300PC4RPZFE70AI24
        CIFC Funding 2013-I Ltd
        12549AAN0
        
          
        
        1000000.00000000
        PA
        USD
        974375.20000000
        0.180132088546
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-16
          Floating
          2.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H032688
        
          
        
        2040000.00000000
        PA
        USD
        2152279.68000000
        0.397890498335
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-08-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VKP4
        
          
        
        208943.46000000
        PA
        USD
        224382.53000000
        0.041481447559
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUST F/1401
        N/A
        Trust Fibra Uno
        898324AA6
        
          
        
        499000.00000000
        PA
        USD
        526289.06000000
        0.097294704911
        Long
        DBT
        
        MX
        N
        
        2
        
          2024-12-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJB6
        
          
        
        299000.00000000
        PA
        USD
        316385.53000000
        0.058489980353
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-29
          Fixed
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: MXN 6.715000 13-AUG-2024
        000000000
        
          
        
        24432000.00000000
        OU
        Notional Amount
        
        82375.80000000
        0.015228758798
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                MXN - 28D Mexican Interbank Rate (TIIE)
                MXIBTIIE Index
              
            
            Y
            
            
              
                
              
            
            2024-08-13
            368.42000000
            MXN
            0.00000000
            MXN
            24432000.00000000
            MXN
            82356.46000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        94974BGP9
        
          
        
        121000.00000000
        PA
        USD
        135124.88000000
        0.024980445775
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-29
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOSTON SCIENTIFIC CORP
        Y6ZDD9FP4P8JSSJMW954
        Boston Scientific Corp
        101137AZ0
        
          
        
        120000.00000000
        PA
        USD
        124363.42000000
        0.022990981896
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CenturyLink Inc
        8M3THTGWLTYZVE6BBY25
        CenturyLink Inc
        156700BA3
        
          
        
        23000.00000000
        PA
        USD
        25272.86000000
        0.004672176647
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE TELEKOM INT FIN
        529900ERDFHS6C1M4U58
        Deutsche Telekom International Finance BV
        000000000
        
          
        
        520000.00000000
        PA
        
        631045.54000000
        0.116660964983
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-07-13
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        FSWP: USD 1.290000 27-MAR-2030
        000000000
        
          
        
        2812582.00000000
        OU
        Notional Amount
        USD
        189573.21000000
        0.035046271959
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2030-03-27
            57.66000000
            USD
            0.00000000
            USD
            2812582.00000000
            USD
            189515.55000000
          
        
        
          N
          N
          N
        
      
      
        Apidos CLO
        549300M5NMLBQJXUO195
        Apidos CLO XII
        03764DAH4
        
          
        
        500000.00000000
        PA
        USD
        487829.35000000
        0.090184684164
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT CPI LINKED
        353800WZS8AXZXFUC241
        Japanese Government CPI Linked Bond
        000000000
        
          
        
        79784470.00000000
        PA
        
        735812.69000000
        0.136029197611
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2028-03-10
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335BKV7
        
          
        
        35148.01000000
        PA
        USD
        39011.04000000
        0.007211944753
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        000000000
        
          
        
        500000.00000000
        PA
        USD
        498000.00000000
        0.092064925396
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-15
          Fixed
          5.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: CHF -0.685000 16-MAY-2023
        000000000
        
          
        
        2373300.00000000
        OU
        Notional Amount
        
        -2707.96000000
        -0.00050061874
        N/A
        DIR
        
        CH
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CHF - 6M Swiss Franc LIBOR Rate BBA (SF0006M)
                SF0006M Index
              
            
            Y
            
            
              
                
              
            
            2023-05-16
            40.94000000
            CHF
            0.00000000
            CHF
            2373300.00000000
            CHF
            -2750.07000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        BRW44HKF0 SWAPTION APR22 0.129 CALL
        000000000
        
          
        
        -7160000.00000000
        OU
        Notional Amount
        
        -120563.70000000
        -0.02228853021
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Call
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    IRS Swap
                    N/A
                    
                      
                    
                    7160000.00000000
                    OU
                    Notional Amount
                    N/A
                    -120563.70000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      EUR - 6M Euro Interbank Offer Rate (EURIBOR)
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2027-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7160000.00000000
                  EUR
                
              
            
            1.00000000
            -0.12900000
            EUR
            2022-04-19
            XXXX
            -32030.19000000
          
        
        
          N
          N
          N
        
      
      
        CAMERON LNG LLC
        549300C39FLHGVD73K22
        Cameron LNG LLC
        133434AC4
        
          
        
        238000.00000000
        PA
        USD
        255650.22000000
        0.047261884401
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: MXN 6.000000 29-MAR-2024
        000000000
        
          
        
        85000000.00000000
        OU
        Notional Amount
        
        177319.94000000
        0.032781018167
        N/A
        DIR
        
        MX
        
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                MXN - 28D Mexican Interbank Rate (TIIE)
                MXIBTIIE Index
              
            
            Y
            
            
              
                
              
            
            2024-03-29
            1457.38000000
            MXN
            0.00000000
            MXN
            85000000.00000000
            MXN
            177260.53000000
          
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        80413TAS8
        
          
        
        4082000.00000000
        PA
        USD
        4326920.00000000
        0.799914793164
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2025-10-22
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESB FINANCE DAC
        635400VCPRSU89DLMZ57
        ESB Finance DAC
        000000000
        
          
        
        105000.00000000
        PA
        
        124289.87000000
        0.022977384757
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2030-06-11
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EXCP6
        
          
        
        1469.70000000
        PA
        USD
        1562.49000000
        0.000288856476
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        International Paper Co
        824LMFJDH41EY779Q875
        International Paper Co
        460146CS0
        
          
        
        32000.00000000
        PA
        USD
        37757.11000000
        0.006980131556
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-08-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.522500 12-SEP-2024
        000000000
        
          
        
        2775000.00000000
        OU
        Notional Amount
        USD
        -157506.78000000
        -0.02911817259
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2024-09-12
            0.00000000
            USD
            -42.51000000
            USD
            2775000.00000000
            USD
            -157464.27000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST SEP20 325 CALL
        000000000
        
          
        
        75.00000000
        NC
        USD
        44625.00000000
        0.008249793766
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            325.00000000
            USD
            2020-09-18
            XXXX
            60.25000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FLN4
        
          
        
        11870.47000000
        PA
        USD
        13085.61000000
        0.002419127928
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        254900HROIFWPRGM1V77
        Freddie Mac Gold Pool
        31292LAH8
        
          
        
        15038.26000000
        PA
        USD
        16168.85000000
        0.002989124435
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2017-500K
        36253XAL9
        
          
        
        90000.00000000
        PA
        USD
        87972.07000000
        0.016263337472
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-07-15
          Floating
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417F2C1
        
          
        
        7130.76000000
        PA
        USD
        7598.12000000
        0.001404659339
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6BJ9
        
          
        
        212023.58000000
        PA
        USD
        229631.21000000
        0.042451767504
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHFC1
        
          
        
        26877.56000000
        PA
        USD
        29222.07000000
        0.005402264446
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD HKD
        000000000
        
          
        
        1.00000000
        NC
        
        -22.83000000
        -0.00000422056
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            450000.00000000
            HKD
            58012.47000000
            USD
            2020-09-16
            -22.83000000
          
        
        
          N
          N
          N
        
      
      
        Taiwan Semiconductor Manufacturing Co Ltd
        549300KB6NK5SBD14S87
        Taiwan Semiconductor Manufacturing Co Ltd
        874039100
        
          
        
        8000.00000000
        NS
        USD
        454160.00000000
        0.083960254052
        Long
        EC
        CORP
        TW
        N
        
        1
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        ADOBE INC OCT20 470 CALL
        000000000
        
          
        
        -1.00000000
        NC
        USD
        -1822.50000000
        -0.00033692435
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Adobe Inc
                Adobe Inc
                
                  
                  
                
              
            
            100.00000000
            470.00000000
            USD
            2020-10-16
            XXXX
            -1098.51000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAD1
        
          
        
        400000.00000000
        PA
        USD
        420426.26000000
        0.077723920203
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2024-06-27
          Fixed
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335BJW7
        
          
        
        72599.94000000
        PA
        USD
        78942.84000000
        0.014594109789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/SWP: MXN 5.990000 02-MAY-2030
        000000000
        
          
        
        21002803.00000000
        OU
        Notional Amount
        
        24507.85000000
        0.004530749762
        N/A
        DIR
        
        MX
        
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                MXN - 28D Mexican Interbank Rate (TIIE)
                MXIBTIIE Index
              
            
            Y
            
            
              
                
              
            
            2030-05-02
            430.59000000
            MXN
            0.00000000
            MXN
            21002803.00000000
            MXN
            24490.11000000
          
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        Fox Corp
        35137LAM7
        
          
        
        136000.00000000
        PA
        USD
        147182.55000000
        0.027209539127
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-07
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW4V5ND8 USD PUT MXN CALL OCT20 22.8 PUT
        000000000
        
          
        
        -2393000.00000000
        OU
        Notional Amount
        USD
        -56663.85000000
        -0.01047540787
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -56663.85000000
                    -0.01000000
                    DFE
                    
                    XX
                  
                  2393000.00000000
                  USD
                  54560400.00000000
                  MXN
                  2020-10-09
                
              
            
            1.00000000
            22.80000000
            USD
            2020-10-09
            XXXX
            -19165.54000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        SWAP/CDSWAP/SCDS: (BRAZIL)
        000000000
        
          
        
        987328.00000000
        OU
        Notional Amount
        USD
        70332.68000000
        0.013002355295
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            
              
                Brazilian Government International Bond
                Brazilian Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            101025.21000000
            USD
            0.00000000
            USD
            987328.00000000
            USD
            -30692.53000000
          
        
        
          N
          N
          N
        
      
      
        RELX CAPITAL INC
        2R15C3RTKJN1RCBOV146
        RELX Capital Inc
        74949LAD4
        
          
        
        37000.00000000
        PA
        USD
        39878.60000000
        0.007372329987
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2030-05-22
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBK5
        
          
        
        120000.00000000
        PA
        USD
        142716.62000000
        0.026383925648
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-05-30
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HKK5
        
          
        
        25000.00000000
        PA
        USD
        23711.25000000
        0.004383482856
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2020-08-01
          Fixed
          4.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128286N5
        
          
        
        5148465.12000000
        PA
        USD
        5410908.95000000
        1.000311102024
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-04-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828W55
        
          
        
        500000.00000000
        PA
        USD
        514101.56000000
        0.095041609975
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-02-28
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        EUR/USD One-touch barrier option; Barrier price EUR 1.05000
        000000000
        
          
        
        80000.00000000
        OU
        Notional Amount
        
        647.05000000
        0.000119619698
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Purchased
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    EUR/USD One-touch barrier option; Barrier price EUR 1.05000
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    647.05000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  84000.00000000
                  USD
                  80000.00000000
                  EUR
                  2020-08-13
                
              
            
            1.00000000
            1.05000000
            EUR
            2020-08-13
            XXXX
            -9023.56000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERZK9
        
          
        
        25982.45000000
        PA
        USD
        28093.93000000
        0.005193705962
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Money Management Corporation
        549300YZO1X7UK2OVY35
        AMMC CLO XII Ltd
        00176CAN1
        
          
        
        500000.00000000
        PA
        USD
        490270.55000000
        0.090635987168
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-11-10
          Floating
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJ4W5
        
          
        
        21354.16000000
        PA
        USD
        22823.96000000
        0.004219450149
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UnitedHealth Group Inc
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PCW0
        
          
        
        130000.00000000
        PA
        USD
        148285.48000000
        0.027413437055
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        254900XV0U0WEM36A370
        OCP CLO 2015-9 Ltd
        67091YAJ3
        
          
        
        563677.52000000
        PA
        USD
        559569.27000000
        0.103447194973
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-07-15
          Floating
          2.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FQN78
        
          
        
        3125.69000000
        PA
        USD
        3396.21000000
        0.000627855060
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AG27
        
          
        
        15814.98000000
        PA
        USD
        17356.99000000
        0.003208775079
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCE9
        
          
        
        16000.00000000
        PA
        USD
        19322.21000000
        0.003572083980
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACTIVISION BLIZZARD
        549300TPQQDBP9GNOF40
        Activision Blizzard Inc
        00507VAK5
        
          
        
        87000.00000000
        PA
        USD
        98810.59000000
        0.018267047382
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
        
        19025000000.00000000
        PA
        
        1328487.05000000
        0.245596508329
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-06-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TICP CLO Ltd
        N/A
        TICP CLO XV Ltd
        87250RAA2
        
          
        
        1000000.00000000
        PA
        USD
        977252.70000000
        0.180664050037
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-20
          Floating
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group Inc
        60687YAZ2
        
          
        
        335000.00000000
        PA
        USD
        349024.71000000
        0.064523963629
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-09-13
          Fixed
          2.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FHWF0
        
          
        
        2824.45000000
        PA
        USD
        3019.10000000
        0.000558138988
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NAZ2
        
          
        
        500000.00000000
        PA
        USD
        512343.75000000
        0.094716644821
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-02-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132JMFR5
        
          
        
        3659.23000000
        PA
        USD
        4065.58000000
        0.000751601042
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        3562.02000000
        0.000658508244
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1807498000.00000000
            COP
            484000.00000000
            USD
            2020-07-15
            3562.02000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        3617BFTR3
        
          
        
        41041.01000000
        PA
        USD
        44638.39000000
        0.008252269166
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738BC1
        
          
        
        568000.00000000
        PA
        USD
        601835.76000000
        0.111260972580
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        FSWP: IFS 3.510000 15-DEC-2029
        000000000
        
          
        
        110000.00000000
        OU
        Notional Amount
        
        4437.48000000
        0.000820353946
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
            
              
                
              
            
            2029-12-17
            4.49000000
            GBP
            0.00000000
            GBP
            110000.00000000
            GBP
            4431.56000000
          
        
        
          N
          N
          N
        
      
      
        BRITISH TELECOMMUNICATIO
        549300OWFMSO9NYV4H90
        British Telecommunications PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        113765.57000000
        0.021031764487
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-09-26
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        1800000000.00000000
        PA
        
        15849335.49000000
        2.930056002949
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2049-09-20
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        SHORT EURO-BTP FU SEP20 XEUR 20200908
        000000000
        
          
        
        66.00000000
        NC
        
        19630.91000000
        0.003629153141
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Short-Term Euro-BTP Futures (FBTS)
                BTSU0 Comdty
              
            
            2020-09-08
            7366607.00000000
            EUR
            19630.91000000
          
        
        
          N
          N
          N
        
      
      
        Sika Capital BV
        549300QW8B2Z3FSBS808
        Sika Capital BV
        000000000
        
          
        
        380000.00000000
        PA
        
        439370.57000000
        0.081226142065
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-04-29
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        000000000
        
          
        
        340000.00000000
        PA
        
        405268.31000000
        0.074921680172
        Long
        DBT
        
        US
        N
        
        2
        
          2026-05-22
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW4ZB2E2 USD PUT CLP CALL JUL20 795 PUT
        000000000
        
          
        
        -1500000.00000000
        OU
        Notional Amount
        USD
        -3910.50000000
        -0.00072293150
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -3910.50000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1500000.00000000
                  USD
                  1192500000.00000000
                  CLP
                  2020-07-15
                
              
            
            1.00000000
            795.00000000
            USD
            2020-07-15
            XXXX
            5749.50000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -32674.34000000
        -0.00604048328
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            402540000.00000000
            INR
            5253719.66000000
            USD
            2020-09-16
            -32674.34000000
          
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        485000.00000000
        PA
        
        605640.26000000
        0.111964307939
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2047-03-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        YPF SOCIEDAD ANONIMA
        5493003N7447U18U5U53
        YPF SA
        984245AK6
        
          
        
        50000.00000000
        PA
        USD
        40275.00000000
        0.007445612189
        Long
        DBT
        CORP
        AR
        N
        
        2
        
          2024-04-04
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UniCredit SpA
        549300TRUWO2CD2G5692
        UniCredit SpA
        000000000
        
          
        
        664.00000000
        NS
        
        6128.20000000
        0.001132916216
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        Republic of Colombia
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325BN4
        
          
        
        273000.00000000
        PA
        USD
        281104.69000000
        0.051967635167
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2021-07-12
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLD FIELDS OROGEN HOLD
        213800CLGJ2E9KGU2F20
        Gold Fields Orogen Holdings BVI Ltd
        38060AAB0
        
          
        
        200000.00000000
        PA
        USD
        214625.00000000
        0.039677579544
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-05-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications Inc
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044BW6
        
          
        
        40000.00000000
        PA
        USD
        42153.18000000
        0.007792830064
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAH9
        
          
        
        267000.00000000
        PA
        USD
        287498.69000000
        0.053149689651
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FMA1
        
          
        
        91937.91000000
        PA
        USD
        101344.05000000
        0.018735406430
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        5KYC8KF17ROCY24M3H09
        ViacomCBS Inc
        92553PAU6
        
          
        
        46000.00000000
        PA
        USD
        54129.47000000
        0.010006878749
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-09-01
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SK5
        
          
        
        1200000.00000000
        PA
        USD
        1482187.50000000
        0.274011007250
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-11-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W9F88
        
          
        
        19164.81000000
        PA
        USD
        20418.03000000
        0.003774667487
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) SEP20 XCBT 20200930
        000000000
        
          
        
        -1355.00000000
        NC
        USD
        -476149.28000000
        -0.08802539747
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                5 Year US Treasury Note
                FVU0 Comdty
              
            
            2020-09-30
            -169904515.46000000
            USD
            -476149.28000000
          
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAE7
        
          
        
        5000.00000000
        PA
        USD
        5221.42000000
        0.000965280407
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-05
          Fixed
          2.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.080000 04-SEP-2028
        000000000
        
          
        
        1600000.00000000
        OU
        Notional Amount
        USD
        346337.85000000
        0.064027245626
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2028-09-05
            27.77000000
            USD
            0.00000000
            USD
            1600000.00000000
            USD
            346310.08000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -14814.60000000
        -0.00273876514
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            15471787.50000000
            TRY
            2235000.00000000
            USD
            2020-07-17
            -14814.60000000
          
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Trust
        9DJT3UXIJIZJI4WXO774
        Merrill Lynch Mortgage Trust 2005-CIP1
        59022HJS2
        
          
        
        14.00000000
        PA
        USD
        14.11000000
        0.000002608506
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-07-12
          Variable
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        169818.01000000
        0.031394141408
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            81954994493.00000000
            IDR
            5731118.50000000
            USD
            2020-09-16
            169818.01000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M9GP1
        
          
        
        10113.77000000
        PA
        USD
        11063.17000000
        0.002045240804
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SELECT MEDICAL CORP
        N/A
        Select Medical Corp
        816196AT6
        
          
        
        527000.00000000
        PA
        USD
        532770.65000000
        0.098492952099
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORFOLK SOUTHERN CORP
        54930036C8MWP850MI84
        Norfolk Southern Corp
        655844CF3
        
          
        
        57000.00000000
        PA
        USD
        58688.06000000
        0.010849622219
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BlackRock Liquidity Funds
        5493002L9DNZ83RX7V61
        BlackRock Liquidity Funds: T-Fund, Institutional Shares
        09248U718
        
          
        
        4583300.74000000
        NS
        USD
        4583300.74000000
        0.847311728307
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Starbucks Corp
        OQSJ1DU9TAOC51A47K68
        Starbucks Corp
        855244109
        
          
        
        3000.00000000
        NS
        USD
        220770.00000000
        0.040813601565
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VEA8
        
          
        
        127000.00000000
        PA
        USD
        158197.66000000
        0.029245895112
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-08-10
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCW0
        
          
        
        169000.00000000
        PA
        USD
        140988.25000000
        0.026064403048
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2050-01-23
          Fixed
          7.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -1748.51000000
        -0.00032324586
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            2821975.00000000
            TWD
            95000.00000000
            USD
            2020-08-26
            -1748.51000000
          
        
        
          N
          N
          N
        
      
      
        Bausch Health Cos Inc
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AD9
        
          
        
        17000.00000000
        PA
        USD
        17510.00000000
        0.003237061935
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2028-01-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BL5
        
          
        
        44000.00000000
        PA
        USD
        44205.71000000
        0.008172279906
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2020-10-15
          Fixed
          2.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHE32
        
          
        
        34092.24000000
        PA
        USD
        37062.02000000
        0.006851630735
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GH0
        
          
        
        20000.00000000
        PA
        USD
        20345.83000000
        0.003761319921
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-03-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        538.73000000
        0.000099594653
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            210000.00000000
            SGD
            151259.89000000
            USD
            2020-09-16
            538.73000000
          
        
        
          N
          N
          N
        
      
      
        HUNTINGTON INGALLS INDUS
        5TZLZ6WJTBVJ0QWBG121
        Huntington Ingalls Industries Inc
        446413AL0
        
          
        
        157000.00000000
        PA
        USD
        169125.38000000
        0.031266095366
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          3.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348BL9
        
          
        
        146000.00000000
        PA
        USD
        149024.53000000
        0.027550064732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.130000 16-NOV-2023
        000000000
        
          
        
        9596000.00000000
        OU
        Notional Amount
        USD
        -964664.58000000
        -0.17833689275
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2023-11-16
            0.00000000
            USD
            -120.82000000
            USD
            9596000.00000000
            USD
            -964543.76000000
          
        
        
          N
          N
          N
        
      
      
        NOTA DO TESOURO NACIONAL
        254900ZFY40OYEADAP90
        Brazil Notas do Tesouro Nacional Serie F
        000000000
        
          
        
        1500000.00000000
        PA
        
        286304.62000000
        0.052928942732
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2021-01-01
          Fixed
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THALES SA
        529900FNDVTQJOVVPZ19
        Thales SA
        000000000
        
          
        
        400000.00000000
        PA
        
        443176.63000000
        0.081929765819
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-29
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335AYP7
        
          
        
        17072.39000000
        PA
        USD
        18254.46000000
        0.003374689755
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI FINL GRP
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        86562MBP4
        
          
        
        212000.00000000
        PA
        USD
        228077.54000000
        0.042164541575
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2029-07-16
          Fixed
          3.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM RESORTS INTL
        54930066VBP7DZEGGJ87
        MGM Resorts International
        552953CD1
        
          
        
        10000.00000000
        PA
        USD
        9100.00000000
        0.001682310885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        EBAY INC AUG20 50 CALL
        000000000
        
          
        
        -8.00000000
        NC
        USD
        -3480.00000000
        -0.00064334526
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                eBay Inc
                eBay Inc
                
                  
                  
                
              
            
            100.00000000
            50.00000000
            USD
            2020-08-21
            XXXX
            -2991.93000000
          
        
        
          N
          N
          N
        
      
      
        Microsoft Corp
        INR2EJN1ERAN0W5ZP974
        Microsoft Corp
        594918BL7
        
          
        
        105000.00000000
        PA
        USD
        142782.80000000
        0.026396160300
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-11-03
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TAP SA
        213800XBTDYWRYHKH878
        Transportes Aereos Portugueses SA
        000000000
        
          
        
        200000.00000000
        PA
        
        149410.92000000
        0.027621496391
        Long
        DBT
        CORP
        PT
        N
        
        2
        
          2024-12-02
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        UNITEDHEALTH GROUP INC SEP20 340 CALL
        000000000
        
          
        
        -1.00000000
        NC
        USD
        -281.50000000
        -0.00005204071
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                UnitedHealth Group Inc
                UnitedHealth Group Inc
                
                  
                  
                
              
            
            100.00000000
            340.00000000
            USD
            2020-09-18
            XXXX
            93.27000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        ISHARES RUSSELL 2000 ETF AUG20 115 PUT
        000000000
        
          
        
        -85.00000000
        NC
        USD
        -11177.50000000
        -0.00206637691
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                iShares Russell 2000 ETF
                iShares Russell 2000 ETF
                
                  
                  
                
              
            
            100.00000000
            115.00000000
            USD
            2020-08-21
            XXXX
            19401.52000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        BRW3Y1Y44 SWAPTION APR22 0.021 PUT
        000000000
        
          
        
        -10850000.00000000
        OU
        Notional Amount
        
        -75640.83000000
        -0.01398366941
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    IRS Swap
                    N/A
                    
                      
                    
                    10850000.00000000
                    OU
                    Notional Amount
                    N/A
                    -75640.83000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      EUR - 6M Euro Interbank Offer Rate (EURIBOR)
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-04-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10850000.00000000
                  EUR
                
              
            
            1.00000000
            -0.02100000
            EUR
            2022-04-08
            XXXX
            60372.49000000
          
        
        
          N
          N
          N
        
      
      
        FLORIDA POWER & LIGHT CO
        A89MY1K3YLIGJMYWVX50
        Florida Power & Light Co
        341081FX0
        
          
        
        122000.00000000
        PA
        USD
        138702.33000000
        0.025641806553
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN PENERBIT SBSN
        254900G208H6Q0L5B953
        Perusahaan Penerbit SBSN Indonesia III
        71567PAP5
        
          
        
        1585000.00000000
        PA
        USD
        1581037.50000000
        0.292285340334
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2030-06-23
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACADIA HEALTHCARE CO INC
        5493005CW985Y9D0NC11
        Acadia Healthcare Co Inc
        00404AAN9
        
          
        
        30000.00000000
        PA
        USD
        30075.00000000
        0.005559945042
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SGL5
        
          
        
        145663.25000000
        PA
        USD
        155847.31000000
        0.028811387486
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9ZX4
        
          
        
        17979.45000000
        PA
        USD
        19169.95000000
        0.003543935776
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        40000.00000000
        PA
        
        56959.63000000
        0.010530088527
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2030-05-25
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAD0
        
          
        
        63000.00000000
        PA
        USD
        67784.75000000
        0.012531321188
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2030-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABC SUPPLY CO INC
        549300H5GQ4C1BEKG397
        American Builders & Contractors Supply Co Inc
        024747AF4
        
          
        
        16000.00000000
        PA
        USD
        15548.32000000
        0.002874407471
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STMicroelectronics NV
        213800Z8NOHIKRI42W10
        STMicroelectronics NV
        000000000
        
          
        
        2000.00000000
        NS
        
        54516.52000000
        0.010078432423
        Long
        EC
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        HUNTINGTON INGALLS INDUS
        5TZLZ6WJTBVJ0QWBG121
        Huntington Ingalls Industries Inc
        446413AH9
        
          
        
        155000.00000000
        PA
        USD
        160479.28000000
        0.029667696668
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Calpine Corp
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CK0
        
          
        
        28000.00000000
        PA
        USD
        28271.88000000
        0.005226603459
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHIRE ACQ INV IRELAND DA
        549300XK5HGW68R8K327
        Shire Acquisitions Investments Ireland DAC
        82481LAD1
        
          
        
        766000.00000000
        PA
        USD
        849941.50000000
        0.157128114033
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2026-09-23
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -52.39000000
        -0.00000968530
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            67575.12000000
            USD
            60000.00000000
            EUR
            2020-09-16
            -52.39000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJEN4
        
          
        
        27624.48000000
        PA
        USD
        29370.79000000
        0.005429758213
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        INVESCO QQQ TRUST SERIES 1 JUL20 228 CALL
        000000000
        
          
        
        14.00000000
        NC
        USD
        28602.00000000
        0.005287632522
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                Invesco QQQ Trust Series 1
                Invesco QQQ Trust Series 1
                
                  
                  
                
              
            
            100.00000000
            228.00000000
            USD
            2020-07-17
            XXXX
            19356.03000000
          
        
        
          N
          N
          N
        
      
      
        BANQUE FED CRED MUTUEL
        VBHFXSYT7OG62HNT8T76
        Banque Federative du Credit Mutuel SA
        000000000
        
          
        
        200000.00000000
        PA
        
        250771.65000000
        0.046359986443
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-12-05
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGK9
        
          
        
        5000.00000000
        PA
        USD
        5182.91000000
        0.000958161089
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-24
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMDB Commercial Mortgage Securities Trust
        N/A
        JPMDB Commercial Mortgage Securities Trust 2017-C5
        46590TAE5
        
          
        
        1200000.00000000
        PA
        USD
        1347477.36000000
        0.249107234180
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          3.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tencent Holdings Ltd
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032WAG1
        
          
        
        331000.00000000
        PA
        USD
        359863.20000000
        0.066527667993
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-01-19
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ER2G4
        
          
        
        12568.35000000
        PA
        USD
        13945.17000000
        0.002578034208
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Microchip Technology Inc
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017104
        
          
        
        417.00000000
        NS
        USD
        43914.27000000
        0.008118401589
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        McDonald's Corp
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MER1
        
          
        
        20000.00000000
        PA
        USD
        21945.66000000
        0.004057079419
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        CHEWY INC OCT20 35 PUT
        000000000
        
          
        
        -17.00000000
        NC
        USD
        -3655.00000000
        -0.00067569739
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                Chewy Inc
                Chewy Inc
                
                  
                  
                
              
            
            100.00000000
            35.00000000
            USD
            2020-10-16
            XXXX
            -261.81000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5VC4J8 EURC USDP AUG20 1.1925 CALL
        000000000
        
          
        
        -880000.00000000
        OU
        Notional Amount
        
        -633.74000000
        -0.00011715908
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    -633.74000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  880000.00000000
                  EUR
                  1049400.00000000
                  USD
                  2020-08-31
                
              
            
            1.00000000
            1.19250000
            EUR
            2020-08-31
            XXXX
            1631.60000000
          
        
        
          N
          N
          N
        
      
      
        VOLVO TREASURY AB
        549300PD69T87IGZG395
        Volvo Treasury AB
        000000000
        
          
        
        200000.00000000
        PA
        
        224463.53000000
        0.041496421975
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2021-09-13
          Floating
          0.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HM5K3
        
          
        
        5114.23000000
        PA
        USD
        5538.10000000
        0.001023824825
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        BRW565TX3 SWAPTION OCT20 0.69 CALL
        000000000
        
          
        
        -4524000.00000000
        OU
        Notional Amount
        USD
        -111565.32000000
        -0.02062500574
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Call
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                    IRS Swap
                    N/A
                    
                      
                    
                    4524000.00000000
                    OU
                    Notional Amount
                    N/A
                    -111565.32000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2050-10-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4524000.00000000
                  USD
                
              
            
            1.00000000
            0.69000000
            USD
            2020-10-21
            XXXX
            21954.80000000
          
        
        
          N
          N
          N
        
      
      
        CANADIAN NATL RAILWAY
        3SU7BEP7TH9YEQOZCS77
        Canadian National Railway Co
        136375CZ3
        
          
        
        35000.00000000
        PA
        USD
        33900.07000000
        0.006267083163
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2050-05-01
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hellenic Republic
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        8595.00000000
        PA
        
        10428.63000000
        0.001927933821
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2023-01-30
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AU7
        
          
        
        200000.00000000
        PA
        USD
        200466.74000000
        0.037060151531
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REDEXIS GAS FINANCE BV
        724500XI19XTPCL36320
        Redexis Gas Finance BV
        000000000
        
          
        
        200000.00000000
        PA
        
        231909.19000000
        0.042872896136
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-05-28
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200AS0
        
          
        
        18000.00000000
        PA
        USD
        24027.42000000
        0.004441932991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J5YR4
        
          
        
        27171.86000000
        PA
        USD
        29677.46000000
        0.005486452090
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        McDonald's Corp
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFF6
        
          
        
        652000.00000000
        PA
        USD
        761777.00000000
        0.140829202155
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELI LILLY & CO
        FRDRIPF3EKNDJ2CQJL29
        Eli Lilly and Co
        000000000
        
          
        
        100000.00000000
        PA
        
        116617.46000000
        0.021558991475
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-01
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRBUS SE
        MINO79WLOO247M1IL051
        Airbus SE
        000000000
        
          
        
        100000.00000000
        PA
        
        116004.70000000
        0.021445710946
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2040-06-09
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Advanced Micro Devices Inc
        R2I72C950HOYXII45366
        Advanced Micro Devices Inc
        007903107
        
          
        
        748.00000000
        NS
        USD
        39352.28000000
        0.007275029563
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Textron Inc
        3PPKBHUG1HD6BO7RNR87
        Textron Inc
        883203CA7
        
          
        
        160000.00000000
        PA
        USD
        169506.48000000
        0.031336549067
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-17
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hellenic Republic
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        39506.00000000
        PA
        
        65743.64000000
        0.012153982553
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2042-01-30
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Norfolk Southern Corp
        54930036C8MWP850MI84
        Norfolk Southern Corp
        655844BR8
        
          
        
        31000.00000000
        PA
        USD
        40441.54000000
        0.007476400327
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-01-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW69P2A3 EUR CALL USD PUT SEP20 1.135 CALL
        000000000
        
          
        
        7522518.00000000
        OU
        Notional Amount
        
        87811.56000000
        0.016233664097
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    87811.56000000
                    0.02000000
                    DFE
                    
                    XX
                  
                  8538057.93000000
                  USD
                  7522518.00000000
                  EUR
                  2020-09-25
                
              
            
            1.00000000
            1.13500000
            EUR
            2020-09-25
            XXXX
            -1701.02000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGL7
        
          
        
        10000.00000000
        PA
        USD
        11303.65000000
        0.002089698180
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-24
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBE0
        
          
        
        215000.00000000
        PA
        USD
        266331.25000000
        0.049236479240
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2050-04-16
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBC6
        
          
        
        395000.00000000
        PA
        USD
        454823.88000000
        0.084082985101
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-14
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAF3
        
          
        
        580000.00000000
        PA
        USD
        647331.96000000
        0.119671824506
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          3.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WHIRLPOOL FINANCE LU
        549300W5K7SGG3H6B058
        Whirlpool Finance Luxembourg Sarl
        000000000
        
          
        
        100000.00000000
        PA
        
        112170.65000000
        0.020736912698
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-11-02
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH AMERICAS
        KOO0397YRO83WY5MGD97
        Bausch Health Americas Inc
        91911XAW4
        
          
        
        41000.00000000
        PA
        USD
        43511.25000000
        0.008043895552
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-31
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        NZD/JPY Down-and-in barrier option; Barrier price NZD 63.50000
        000000000
        
          
        
        -3564088.00000000
        OU
        Notional Amount
        
        -11715.72000000
        -0.00216587728
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    NZD/JPY Down-and-in barrier option; Barrier price NZD 63.50000
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    -11715.72000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  231665720.00000000
                  JPY
                  3564088.00000000
                  NZD
                  2020-09-10
                
              
            
            1.00000000
            65.00000000
            NZD
            2020-09-10
            XXXX
            7239.16000000
          
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW1QX7G0 SWAPTION FEB22 2 PUT
        000000000
        
          
        
        -8100355.00000000
        OU
        Notional Amount
        USD
        -39726.25000000
        -0.00734416514
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    8100355.00000000
                    OU
                    Notional Amount
                    N/A
                    -39726.25000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-02-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8100355.00000000
                  USD
                
              
            
            1.00000000
            2.00000000
            USD
            2022-02-11
            XXXX
            117015.62000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ALBANIA
        254900EDM43U3SGRND29
        Albania Government International Bond
        000000000
        
          
        
        125000.00000000
        PA
        
        139910.81000000
        0.025865217439
        Long
        DBT
        NUSS
        AL
        N
        
        2
        
          2027-06-16
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED JPY / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        7472.26000000
        0.001381391685
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            9666501.00000000
            EUR
            1174224675.00000000
            JPY
            2020-09-16
            7472.26000000
          
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        000000000
        
          
        
        750000.00000000
        PA
        
        880795.57000000
        0.162832085223
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-08-25
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AJY22
        
          
        
        2943.33000000
        PA
        USD
        3229.84000000
        0.000597098350
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidAmerican Energy Co
        NINLOILYRTLIMK26MZ18
        MidAmerican Energy Co
        595620AT2
        
          
        
        324000.00000000
        PA
        USD
        386687.56000000
        0.071486669403
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WCD34
        
          
        
        10391.18000000
        PA
        USD
        11228.75000000
        0.002075851467
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLICA ORIENT URUGUAY
        549300RDR012H2V82H43
        Uruguay Government International Bond
        760942BB7
        
          
        
        150000.00000000
        PA
        USD
        171656.25000000
        0.031733975602
        Long
        DBT
        NUSS
        UY
        N
        
        2
        
          2027-10-27
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CX6
        
          
        
        71000.00000000
        PA
        USD
        83039.37000000
        0.015351432538
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-25
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameren Illinois Co
        RC71E2BZ6UOMFPDJSE79
        Ameren Illinois Co
        02361DAR1
        
          
        
        32000.00000000
        PA
        USD
        36988.06000000
        0.006837957800
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        EUR/NOK One-touch barrier option; Barrier price EUR 10.00000
        000000000
        
          
        
        53196.00000000
        OU
        Notional Amount
        
        2024.14000000
        0.000374201401
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    EUR/NOK One-touch barrier option; Barrier price EUR 10.00000
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    2024.14000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  53196.00000000
                  EUR
                  531960.00000000
                  NOK
                  2020-09-10
                
              
            
            1.00000000
            10.00000000
            EUR
            2020-09-10
            XXXX
            -4277.51000000
          
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        113774.10000000
        0.021033341422
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-09-07
          Fixed
          0.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJET1
        
          
        
        11785.44000000
        PA
        USD
        12559.13000000
        0.002321797924
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ETQY5
        
          
        
        9841.92000000
        PA
        USD
        10699.23000000
        0.001977959461
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BASF SE
        529900PM64WH8AF1E917
        BASF SE
        000000000
        
          
        
        200000.00000000
        PA
        
        225288.63000000
        0.041648957657
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-06-05
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/SWP: MXN 5.495000 30-APR-2025
        000000000
        
          
        
        92000000.00000000
        OU
        Notional Amount
        
        121660.70000000
        0.022491331865
        N/A
        DIR
        
        MX
        
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                MXN - 28D Mexican Interbank Rate (TIIE)
                MXIBTIIE Index
              
            
            Y
            
            
              
                
              
            
            2025-04-30
            1627.17000000
            MXN
            0.00000000
            MXN
            92000000.00000000
            MXN
            121593.44000000
          
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BH6
        
          
        
        23000.00000000
        PA
        USD
        26208.97000000
        0.004845234674
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2029-03-07
          Fixed
          3.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ecopetrol SA
        254900IDGKCJICKBPA66
        Ecopetrol SA
        279158AL3
        
          
        
        361000.00000000
        PA
        USD
        379519.30000000
        0.070161477993
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2026-06-26
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN GROUP AMERICA
        5493002SQ1AVQBY41K40
        Volkswagen Group of America Finance LLC
        928668AP7
        
          
        
        308000.00000000
        PA
        USD
        320628.86000000
        0.059274441919
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Austria
        529900QWWUI4XRVR7I03
        Republic of Austria Government Bond
        000000000
        
          
        
        222000.00000000
        PA
        
        328091.97000000
        0.060654142050
        Long
        DBT
        NUSS
        AT
        N
        
        2
        
          2047-02-20
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KBC GROUP NV
        213800X3Q9LSAKRUWY91
        KBC Group NV
        000000000
        
          
        
        700000.00000000
        PA
        
        806843.91000000
        0.149160691527
        Long
        DBT
        CORP
        BE
        N
        
        2
        
          2024-01-25
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RF87
        
          
        
        21225.00000000
        PA
        USD
        22640.01000000
        0.004185443436
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-06-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        955.66000000
        0.000176672222
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1618020.80000000
            BRL
            298000.00000000
            USD
            2020-08-04
            955.66000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11256.86000000
        -0.00208104814
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            607000.00000000
            USD
            3239710.75000000
            BRL
            2020-07-02
            -11256.86000000
          
        
        
          N
          N
          N
        
      
      
        UNITED PARCEL SERVICE
        D01LMJZU09ULLNCY6Z23
        United Parcel Service Inc
        911312BS4
        
          
        
        62000.00000000
        PA
        USD
        68215.24000000
        0.012610905585
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP /  CAYMN FI
        549300WV6GIDOZJTV909
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAH2
        
          
        
        300000.00000000
        PA
        USD
        324184.85000000
        0.059931835401
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        STAMPS.COM INC AUG20 170 PUT
        000000000
        
          
        
        3.00000000
        NC
        USD
        5460.00000000
        0.001009386531
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                Stamps.com Inc
                Stamps.com Inc
                
                  
                  
                
              
            
            100.00000000
            170.00000000
            USD
            2020-08-21
            XXXX
            -593.16000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        8594.61000000
        0.001588879776
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            47959738.00000000
            RUB
            676833.40000000
            USD
            2020-09-16
            8594.61000000
          
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBD4
        
          
        
        247000.00000000
        PA
        USD
        288382.25000000
        0.053313032794
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-14
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 17-2B PTT
        N/A
        American Airlines 2017-2 Class B Pass Through Trust
        02377DAA0
        
          
        
        7977.88000000
        PA
        USD
        5541.37000000
        0.001024429348
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONCOR ELECTRIC DELIVERY
        549300SP2X2BS1KERD24
        Oncor Electric Delivery Co LLC
        68233JBS2
        
          
        
        142000.00000000
        PA
        USD
        154976.93000000
        0.028650480920
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QBV3
        
          
        
        582000.00000000
        PA
        USD
        528747.00000000
        0.097749102627
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2025-01-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UPJOHN FINANCE BV
        254900OG32E8F3XO5O83
        Upjohn Finance BV
        000000000
        
          
        
        100000.00000000
        PA
        
        113001.59000000
        0.020890528018
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-06-23
          Fixed
          0.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBR6
        
          
        
        1705000.00000000
        PA
        USD
        1764870.38000000
        0.326270401343
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          2.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        210000.00000000
        PA
        
        148641.29000000
        0.027479215410
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2021-12-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP Transmission Co LLC
        549300X123Z1I0LA3Y84
        AEP Transmission Co LLC
        00115AAJ8
        
          
        
        29000.00000000
        PA
        USD
        35969.85000000
        0.006649722001
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-09-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        2840000.00000000
        PA
        
        3277806.37000000
        0.605965861280
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2030-06-18
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.060000 05-SEP-2028
        000000000
        
          
        
        1560000.00000000
        OU
        Notional Amount
        USD
        334934.33000000
        0.061919084546
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2028-09-05
            27.08000000
            USD
            0.00000000
            USD
            1560000.00000000
            USD
            334907.25000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -17976.58000000
        -0.00332331826
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            479000.00000000
            USD
            10614448.40000000
            MXN
            2020-07-15
            -17976.58000000
          
        
        
          N
          N
          N
        
      
      
        LEVEL 3 FINANCING INC
        N/A
        Level 3 Financing Inc
        527298BR3
        
          
        
        515000.00000000
        PA
        USD
        514407.75000000
        0.095098215114
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.175000 18-MAY-2048
        000000000
        
          
        
        770000.00000000
        OU
        Notional Amount
        USD
        449157.46000000
        0.083035437843
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2048-05-18
            18.74000000
            USD
            0.00000000
            USD
            770000.00000000
            USD
            449138.72000000
          
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        9017.48000000
        0.001667055468
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            1172436.14000000
            EUR
            1328452.22000000
            USD
            2020-09-16
            9017.48000000
          
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBG3
        
          
        
        130000.00000000
        PA
        USD
        141837.63000000
        0.026221427358
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        SCDS: (HES)
        000000000
        
          
        
        150000.00000000
        OU
        Notional Amount
        USD
        1234.35000000
        0.000228193455
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            
              
                Hess Corp
                Hess Corp
                
                  
                  
                
              
            
            Y
            buy protection
            
            2024-06-21
            0.00000000
            USD
            -834.81000000
            USD
            150000.00000000
            USD
            2069.16000000
          
        
        
          N
          N
          N
        
      
      
        BECTON DICKINSON EURO
        549300W40NLZ25XUTH09
        Becton Dickinson Euro Finance Sarl
        000000000
        
          
        
        100000.00000000
        PA
        
        112675.77000000
        0.020830293893
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-06-04
          Fixed
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVERSIONES CMPC CI
        549300G475ACIABB4385
        Inversiones CMPC SA/Cayman Islands Branch
        46128MAF8
        
          
        
        257000.00000000
        PA
        USD
        268966.56000000
        0.049723667229
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2023-05-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: AUD 0.412000 16-MAY-2024
        000000000
        
          
        
        1517250.00000000
        OU
        Notional Amount
        
        424.06000000
        0.000078395687
        N/A
        DIR
        
        AU
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                AUD - 3M Australian Bank Bill Rate (BBSW)
                AU1303M Index
              
            
            Y
            
            
              
                
              
            
            2024-05-16
            28.90000000
            AUD
            0.00000000
            AUD
            1517250.00000000
            AUD
            405.42000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        BANK OF AMERICA CORP DEC20 27 CALL
        000000000
        
          
        
        148.00000000
        NC
        USD
        21608.00000000
        0.003994656441
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                Bank of America Corp
                Bank of America Corp
                
                  
                  
                
              
            
            100.00000000
            27.00000000
            USD
            2020-12-18
            XXXX
            422.25000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GQ0
        
          
        
        332000.00000000
        PA
        USD
        387324.59000000
        0.071604436711
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED MYR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4029.07000000
        -0.00074485146
        N/A
        DFE
        
        MY
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            550000.00000000
            USD
            2347675.00000000
            MYR
            2020-09-17
            -4029.07000000
          
        
        
          N
          N
          N
        
      
      
        ONCOR ELECTRIC DELIVERY
        549300SP2X2BS1KERD24
        Oncor Electric Delivery Co LLC
        68233JBD5
        
          
        
        9000.00000000
        PA
        USD
        10963.56000000
        0.002026825970
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-09-30
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/SWP: MXN 6.030000 02-MAY-2030
        000000000
        
          
        
        21002803.00000000
        OU
        Notional Amount
        
        27440.00000000
        0.005072814363
        N/A
        DIR
        
        MX
        
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                MXN - 28D Mexican Interbank Rate (TIIE)
                MXIBTIIE Index
              
            
            Y
            
            
              
                
              
            
            2030-05-02
            430.59000000
            MXN
            0.00000000
            MXN
            21002803.00000000
            MXN
            27422.26000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCX2
        
          
        
        908000.00000000
        PA
        USD
        896836.93000000
        0.165797640668
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-20
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        EUR/CHF Instant-One-touch barrier option; Barrier price EUR 1.17000
        000000000
        
          
        
        49000.00000000
        OU
        Notional Amount
        
        369.01000000
        0.000068218630
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    EUR/CHF Instant-One-touch barrier option; Barrier price EUR 1.17000
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    369.01000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  57330.00000000
                  CHF
                  49000.00000000
                  EUR
                  2020-08-25
                
              
            
            1.00000000
            1.17000000
            EUR
            2020-08-25
            XXXX
            -6321.27000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPB2
        
          
        
        256168.39000000
        PA
        USD
        274275.59000000
        0.050705144038
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        000000000
        
          
        
        1070000.00000000
        PA
        
        1233989.34000000
        0.228126780174
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-10
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST JUL20 305 PUT
        000000000
        
          
        
        110.00000000
        NC
        USD
        59510.00000000
        0.011001573715
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            305.00000000
            USD
            2020-07-17
            XXXX
            -692.90000000
          
        
        
          N
          N
          N
        
      
      
        Hellenic Republic
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        244000.00000000
        PA
        
        303902.09000000
        0.056182175188
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2024-04-02
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200JZ5
        
          
        
        167000.00000000
        PA
        USD
        187653.14000000
        0.034691309908
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UnitedHealth Group Inc
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDQ2
        
          
        
        30000.00000000
        PA
        USD
        39278.91000000
        0.007261465700
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-12-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCHNEIDER ELECTRIC SE
        969500A1YF1XUYYXS284
        Schneider Electric SE
        000000000
        
          
        
        200000.00000000
        PA
        
        225893.24000000
        0.041760731502
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-09-09
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        S&P 500 Index Down-and-out barrier option; Barrier price USD 2,318.16000
        000000000
        
          
        
        393.00000000
        NC
        USD
        5662.98000000
        0.001046911307
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                S&P 500 Index Down-and-out barrier option; Barrier price USD 2,318.16000
                SPX Index
              
            
            1.00000000
            2810.77000000
            USD
            2020-08-21
            XXXX
            -3675.13000000
          
        
        
          N
          N
          N
        
      
      
        ING Groep NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AP8
        
          
        
        767000.00000000
        PA
        USD
        835191.82000000
        0.154401350602
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2024-04-09
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ryder System Inc
        ZXJ6Y2OSPZXIVGRILD15
        Ryder System Inc
        78355HKL2
        
          
        
        40000.00000000
        PA
        USD
        42732.38000000
        0.007899906378
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-18
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        05565ALQ4
        
          
        
        200000.00000000
        PA
        USD
        175250.00000000
        0.032398349750
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2030-02-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        706451BG5
        
          
        
        150000.00000000
        PA
        USD
        121515.95000000
        0.022464572030
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2035-06-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD INDUSTRIES INC
        54930064UHXCIUWVI755
        Standard Industries Inc/NJ
        853496AD9
        
          
        
        23000.00000000
        PA
        USD
        23316.25000000
        0.004310459471
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962G4B7
        
          
        
        61000.00000000
        PA
        USD
        74937.12000000
        0.013853575024
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-01-10
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAK6
        
          
        
        98000.00000000
        PA
        USD
        110735.73000000
        0.020471640002
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        2940000.00000000
        PA
        
        434025.52000000
        0.080238006262
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2049-07-22
          Fixed
          3.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        SWAP/SWAP/FSWP: THB 1.000000 16-SEP-2025
        000000000
        
          
        
        5330000.00000000
        OU
        Notional Amount
        
        1830.01000000
        0.000338312719
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            
              
                THB - 6M Thailand Fixing Rate (BOFX6M)
                BOFX6M Index
              
            
            Y
            
            
              
                
              
            
            2025-09-16
            0.00000000
            THB
            0.00000000
            THB
            5330000.00000000
            THB
            1830.01000000
          
        
        
          N
          N
          N
        
      
      
        CIFC Funding Ltd
        635400VBVF8AYJQBI411
        CIFC Funding 2018-I Ltd
        12551RAA6
        
          
        
        400000.00000000
        PA
        USD
        387542.48000000
        0.071644717889
        Long
        ABS-O
        CORP
        KY
        N
        
        2
        
          2031-04-18
          Floating
          2.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BW8
        
          
        
        24000.00000000
        PA
        USD
        27158.16000000
        0.005020710791
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/SWP: IFS 3.142500 15-MAY-2025
        000000000
        
          
        
        320000.00000000
        OU
        Notional Amount
        
        -2780.56000000
        -0.00051404025
        N/A
        DO
        
        GB
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
              
                
              
            
            
            2025-05-15
            0.00000000
            GBP
            -11.54000000
            GBP
            320000.00000000
            GBP
            -2766.45000000
          
        
        
          N
          N
          N
        
      
      
        ASG FINANCE DESIGNATED
        5493005UOB0OMEJ4WK10
        ASG Finance Designated Activity Co
        00217AAA4
        
          
        
        502000.00000000
        PA
        USD
        341360.00000000
        0.063106993841
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2024-12-03
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PFIZER INC
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081FA6
        
          
        
        67000.00000000
        PA
        USD
        69382.58000000
        0.012826710946
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-28
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3129414T1
        
          
        
        2397.64000000
        PA
        USD
        2626.49000000
        0.000485557441
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK TSY 3 1/4% 2044
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        165000.00000000
        PA
        
        320888.82000000
        0.059322500549
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2044-01-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7X91
        
          
        
        6094.86000000
        PA
        USD
        6467.34000000
        0.001195612800
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        USD/CLP One-touch barrier option; Barrier price USD 820.00000
        000000000
        
          
        
        120000.00000000
        OU
        Notional Amount
        USD
        53662.20000000
        0.009920494858
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    USD/CLP One-touch barrier option; Barrier price USD 820.00000
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    53662.20000000
                    0.01000000
                    DFE
                    
                    XX
                  
                  98400000.00000000
                  CLP
                  120000.00000000
                  USD
                  2020-09-10
                
              
            
            1.00000000
            820.00000000
            USD
            2020-09-10
            XXXX
            33862.20000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        SCDS: (BRAZIL)
        000000000
        
          
        
        694400.00000000
        OU
        Notional Amount
        USD
        49465.85000000
        0.009144718453
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Brazilian Government International Bond
                Brazilian Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            87474.30000000
            USD
            0.00000000
            USD
            694400.00000000
            USD
            -38008.45000000
          
        
        
          N
          N
          N
        
      
      
        BAT INTL FINANCE PLC
        21380041YBGOQDFAC823
        BAT International Finance PLC
        000000000
        
          
        
        140000.00000000
        PA
        
        154988.97000000
        0.028652706747
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-03-13
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        BRW669BL8 GBP CALL USD PUT SEP20 1.295 CALL
        000000000
        
          
        
        4890000.00000000
        OU
        Notional Amount
        
        21752.53000000
        0.004021375605
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    21752.53000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  6332550.00000000
                  USD
                  4890000.00000000
                  GBP
                  2020-09-22
                
              
            
            1.00000000
            1.29500000
            GBP
            2020-09-22
            XXXX
            -12649.03000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.060000 20-DEC-2023
        000000000
        
          
        
        18445000.00000000
        OU
        Notional Amount
        USD
        1812135.14000000
        0.335008205767
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2023-12-20
            238.59000000
            USD
            0.00000000
            USD
            18445000.00000000
            USD
            1811896.55000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.065000 14-JUN-2028
        000000000
        
          
        
        2140000.00000000
        OU
        Notional Amount
        USD
        -433029.18000000
        -0.08005381355
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2028-06-14
            0.00000000
            USD
            -34.71000000
            USD
            2140000.00000000
            USD
            -432994.47000000
          
        
        
          N
          N
          N
        
      
      
        IHS NETHERLANDS HOLDCO
        5493006Z6YQYCCN2XI74
        IHS Netherlands Holdco BV
        44963LAC0
        
          
        
        458000.00000000
        PA
        USD
        464583.75000000
        0.085887285711
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-09-18
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORANGE SA
        969500MCOONR8990S771
        Orange SA
        000000000
        
          
        
        100000.00000000
        PA
        
        109443.69000000
        0.020232781435
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-09-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617BUEC9
        
          
        
        56070.81000000
        PA
        USD
        60062.04000000
        0.011103628979
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-10-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAY4
        
          
        
        28000.00000000
        PA
        USD
        34018.92000000
        0.006289054883
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-12-01
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BR0
        
          
        
        160000.00000000
        PA
        USD
        193281.39000000
        0.035731800704
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-25
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WOLTERS KLUWER NV
        724500TEM53I0U077B74
        Wolters Kluwer NV
        000000000
        
          
        
        150000.00000000
        PA
        
        166369.16000000
        0.030756554826
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2030-07-03
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        254466.19000000
        0.047042993570
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            515787190.73000000
            RUB
            7441098.60000000
            USD
            2020-09-16
            254466.19000000
          
        
        
          N
          N
          N
        
      
      
        Consumer Discretionary Select Sector SPDR Fund
        549300CD2I087Y919K79
        Consumer Discretionary Select Sector SPDR Fund
        81369Y407
        
          
        
        1990.00000000
        NS
        USD
        254142.90000000
        0.046983227165
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        365000.00000000
        PA
        
        382477.50000000
        0.070708358440
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2050-10-31
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BTP FUTURE   SEP20 XEUR 20200908
        000000000
        
          
        
        47.00000000
        NC
        
        132374.93000000
        0.024472064367
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Long-Term Euro-BTP (FBTP)
                IKU0 Comdty
              
            
            2020-09-08
            6644536.25000000
            EUR
            132374.93000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        MASTERCARD INC AUG20 350 CALL
        000000000
        
          
        
        -1.00000000
        NC
        USD
        -90.00000000
        -0.00001663823
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Mastercard Inc
                Mastercard Inc
                
                  
                  
                
              
            
            100.00000000
            350.00000000
            USD
            2020-08-21
            XXXX
            101.60000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        835000.00000000
        PA
        
        961481.38000000
        0.177748416706
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2040-10-31
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stoneway Capital Corp
        549300CV1RKODDF74O91
        Stoneway Capital Corp
        000000000
        
          
        
        553489.37000000
        PA
        USD
        188878.25000000
        0.034917795171
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2027-03-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGY9
        
          
        
        65000.00000000
        PA
        USD
        65721.08000000
        0.012149811901
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-01-23
          Fixed
          2.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417DQW6
        
          
        
        78619.82000000
        PA
        USD
        85008.50000000
        0.015715464278
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        100000.00000000
        PA
        
        14433.72000000
        0.002668352118
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2028-11-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MILLS INC
        2TGYMUGI08PO8X8L6150
        General Mills Inc
        370334CL6
        
          
        
        136000.00000000
        PA
        USD
        148074.31000000
        0.027374398199
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2015-P1
        17324DAU8
        
          
        
        375000.00000000
        PA
        USD
        412653.41000000
        0.076286958646
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-15
          Fixed
          3.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN FIN SERV AG
        529900USFSZYPS075O24
        Volkswagen Financial Services AG
        000000000
        
          
        
        840000.00000000
        PA
        
        951413.83000000
        0.175887235502
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-10-01
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VCV4
        
          
        
        233000.00000000
        PA
        USD
        288148.57000000
        0.053269832530
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-01-15
          Fixed
          4.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED PARCEL SERVICE
        D01LMJZU09ULLNCY6Z23
        United Parcel Service Inc
        911312BR6
        
          
        
        347000.00000000
        PA
        USD
        401280.80000000
        0.074184511877
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5U3DS9 EURC USDP AUG20 1.1625 CALL
        000000000
        
          
        
        880000.00000000
        OU
        Notional Amount
        
        2369.87000000
        0.000438116274
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    2369.87000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1023000.00000000
                  USD
                  880000.00000000
                  EUR
                  2020-08-31
                
              
            
            1.00000000
            1.16250000
            EUR
            2020-08-31
            XXXX
            -4125.45000000
          
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBN2
        
          
        
        9000.00000000
        PA
        USD
        8415.00000000
        0.001555675396
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2077-08-16
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARKER-HANNIFIN CORP
        5493002CONDB4N2HKI23
        Parker-Hannifin Corp
        701094AM6
        
          
        
        30000.00000000
        PA
        USD
        31935.36000000
        0.005903868545
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-14
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETRONAS CAPITAL LTD
        549300G7YFX3540OYR85
        Petronas Capital Ltd
        716743AP4
        
          
        
        665000.00000000
        PA
        USD
        736911.57000000
        0.136232346818
        Long
        DBT
        CORP
        MY
        N
        
        2
        
          2030-04-21
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GU1
        
          
        
        40000.00000000
        PA
        USD
        40387.94000000
        0.007466491331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8C94
        
          
        
        110164.30000000
        PA
        USD
        120100.07000000
        0.022202819246
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J5HA0
        
          
        
        69998.26000000
        PA
        USD
        77177.86000000
        0.014267819122
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBM1
        
          
        
        133000.00000000
        PA
        USD
        138297.26000000
        0.025566921534
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        iShares iBoxx $ Investment Grade Corporate Bond ETF
        549300FYCXFXG8POR355
        iShares iBoxx $ Investment Grade Corporate Bond ETF
        464287242
        
          
        
        8285.00000000
        NS
        USD
        1114332.50000000
        0.206005900560
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        REYNOLDS GRP ISS/REYNOLD
        N/A
        Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
        761735AT6
        
          
        
        479000.00000000
        PA
        USD
        482635.61000000
        0.089224520940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5TLYT6 USDP KRWC JUL20 1170 PUT
        000000000
        
          
        
        3036000.00000000
        OU
        Notional Amount
        USD
        640.60000000
        0.000118427291
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    640.60000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  3036000.00000000
                  KRW
                  3552120000.00000000
                  USD
                  2020-07-09
                
              
            
            1.00000000
            1170.00000000
            USD
            2020-07-09
            XXXX
            -9438.92000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBN5
        
          
        
        108000.00000000
        PA
        USD
        116287.32000000
        0.021497958715
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-04-22
          Fixed
          3.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617BYFD8
        
          
        
        64849.22000000
        PA
        USD
        69082.24000000
        0.012771187292
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QR37
        
          
        
        47902.81000000
        PA
        USD
        53521.33000000
        0.009894452316
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NBH3
        
          
        
        265000.00000000
        PA
        USD
        325109.83000000
        0.060102835832
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-01-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        BRW46K071 SWAPTION APR22 0.15 CALL
        000000000
        
          
        
        -2860981.00000000
        OU
        Notional Amount
        
        -45985.03000000
        -0.00850122159
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Call
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    IRS Swap
                    N/A
                    
                      
                    
                    2860981.00000000
                    OU
                    Notional Amount
                    N/A
                    -45985.03000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      EUR - 6M Euro Interbank Offer Rate (EURIBOR)
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2027-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2860981.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2022-04-19
            XXXX
            -10535.60000000
          
        
        
          N
          N
          N
        
      
      
        Mastercard Inc
        AR5L2ODV9HN37376R084
        Mastercard Inc
        57636Q104
        
          
        
        100.00000000
        NS
        USD
        29570.00000000
        0.005466586032
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SASOL Financing USA LLC
        549300XRB1PFMESFEL85
        SASOL Financing USA LLC
        80386WAA3
        
          
        
        249000.00000000
        PA
        USD
        223477.50000000
        0.041314135271
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-27
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661DS3
        
          
        
        56000.00000000
        PA
        USD
        70475.78000000
        0.013028810096
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-05
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAG5
        
          
        
        1277000.00000000
        PA
        USD
        1326483.75000000
        0.245226159604
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2025-04-16
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QC6A9
        
          
        
        111758.74000000
        PA
        USD
        121337.91000000
        0.022431657895
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBP9
        
          
        
        55000.00000000
        PA
        USD
        63463.52000000
        0.011732458301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST AUG20 255 PUT
        000000000
        
          
        
        -42.00000000
        NC
        USD
        -8001.00000000
        -0.00147913949
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            255.00000000
            USD
            2020-08-21
            XXXX
            14962.46000000
          
        
        
          N
          N
          N
        
      
      
        STEEL DYNAMICS INC
        549300HGGKEL4FYTTQ83
        Steel Dynamics Inc
        858119BM1
        
          
        
        25000.00000000
        PA
        USD
        25498.66000000
        0.004713920141
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2019-L2
        61768HAW6
        
          
        
        589000.00000000
        PA
        USD
        691725.43000000
        0.127878815477
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-03-15
          Fixed
          4.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2A0
        
          
        
        141000.00000000
        PA
        USD
        156492.31000000
        0.028930628203
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-22
          Fixed
          3.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        HOME DEPOT INC/THE AUG20 200 CALL
        000000000
        
          
        
        12.00000000
        NC
        USD
        62370.00000000
        0.011530299993
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                Home Depot Inc/The
                Home Depot Inc/The
                
                  
                  
                
              
            
            100.00000000
            200.00000000
            USD
            2020-08-21
            XXXX
            49205.03000000
          
        
        
          N
          N
          N
        
      
      
        ALABAMA POWER CO
        0RL818ELFOHP5JHOFU19
        Alabama Power Co
        010392FT0
        
          
        
        108000.00000000
        PA
        USD
        117880.08000000
        0.021792411186
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        100000.00000000
        PA
        
        114596.96000000
        0.021185462998
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2021-07-08
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILIP MORRIS INTL INC
        HL3H1H2BGXWVG3BSWR90
        Philip Morris International Inc
        000000000
        
          
        
        260000.00000000
        PA
        
        278856.33000000
        0.051551982364
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-03
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        66464.56000000
        0.012287258550
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            3929220.00000000
            BRL
            789000.00000000
            USD
            2020-07-02
            66464.56000000
          
        
        
          N
          N
          N
        
      
      
        LAM RESEARCH CORP
        549300I4GMO6D34U1T02
        Lam Research Corp
        512807AV0
        
          
        
        350000.00000000
        PA
        USD
        357752.53000000
        0.066137469849
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shackleton CLO LTD
        549300S9WB2KLCOJR134
        Shackleton 2013-III CLO Ltd
        81881QAS5
        
          
        
        400000.00000000
        PA
        USD
        390654.44000000
        0.072220023844
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-15
          Floating
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3703.99000000
        -0.00068475414
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            360000.00000000
            EUR
            323827.56000000
            GBP
            2020-09-16
            -3703.99000000
          
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        000000000
        
          
        
        100000.00000000
        PA
        
        122346.41000000
        0.022618098612
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2031-03-07
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allegro CLO Ltd
        635400AREEXNEGDZE419
        Allegro CLO VI Ltd
        01749BAA7
        
          
        
        400000.00000000
        PA
        USD
        390409.36000000
        0.072174716069
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-17
          Floating
          2.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417FU22
        
          
        
        8683.58000000
        PA
        USD
        9444.27000000
        0.001745955849
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amgen Inc
        62QBXGPJ34PQ72Z12S66
        Amgen Inc
        031162100
        
          
        
        173.00000000
        NS
        USD
        40803.78000000
        0.007543367392
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST JUL20 285 CALL
        000000000
        
          
        
        49.00000000
        NC
        USD
        122794.00000000
        0.022700844275
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            285.00000000
            USD
            2020-07-17
            XXXX
            80360.72000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        SWAP/SWAP/SWP: OIS 7.440000 04-JAN-2027
        000000000
        
          
        
        15391288.52000000
        OU
        Notional Amount
        
        232056.63000000
        0.042900153270
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                BRL - 1D Overnight Brazil Interbank Deposit (CETIP)
                BZDIOVRA Index
              
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            BRL
            0.00000000
            BRL
            15391288.52000000
            BRL
            232056.63000000
          
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        000000000
        
          
        
        100000.00000000
        PA
        
        118877.26000000
        0.021976759183
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-05-12
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        POST HOLDINGS INC
        JM1I5YUAURL6DC8N1468
        Post Holdings Inc
        737446AP9
        
          
        
        18000.00000000
        PA
        USD
        18614.16000000
        0.003441187252
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2015-1 AA PTT
        N/A
        United Airlines 2015-1 Class AA Pass Through Trust
        90932LAA5
        
          
        
        806.59000000
        PA
        USD
        786.34000000
        0.000145370147
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617BJRG1
        
          
        
        61083.73000000
        PA
        USD
        64837.27000000
        0.011986422541
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-10-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US AIRWAYS 2013-1B PTT
        N/A
        US Airways 2013-1 Class B Pass Through Trust
        90346WAB9
        
          
        
        7654.42000000
        PA
        USD
        6217.82000000
        0.001149484205
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-11-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -8423.87000000
        -0.00155731518
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            923095800.00000000
            KRW
            759000.00000000
            USD
            2020-07-02
            -8423.87000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2016-GC36
        17324TAE9
        
          
        
        375000.00000000
        PA
        USD
        413272.84000000
        0.076401472254
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-10
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Corning Inc
        549300X2937PB0CJ7I56
        Corning Inc
        219350105
        
          
        
        912.00000000
        NS
        USD
        23620.80000000
        0.004366761425
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VHV5
        
          
        
        83061.63000000
        PA
        USD
        88772.61000000
        0.016411332764
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIKE INC
        787RXPR0UX0O0XUXPZ81
        NIKE Inc
        654106AJ2
        
          
        
        225000.00000000
        PA
        USD
        247851.62000000
        0.045820162459
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-27
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDITO REAL SAB DE CV
        549300W2IL7TPPCTKL39
        Credito Real SAB de CV SOFOM ER
        22548WAA0
        
          
        
        200000.00000000
        PA
        USD
        195062.50000000
        0.036061073313
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2023-07-20
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        YPF SOCIEDAD ANONIMA
        5493003N7447U18U5U53
        YPF SA
        000000000
        
          
        
        66000.00000000
        PA
        USD
        43209.38000000
        0.007988089048
        Long
        DBT
        CORP
        AR
        N
        
        2
        
          2047-12-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORAZUL ENERGY EGENOR SCA
        N/A
        Orazul Energy Egenor SCA
        68559BAA5
        
          
        
        293000.00000000
        PA
        USD
        288605.00000000
        0.053354212437
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2027-04-28
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: CHF -0.580000 09-JUN-2023
        000000000
        
          
        
        2770768.00000000
        OU
        Notional Amount
        
        -176.94000000
        -0.00003271077
        N/A
        DIR
        
        CH
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CHF - 6M Swiss Franc LIBOR Rate BBA (SF0006M)
                SF0006M Index
              
            
            Y
            
            
              
                
              
            
            2023-06-09
            47.79000000
            CHF
            0.00000000
            CHF
            2770768.00000000
            CHF
            -226.92000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410LPN6
        
          
        
        46150.05000000
        PA
        USD
        52192.12000000
        0.009648722156
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BF5
        
          
        
        318000.00000000
        PA
        USD
        327721.26000000
        0.060585609141
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-01-05
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERNOD RICARD SA
        52990097YFPX9J0H5D87
        Pernod Ricard SA
        000000000
        
          
        
        100000.00000000
        PA
        
        112033.35000000
        0.020711530139
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-10-24
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atrium Hotel Portfolio Trust
        N/A
        Atrium Hotel Portfolio Trust 2017-ATRM
        04965JAJ2
        
          
        
        150000.00000000
        PA
        USD
        109823.57000000
        0.020303009596
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          3.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BJ8
        
          
        
        200000.00000000
        PA
        USD
        210702.81000000
        0.038952486914
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-15
          Fixed
          3.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J76Q3
        
          
        
        56054.50000000
        PA
        USD
        59489.56000000
        0.010997794986
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13648TAA5
        
          
        
        266000.00000000
        PA
        USD
        272243.48000000
        0.050329469228
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-03-05
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.800000 31-JAN-2027
        000000000
        
          
        
        2600000.00000000
        OU
        Notional Amount
        USD
        -287265.88000000
        -0.05310665022
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2027-01-29
            0.00000000
            USD
            -19179.68000000
            USD
            2600000.00000000
            USD
            -268086.20000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2817.93000000
        -0.00052094882
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            1800000.00000000
            USD
            2504016.18000000
            SGD
            2020-09-16
            -2817.93000000
          
        
        
          N
          N
          N
        
      
      
        KERING
        549300VGEJKB7SVUZR78
        Kering SA
        000000000
        
          
        
        100000.00000000
        PA
        
        114413.83000000
        0.021151607878
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-05-13
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBM3
        
          
        
        104000.00000000
        PA
        USD
        115172.76000000
        0.021291910757
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-04-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DTE Electric Co
        9N0FWODEJVKHC2DYLO03
        DTE Electric Co
        23338VAD8
        
          
        
        42000.00000000
        PA
        USD
        52302.30000000
        0.009669091059
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-07-01
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        FSWP: IFS 3.530000 15-DEC-2029
        000000000
        
          
        
        545000.00000000
        OU
        Notional Amount
        
        23812.75000000
        0.004402247092
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
            
              
                
              
            
            2029-12-17
            22.24000000
            GBP
            0.00000000
            GBP
            545000.00000000
            GBP
            23783.51000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8AB1
        
          
        
        18445.46000000
        PA
        USD
        19819.81000000
        0.003664074957
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAH3
        
          
        
        92000.00000000
        PA
        USD
        108382.81000000
        0.020036657262
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2036-02-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PUBLIC SERVICE ELECTRIC
        549300RUHPVD434XUK18
        Public Service Electric and Gas Co
        74456QBT2
        
          
        
        24000.00000000
        PA
        USD
        27867.47000000
        0.005151840454
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications Inc
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044CH8
        
          
        
        390000.00000000
        PA
        USD
        419626.77000000
        0.077576119024
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H040673
        
          
        
        897000.00000000
        PA
        USD
        950977.67000000
        0.175806602895
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-07-21
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Diamondback Energy Inc
        549300R22LSX6OHWEN64
        Diamondback Energy Inc
        25278XAH2
        
          
        
        215000.00000000
        PA
        USD
        221315.19000000
        0.040914390474
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-31
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDM0
        
          
        
        201000.00000000
        PA
        USD
        203281.62000000
        0.037580536505
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDA6
        
          
        
        1989000.00000000
        PA
        USD
        2163153.02000000
        0.399900645395
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROATIA
        74780000O00QGQ7CER13
        Croatia Government International Bond
        000000000
        
          
        
        370000.00000000
        PA
        
        415694.84000000
        0.076849225767
        Long
        DBT
        NUSS
        HR
        N
        
        2
        
          2031-06-17
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335BCD6
        
          
        
        24592.11000000
        PA
        USD
        26527.82000000
        0.004904180259
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2Q5
        
          
        
        366000.00000000
        PA
        USD
        381769.45000000
        0.070577461712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-04-30
          Fixed
          3.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335ABE7
        
          
        
        200063.35000000
        PA
        USD
        216298.69000000
        0.039986993490
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGNA INTERNATIONAL INC
        95RWVLFZX6VGDZNNTN43
        Magna International Inc
        559222AV6
        
          
        
        5000.00000000
        PA
        USD
        5113.39000000
        0.000945308973
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-06-15
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3622A24Y5
        
          
        
        24488.70000000
        PA
        USD
        25892.60000000
        0.004786747564
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        BRW565TZ8 SWAPTION OCT20 0.93 CALL
        000000000
        
          
        
        4524000.00000000
        OU
        Notional Amount
        USD
        226833.95000000
        0.041934639927
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Call
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                    IRS Swap
                    N/A
                    
                      
                    
                    4524000.00000000
                    OU
                    Notional Amount
                    N/A
                    226833.95000000
                    0.04000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2050-10-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4524000.00000000
                  USD
                
              
            
            1.00000000
            0.93000000
            USD
            2020-10-21
            XXXX
            -32725.10000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.970000 02-JUL-2029
        000000000
        
          
        
        868000.00000000
        OU
        Notional Amount
        USD
        112632.78000000
        0.020822346361
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2029-07-02
            16.16000000
            USD
            0.00000000
            USD
            868000.00000000
            USD
            112616.62000000
          
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        874060AW6
        
          
        
        200000.00000000
        PA
        USD
        247768.97000000
        0.045804883009
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2028-11-26
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSSIA GOVT BOND - OFZ
        5493004EHVGF71PDBU58
        Russian Federal Bond - OFZ
        000000000
        
          
        
        223301000.00000000
        PA
        
        3395536.95000000
        0.627730634502
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2029-05-23
          Fixed
          6.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAD2
        
          
        
        655000.00000000
        PA
        USD
        746990.86000000
        0.138095698388
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H030674
        
          
        
        5339500.00000000
        PA
        USD
        5657158.50000000
        1.045835090879
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-07-21
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2017-GS7
        36254CAA8
        
          
        
        225000.00000000
        PA
        USD
        162954.09000000
        0.030125213130
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-10
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRF GmbH
        5299002S6DY5RA2IOQ11
        BRF GmbH
        05583BAA7
        
          
        
        551000.00000000
        PA
        USD
        531715.00000000
        0.098297794793
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2026-09-29
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIEMENS FINANCIERINGSMAT
        TAFO772JB70PDRN5VS48
        Siemens Financieringsmaatschappij NV
        000000000
        
          
        
        100000.00000000
        PA
        
        111799.22000000
        0.020668246684
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2032-02-20
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Peru
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638AU6
        
          
        
        350000.00000000
        PA
        USD
        532328.13000000
        0.098411143724
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2037-03-14
          Fixed
          6.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BM1
        
          
        
        200000.00000000
        PA
        USD
        207620.02000000
        0.038382573598
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-01-20
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OP CORPORATE BANK PLC
        549300NQ588N7RWKBP98
        OP Corporate Bank plc
        000000000
        
          
        
        470000.00000000
        PA
        
        526169.18000000
        0.097272542776
        Long
        DBT
        CORP
        FI
        N
        
        2
        
          2030-06-09
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032476
        
          
        
        524000.00000000
        PA
        USD
        550547.97000000
        0.101779433303
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        000000000
        
          
        
        400000.00000000
        PA
        
        497337.31000000
        0.091942414341
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-04-02
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        2463.32000000
        0.000455392313
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            14384957.00000000
            RUB
            202893.65000000
            USD
            2020-09-16
            2463.32000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.620000 11-MAY-2047
        000000000
        
          
        
        1724000.00000000
        OU
        Notional Amount
        USD
        -735041.83000000
        -0.13588668924
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2047-05-13
            0.00000000
            USD
            0.00000000
            USD
            1724000.00000000
            USD
            -735041.83000000
          
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding XI Ltd
        55818KAR2
        
          
        
        1000000.00000000
        PA
        USD
        984240.20000000
        0.181955824468
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-23
          Floating
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KLA CORP
        549300H0BF5JCG96TJ81
        KLA Corp
        482480AG5
        
          
        
        86000.00000000
        PA
        USD
        101491.81000000
        0.018762722722
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140F5BJ1
        
          
        
        7731.85000000
        PA
        USD
        8038.85000000
        0.001486136798
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBC3
        
          
        
        89000.00000000
        PA
        USD
        89218.89000000
        0.016493836248
        Long
        DBT
        
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QUALCOMM Inc
        H1J8DDZKZP6H7RWC0H53
        QUALCOMM Inc
        747525AV5
        
          
        
        141000.00000000
        PA
        USD
        175872.31000000
        0.032513395781
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-05-20
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GSSE0
        
          
        
        10908.17000000
        PA
        USD
        11932.05000000
        0.002205870066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        McDonald's Corp
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        000000000
        
          
        
        100000.00000000
        PA
        
        115034.90000000
        0.021266424671
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        SWAP/SWAP/FSWP: MYR 2.175000 16-DEC-2022
        000000000
        
          
        
        5540000.00000000
        OU
        Notional Amount
        
        5276.92000000
        0.000975540654
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            
              
                MYR - 3M Malaysia Bumiputra Bank Rate (KLIBOR)
                KLIB3M Index
              
            
            Y
            
            
              
                
              
            
            2022-12-16
            0.00000000
            MYR
            0.00000000
            MYR
            5540000.00000000
            MYR
            5276.92000000
          
        
        
          N
          N
          N
        
      
      
        DUPONT DE NEMOURS INC
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26614NAA0
        
          
        
        142000.00000000
        PA
        USD
        144774.26000000
        0.026764320173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          2.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJY9
        
          
        
        430000.00000000
        PA
        USD
        447711.31000000
        0.082768089064
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -3516.02000000
        -0.00065000425
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            446894129.00000000
            KRW
            369000.00000000
            USD
            2020-07-15
            -3516.02000000
          
        
        
          N
          N
          N
        
      
      
        NBCUNIVERSAL ENTERPRISE
        51M0QTTNCGUN7KFCFZ59
        NBCUniversal Enterprise Inc
        63946CAE8
        
          
        
        100000.00000000
        NS
        USD
        100250.00000000
        0.018533150142
        Long
        EP
        CORP
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GDG2
        
          
        
        30000.00000000
        PA
        USD
        29226.00000000
        0.005402990983
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALPHA HOLDING SA
        549300R872G37EN6NT94
        Alpha Holding SA de CV
        02074AAB0
        
          
        
        308000.00000000
        PA
        USD
        274986.25000000
        0.050836523275
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2025-02-10
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAU4
        
          
        
        257000.00000000
        PA
        USD
        299471.82000000
        0.055363154149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          6.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hellenic Republic
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        9689.00000000
        PA
        
        15024.16000000
        0.002777506364
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2037-01-30
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAV1
        
          
        
        68000.00000000
        PA
        USD
        78505.26000000
        0.014513214668
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-05-14
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        SWAP/CDSWAP/SCDS: (BRAZIL)
        000000000
        
          
        
        850000.00000000
        OU
        Notional Amount
        USD
        60550.07000000
        0.011193850757
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Brazilian Government International Bond
                Brazilian Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            119144.60000000
            USD
            0.00000000
            USD
            850000.00000000
            USD
            -58594.53000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LTJF6
        
          
        
        13802.04000000
        PA
        USD
        15161.60000000
        0.002802914804
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PT Pertamina (Persero)
        254900NDAKGNZ2IBBL45
        Pertamina Persero PT
        69370RAD9
        
          
        
        500000.00000000
        PA
        USD
        522812.50000000
        0.096651995599
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2029-07-30
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        SCDS: (SOAF)
        000000000
        
          
        
        2638000.00000000
        OU
        Notional Amount
        USD
        246801.97000000
        0.045626114368
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            
              
                Republic of South Africa Government International Bond
                Republic of South Africa Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            410410.92000000
            USD
            0.00000000
            USD
            2638000.00000000
            USD
            -163608.95000000
          
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BH4
        
          
        
        66000.00000000
        PA
        USD
        85459.67000000
        0.015798871772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-06-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ODEBRECHT OIL & FINANCE
        N/A
        Odebrecht Oil & Gas Finance Ltd
        67576JAB7
        
          
        
        26047.00000000
        PA
        USD
        26.05000000
        0.000004815845
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2020-07-31
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMW FINANCE NV
        5299006ZHG3IXU0PNJ56
        BMW Finance NV
        000000000
        
          
        
        480000.00000000
        PA
        
        533093.17000000
        0.098552576155
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-04-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.000000 25-OCT-2023
        000000000
        
          
        
        3313000.00000000
        OU
        Notional Amount
        USD
        -312920.52000000
        -0.05784940628
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2023-10-25
            0.00000000
            USD
            -40.96000000
            USD
            3313000.00000000
            USD
            -312879.56000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418AS66
        
          
        
        1671.45000000
        PA
        USD
        1809.44000000
        0.000334509957
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.370000 15-DEC-2026
        000000000
        
          
        
        920000.00000000
        OU
        Notional Amount
        USD
        -116212.81000000
        -0.02148418410
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2026-12-15
            0.00000000
            USD
            0.00000000
            USD
            920000.00000000
            USD
            -116212.81000000
          
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW61WC15 EUR CALL USD PUT SEP20 1.135 CALL
        000000000
        
          
        
        6362886.00000000
        OU
        Notional Amount
        
        68841.98000000
        0.012726770588
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    68841.98000000
                    0.01000000
                    DFE
                    
                    XX
                  
                  7221875.61000000
                  USD
                  6362886.00000000
                  EUR
                  2020-09-17
                
              
            
            1.00000000
            1.13500000
            EUR
            2020-09-17
            XXXX
            -10161.71000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        PAYPAL HOLDINGS INC SEP20 180 CALL
        000000000
        
          
        
        -2.00000000
        NC
        USD
        -2005.00000000
        -0.00037066300
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                PayPal Holdings Inc
                PayPal Holdings Inc
                
                  
                  
                
              
            
            100.00000000
            180.00000000
            USD
            2020-09-18
            XXXX
            -1529.00000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/FSWP: SGD 0.795000 16-MAR-2025
        000000000
        
          
        
        900000.00000000
        OU
        Notional Amount
        
        3485.85000000
        0.000644426747
        N/A
        DIR
        
        SG
        
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                SGD - 6M Singapore Assoc of Banks Swap Offer rate (SOR)
                SIBF6M Index
              
            
            Y
            
            
              
                
              
            
            2025-03-17
            15.12000000
            SGD
            0.00000000
            SGD
            900000.00000000
            SGD
            3475.15000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        BJ'S WHOLESALE CLUB HOLDINGS I NOV20 25 PUT
        000000000
        
          
        
        -43.00000000
        NC
        USD
        -3225.00000000
        -0.00059620358
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                BJ's Wholesale Club Holdings Inc
                BJ's Wholesale Club Holdings Inc
                
                  
                  
                
              
            
            100.00000000
            25.00000000
            USD
            2020-11-20
            XXXX
            978.63000000
          
        
        
          N
          N
          N
        
      
      
        CENTRAIS ELETRICAS BRASI
        254900I8KYDELP4B4Z08
        Centrais Eletricas Brasileiras SA
        15236FAB6
        
          
        
        200000.00000000
        PA
        USD
        190121.26000000
        0.035147589594
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2030-02-04
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        000000000
        
          
        
        220000.00000000
        PA
        
        253683.82000000
        0.046898357354
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NBF5
        
          
        
        41000.00000000
        PA
        USD
        40836.00000000
        0.007549323882
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-15
          Fixed
          5.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        LENNAR CORP AUG20 72.5 CALL
        000000000
        
          
        
        -6.00000000
        NC
        USD
        -657.00000000
        -0.00012145914
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Lennar Corp
                Lennar Corp
                
                  
                  
                
              
            
            100.00000000
            72.50000000
            USD
            2020-08-21
            XXXX
            315.04000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WKLB9
        
          
        
        19174.66000000
        PA
        USD
        20432.58000000
        0.003777357336
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Visa Inc
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAE2
        
          
        
        192000.00000000
        PA
        USD
        245603.59000000
        0.045404570663
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-12-14
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        BANK OF AMERICA CORP SEP20 20 PUT
        000000000
        
          
        
        -51.00000000
        NC
        USD
        -3723.00000000
        -0.00068826850
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                Bank of America Corp
                Bank of America Corp
                
                  
                  
                
              
            
            100.00000000
            20.00000000
            USD
            2020-09-18
            XXXX
            -185.26000000
          
        
        
          N
          N
          N
        
      
      
        Entergy Louisiana LLC
        0V5453U14HDZO63CGH17
        Entergy Louisiana LLC
        29364WBB3
        
          
        
        39000.00000000
        PA
        USD
        49882.22000000
        0.009221692495
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lam Research Corp
        549300I4GMO6D34U1T02
        Lam Research Corp
        512807AS7
        
          
        
        90000.00000000
        PA
        USD
        102882.67000000
        0.019019850076
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY TRANSMISSION
        549300AINIIPOLYX2R63
        FirstEnergy Transmission LLC
        33767BAB5
        
          
        
        51000.00000000
        PA
        USD
        57679.33000000
        0.010663138982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        10662.71000000
        0.001971208033
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            38446650.00000000
            RUB
            550000.00000000
            USD
            2020-07-15
            10662.71000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST DEC20 300 CALL
        000000000
        
          
        
        136.00000000
        NC
        USD
        365840.00000000
        0.067632594993
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            300.00000000
            USD
            2020-12-18
            XXXX
            282210.74000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417C3C7
        
          
        
        11994.37000000
        PA
        USD
        12729.72000000
        0.002353334783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617BTEQ1
        
          
        
        66721.35000000
        PA
        USD
        71073.14000000
        0.013139243638
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FG5Y1
        
          
        
        8358.86000000
        PA
        USD
        9088.05000000
        0.001680101697
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Danske Bank A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAS0
        
          
        
        200000.00000000
        PA
        USD
        210121.98000000
        0.038845109262
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2022-01-12
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        S&P 500 Index Down-and-out barrier option; Barrier price USD 2,317.96000
        000000000
        
          
        
        1183.00000000
        NC
        USD
        17040.72000000
        0.003150306456
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                S&P 500 Index Down-and-out barrier option; Barrier price USD 2,317.96000
                SPX Index
              
            
            1.00000000
            2810.53000000
            USD
            2020-08-21
            XXXX
            -9866.62000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A1AG6
        
          
        
        1818.57000000
        PA
        USD
        1994.11000000
        0.000368649775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138Y8EH9
        
          
        
        8949.78000000
        PA
        USD
        9510.58000000
        0.001758214534
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WH3H3
        
          
        
        85615.29000000
        PA
        USD
        92913.66000000
        0.017176885895
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAM RESEARCH CORP
        549300I4GMO6D34U1T02
        Lam Research Corp
        512807AW8
        
          
        
        134000.00000000
        PA
        USD
        138046.01000000
        0.025520473116
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2017-500K
        36253XAS4
        
          
        
        40000.00000000
        PA
        USD
        38041.84000000
        0.007032769400
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-07-15
          Floating
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        000000000
        
          
        
        100000.00000000
        PA
        
        107509.92000000
        0.019875286675
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2049-09-18
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANQUE FED CRED MUTUEL
        VBHFXSYT7OG62HNT8T76
        Banque Federative du Credit Mutuel SA
        000000000
        
          
        
        400000.00000000
        PA
        
        448096.57000000
        0.082839311822
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-02-05
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ETBX3
        
          
        
        3925.51000000
        PA
        USD
        4183.60000000
        0.000773419321
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Union Pacific Corp
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818DP0
        
          
        
        18000.00000000
        PA
        USD
        21758.93000000
        0.004022558769
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SES SA
        5493008JPA4HYMH1HX51
        SES SA
        000000000
        
          
        
        200000.00000000
        PA
        
        223420.92000000
        0.041303675365
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-07-02
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COCA-COLA CO/THE
        UWJKFUJFZ02DKWI3RY53
        Coca-Cola Co/The
        191216CX6
        
          
        
        120000.00000000
        PA
        USD
        121097.07000000
        0.022387133966
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-01
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        27712.54000000
        0.005123198649
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            10751405.44000000
            MXN
            490421.18000000
            USD
            2020-09-23
            27712.54000000
          
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 16-1 B PTT
        N/A
        American Airlines 2016-1 Class B Pass Through Trust
        02376YAA5
        
          
        
        6628.38000000
        PA
        USD
        4384.54000000
        0.000810566963
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Florida LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAF8
        
          
        
        110000.00000000
        PA
        USD
        138608.57000000
        0.025624473205
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-07-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        BRW2PX431 SWAPTION SEP20 0.675 PUT
        000000000
        
          
        
        -783499.00000000
        OU
        Notional Amount
        USD
        -8218.83000000
        -0.00151940957
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                    IRS Swap
                    N/A
                    
                      
                    
                    783499.00000000
                    OU
                    Notional Amount
                    N/A
                    -8218.83000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-09-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  783499.00000000
                  USD
                
              
            
            1.00000000
            0.67500000
            USD
            2020-09-10
            XXXX
            11956.27000000
          
        
        
          N
          N
          N
        
      
      
        Humana Inc
        529900YLDW34GJAO4J06
        Humana Inc
        444859102
        
          
        
        100.00000000
        NS
        USD
        38775.00000000
        0.007168308197
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -33024.22000000
        -0.00610516536
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1033400.00000000
            USD
            23032315.86000000
            MXN
            2020-07-15
            -33024.22000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GVZ24
        
          
        
        155538.33000000
        PA
        USD
        169942.26000000
        0.031417111422
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSC HOLDINGS LLC
        3HG2WD2W22M120IUNG49
        CSC Holdings LLC
        126307BB2
        
          
        
        200000.00000000
        PA
        USD
        198250.00000000
        0.036650344296
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-12-01
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Berry Global Inc
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        085770AA3
        
          
        
        30000.00000000
        PA
        USD
        30450.00000000
        0.005629271040
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.340000 02-AUG-2021
        000000000
        
          
        
        38983000.00000000
        OU
        Notional Amount
        USD
        -1216281.52000000
        -0.22485314738
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2021-08-02
            0.00000000
            USD
            -358.49000000
            USD
            38983000.00000000
            USD
            -1215923.03000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.590000 25-JUL-2029
        000000000
        
          
        
        8590000.00000000
        OU
        Notional Amount
        USD
        1620910.76000000
        0.299656683119
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2029-07-25
            161.66000000
            USD
            0.00000000
            USD
            8590000.00000000
            USD
            1620749.10000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        FINANCIAL SELECT SECTOR SPDR F AUG20 21 PUT
        000000000
        
          
        
        -221.00000000
        NC
        USD
        -12928.50000000
        -0.00239008310
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                Financial Select Sector SPDR Fund
                Financial Select Sector SPDR Fund
                
                  
                  
                
              
            
            100.00000000
            21.00000000
            USD
            2020-08-21
            XXXX
            7018.78000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.160000 09-AUG-2024
        000000000
        
          
        
        12872000.00000000
        OU
        Notional Amount
        USD
        -1097307.17000000
        -0.20285843924
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2024-08-09
            0.00000000
            USD
            -193.10000000
            USD
            12872000.00000000
            USD
            -1097114.07000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST OCT20 295 PUT
        000000000
        
          
        
        -20.00000000
        NC
        USD
        -26730.00000000
        -0.00494155714
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            295.00000000
            USD
            2020-10-16
            XXXX
            13264.33000000
          
        
        
          N
          N
          N
        
      
      
        CENTRAIS ELETRICAS BRASI
        254900I8KYDELP4B4Z08
        Centrais Eletricas Brasileiras SA
        15236FAA8
        
          
        
        719000.00000000
        PA
        USD
        702822.50000000
        0.129930323352
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2025-02-04
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076CD2
        
          
        
        124000.00000000
        PA
        USD
        141674.57000000
        0.026191282565
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HONEYWELL INTERNATIONAL
        ISRPG12PN4EIEOEMW547
        Honeywell International Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        110965.13000000
        0.020514049026
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        000000000
        
          
        
        100000.00000000
        PA
        
        126056.88000000
        0.023304050708
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2039-03-07
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAC5
        
          
        
        77000.00000000
        PA
        USD
        86157.79000000
        0.015927932748
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAA9
        
          
        
        780000.00000000
        PA
        USD
        792226.33000000
        0.146458349334
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-02-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hellenic Republic
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        210000.00000000
        PA
        
        261555.08000000
        0.048353511902
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2024-04-02
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILIP MORRIS INTL INC
        HL3H1H2BGXWVG3BSWR90
        Philip Morris International Inc
        000000000
        
          
        
        310000.00000000
        PA
        
        406524.02000000
        0.075153822435
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-06-03
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OHIO POWER COMPANY
        06ZODLC132CY1O2Y7D77
        Ohio Power Co
        677415CR0
        
          
        
        124000.00000000
        PA
        USD
        150328.24000000
        0.027791080724
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48128BAG6
        
          
        
        17000.00000000
        PA
        USD
        15172.50000000
        0.002804929880
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.257500 14-DEC-2022
        000000000
        
          
        
        1735000.00000000
        OU
        Notional Amount
        USD
        88240.96000000
        0.016313046986
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2022-12-14
            15.84000000
            USD
            0.00000000
            USD
            1735000.00000000
            USD
            88225.12000000
          
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        190000.00000000
        PA
        
        251132.51000000
        0.046426698389
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2031-05-25
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AN6
        
          
        
        11000.00000000
        PA
        USD
        10505.35000000
        0.001942116996
        Long
        DBT
        
        US
        N
        
        2
        
          2030-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661DW4
        
          
        
        120000.00000000
        PA
        USD
        163771.05000000
        0.030276243976
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.460000 25-JUL-2021
        000000000
        
          
        
        19070000.00000000
        OU
        Notional Amount
        USD
        -607603.88000000
        -0.11232732104
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2021-07-26
            0.00000000
            USD
            -172.49000000
            USD
            19070000.00000000
            USD
            -607431.39000000
          
        
        
          N
          N
          N
        
      
      
        BXP Trust
        N/A
        BXP Trust 2017-CC
        05607CAL3
        
          
        
        110000.00000000
        PA
        USD
        104204.73000000
        0.019264258420
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-13
          Variable
          3.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AQ3
        
          
        
        73000.00000000
        PA
        USD
        88205.46000000
        0.016306484125
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2029-01-23
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HJF71
        
          
        
        16567.66000000
        PA
        USD
        19029.61000000
        0.003517991214
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.310000 28-JUL-2027
        000000000
        
          
        
        2570000.00000000
        OU
        Notional Amount
        USD
        -354575.17000000
        -0.06555007344
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2027-07-28
            0.00000000
            USD
            -39.11000000
            USD
            2570000.00000000
            USD
            -354536.06000000
          
        
        
          N
          N
          N
        
      
      
        HUNGARY
        5299008DH62LEB10JK83
        Hungary Government International Bond
        000000000
        
          
        
        140000.00000000
        PA
        
        154216.49000000
        0.028509898889
        Long
        DBT
        NUSS
        HU
        N
        
        2
        
          2035-06-05
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -45200.47000000
        -0.00835618051
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            607000.00000000
            USD
            3055122.05000000
            BRL
            2020-07-02
            -45200.47000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        BRW62VY95 USD PUT BRL CALL JUL20 5.2 PUT
        000000000
        
          
        
        1282000.00000000
        OU
        Notional Amount
        USD
        12027.72000000
        0.002223556515
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Put
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    12027.72000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1282000.00000000
                  USD
                  6666400.00000000
                  BRL
                  2020-07-20
                
              
            
            1.00000000
            5.20000000
            USD
            2020-07-20
            XXXX
            -8156.08000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        000000000
        
          
        
        100000.00000000
        PA
        
        120720.03000000
        0.022317430834
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-19
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8WF8
        
          
        
        367040.68000000
        PA
        USD
        398720.05000000
        0.073711107745
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAA1
        
          
        
        80000.00000000
        PA
        USD
        61400.00000000
        0.011350976745
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHF9
        
          
        
        761000.00000000
        PA
        USD
        813480.19000000
        0.150387536152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-05
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BEACON ROOFING SUPPLY IN
        549300HDXQWWCBOYXP31
        Beacon Roofing Supply Inc
        073685AD1
        
          
        
        30000.00000000
        PA
        USD
        26775.00000000
        0.004949876260
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DBUBS Mortgage Trust
        N/A
        DBUBS 2017-BRBK Mortgage Trust
        23305JAL6
        
          
        
        400000.00000000
        PA
        USD
        393097.32000000
        0.072671637428
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-10
          Variable
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JBS USA/FOOD/FINANCE
        N/A
        JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
        46590XAA4
        
          
        
        34000.00000000
        PA
        USD
        36082.50000000
        0.006670547531
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2029-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW4ULW69 USD CALL MXN PUT JUL20 25 CALL
        000000000
        
          
        
        -449000.00000000
        OU
        Notional Amount
        USD
        -298.59000000
        -0.00005520013
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -298.59000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  449000.00000000
                  USD
                  11225000.00000000
                  MXN
                  2020-07-09
                
              
            
            1.00000000
            25.00000000
            USD
            2020-07-09
            XXXX
            8429.97000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        SWAP/CDSWAP/SCDS: (MEX)
        000000000
        
          
        
        966990.00000000
        OU
        Notional Amount
        USD
        26132.56000000
        0.004831108808
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            
              
                Mexico Government International Bond
                Mexico Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            78757.01000000
            USD
            0.00000000
            USD
            966990.00000000
            USD
            -52624.45000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FMDA1
        
          
        
        24213.00000000
        PA
        USD
        25730.92000000
        0.004756857891
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9U84
        
          
        
        21441.92000000
        PA
        USD
        22985.76000000
        0.004249362007
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Capital One Financial Corp
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040H105
        
          
        
        600.00000000
        NS
        USD
        37554.00000000
        0.006942582747
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: OIS -0.470000 03-JUN-2023
        000000000
        
          
        
        4750000.00000000
        OU
        Notional Amount
        
        4340.97000000
        0.000802512207
        N/A
        DIR
        
        XX
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                EUR - 1D Effective Overnight Index Average (EONIA)
                EONIA Index
              
            
            Y
            
            
              
                
              
            
            2023-06-05
            25.96000000
            EUR
            0.00000000
            EUR
            4750000.00000000
            EUR
            4311.98000000
          
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2014-CCRE21 Mortgage Trust
        12592RBF5
        
          
        
        347156.08000000
        PA
        USD
        373135.61000000
        0.068981329512
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-12-10
          Fixed
          3.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -7878.14000000
        -0.00145642644
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            530000.00000000
            EUR
            474789.90000000
            GBP
            2020-09-16
            -7878.14000000
          
        
        
          N
          N
          N
        
      
      
        LYB INT FINANCE III
        N/A
        LYB International Finance III LLC
        50249AAD5
        
          
        
        22000.00000000
        PA
        USD
        23680.55000000
        0.004377807367
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAL5
        
          
        
        44000.00000000
        PA
        USD
        51022.57000000
        0.009432508234
        Long
        DBT
        
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36197MRR1
        
          
        
        35981.69000000
        PA
        USD
        40551.73000000
        0.007496771078
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Corning Inc
        549300X2937PB0CJ7I56
        Corning Inc
        219350AZ8
        
          
        
        15000.00000000
        PA
        USD
        15917.90000000
        0.002942731477
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AME
        54930043TEPI4UKGHU90
        Tiaa Clo III Ltd
        87272HAA8
        
          
        
        400000.00000000
        PA
        USD
        389203.96000000
        0.071951874581
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-16
          Floating
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        ICE: (CDX.NA.HY.34.V1)
        000000000
        
          
        
        5139500.00000000
        OU
        Notional Amount
        USD
        669179.08000000
        0.123710686901
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.HY.S34.V1
                2I65BRTL4
              
            
            Y
            
            sell protection
            2025-06-21
            349103.49000000
            USD
            0.00000000
            USD
            5139500.00000000
            USD
            320075.59000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        FSWP: USD 2.295000 09-AUG-2024
        000000000
        
          
        
        2397000.00000000
        OU
        Notional Amount
        USD
        218823.93000000
        0.040453832912
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2024-08-09
            35.87000000
            USD
            0.00000000
            USD
            2397000.00000000
            USD
            218788.06000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        653.26000000
        0.000120767737
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            238491.26000000
            USD
            18210000.00000000
            INR
            2020-09-16
            653.26000000
          
        
        
          N
          N
          N
        
      
      
        BBVA BANCOMER SA TEXAS
        549300WIWQK5Q9MCUN92
        BBVA Bancomer SA/Texas
        05533UAG3
        
          
        
        679000.00000000
        PA
        USD
        662237.19000000
        0.122427344361
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2034-09-13
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5VC2A9 EURC USDP AUG20 1.1425 CALL
        000000000
        
          
        
        880000.00000000
        OU
        Notional Amount
        
        5705.67000000
        0.001054803379
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    5705.67000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1005400.00000000
                  USD
                  880000.00000000
                  EUR
                  2020-08-31
                
              
            
            1.00000000
            1.14250000
            EUR
            2020-08-31
            XXXX
            -7096.52000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: OIS -0.470800 05-APR-2023
        000000000
        
          
        
        15800000.00000000
        OU
        Notional Amount
        
        15240.83000000
        0.002817562001
        N/A
        DIR
        
        XX
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                EUR - 1D Effective Overnight Index Average (EONIA)
                EONIA Index
              
            
            Y
            
            
              
                
              
            
            2023-04-05
            0.00000000
            EUR
            -196.60000000
            EUR
            15800000.00000000
            EUR
            15456.12000000
          
        
        
          N
          N
          N
        
      
      
        DAIMLER FINANCE NA LLC
        549300423Z16BB673J12
        Daimler Finance North America LLC
        233851DN1
        
          
        
        170000.00000000
        PA
        USD
        175743.17000000
        0.032489521756
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-11-05
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        FINANCIAL SELECT SECTOR SPDR F JUL20 19 PUT
        000000000
        
          
        
        -167.00000000
        NC
        USD
        -668.00000000
        -0.00012349271
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                Financial Select Sector SPDR Fund
                Financial Select Sector SPDR Fund
                
                  
                  
                
              
            
            100.00000000
            19.00000000
            USD
            2020-07-17
            XXXX
            8727.40000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HMN7
        
          
        
        95000.00000000
        PA
        USD
        107454.26000000
        0.019864996848
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        273000.00000000
        PA
        USD
        283664.06000000
        0.052440784179
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2022-04-25
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EEHB8
        
          
        
        1117.40000000
        PA
        USD
        1215.06000000
        0.000224627325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY TRANSMISSION
        549300AINIIPOLYX2R63
        FirstEnergy Transmission LLC
        33767BAA7
        
          
        
        36000.00000000
        PA
        USD
        46519.50000000
        0.008600028708
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-07-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.530000 02-DEC-2024
        000000000
        
          
        
        10260041.00000000
        OU
        Notional Amount
        USD
        -572490.66000000
        -0.10583596366
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2024-12-02
            0.00000000
            USD
            -165.42000000
            USD
            10260041.00000000
            USD
            -572325.24000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        0J0XRGZE3PBRFEZ7MV65
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AZ7
        
          
        
        136000.00000000
        PA
        USD
        179720.33000000
        0.033224776653
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-10-23
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJH35
        
          
        
        4798.26000000
        PA
        USD
        5116.61000000
        0.000945904252
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AQ1
        
          
        
        169000.00000000
        PA
        USD
        171162.86000000
        0.031642762924
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-06-05
          Fixed
          2.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vonovia Finance BV
        5299009XLZLD9TALOZ03
        Vonovia Finance BV
        000000000
        
          
        
        200000.00000000
        PA
        
        226272.81000000
        0.041830902353
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-01-25
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        000000000
        
          
        
        100000.00000000
        PA
        
        111483.74000000
        0.020609924108
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-01-13
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS MORTGAGE TRUST 2017-C1
        07332VBE4
        
          
        
        1200000.00000000
        PA
        USD
        1304084.04000000
        0.241085140267
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -428.05000000
        -0.00007913331
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            67950.78000000
            USD
            60000.00000000
            EUR
            2020-09-16
            -428.05000000
          
        
        
          N
          N
          N
        
      
      
        AEP Texas Inc
        1B4S6S7G0TW5EE83BO58
        AEP Texas Inc
        0010EPAN8
        
          
        
        110000.00000000
        PA
        USD
        121950.01000000
        0.022544816411
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABE4
        
          
        
        536000.00000000
        PA
        USD
        596546.56000000
        0.110283161730
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE Futures Europe - Financial Products Division
        N/A
        LONG GILT FUTURE  SEP20 IFLL 20200928
        000000000
        
          
        
        73.00000000
        NC
        
        26610.76000000
        0.004919513321
        N/A
        DIR
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe - Financial Products Division
              N/A
            
            Long
            
              
                United Kingdom Gilt
                G U0 Comdty
              
            
            2020-09-28
            10026244.13000000
            GBP
            26610.76000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        R0MUWSFPU8MPRO8K5P83
        BRW6DSDV4 RRP PETROLEOS M RRP BNPNR OPEN
        000000000
        
          
        
        -174279.97000000
        PA
        USD
        -174279.97000000
        -0.03221902095
        Short
        RA
        CORP
        US
        N
        
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.00000000
          2049-12-31
          
            
              174279.97000000
              USD
              174279.97000000
              USD
              CDS
            
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.089500 27-APR-2028
        000000000
        
          
        
        540000.00000000
        OU
        Notional Amount
        USD
        -109976.15000000
        -0.02033121695
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2028-04-27
            0.00000000
            USD
            -8.63000000
            USD
            540000.00000000
            USD
            -109967.52000000
          
        
        
          N
          N
          N
        
      
      
        Ameren Illinois Co
        RC71E2BZ6UOMFPDJSE79
        Ameren Illinois Co
        02361DAS9
        
          
        
        100000.00000000
        PA
        USD
        115399.47000000
        0.021333822482
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        200000.00000000
        PA
        
        28980.60000000
        0.005357624050
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2024-04-11
          Fixed
          3.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -80414.45000000
        -0.01486616534
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3725000.00000000
            USD
            259804222.50000000
            RUB
            2020-07-15
            -80414.45000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        860.61000000
        0.000159100392
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            80000.00000000
            EUR
            90890.91000000
            USD
            2020-09-16
            860.61000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED CNH / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        0.91000000
        0.000000168231
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            2278.00000000
            AUD
            11169.00000000
            CNY
            2020-09-16
            0.91000000
          
        
        
          N
          N
          N
        
      
      
        Tenet Healthcare Corp
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GCU2
        
          
        
        33000.00000000
        PA
        USD
        31851.93000000
        0.005888444897
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.010000 13-JUL-2048
        000000000
        
          
        
        3035000.00000000
        OU
        Notional Amount
        USD
        1672584.77000000
        0.309209622628
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2048-07-13
            79.78000000
            USD
            0.00000000
            USD
            3035000.00000000
            USD
            1672504.99000000
          
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY FLORIDA LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAH4
        
          
        
        143000.00000000
        PA
        USD
        154560.52000000
        0.028573499483
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CL2
        
          
        
        584000.00000000
        PA
        USD
        656325.26000000
        0.121334409834
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-20
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGICEL INTL FINANCE LTD
        N/A
        Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd
        25381XAA1
        
          
        
        119630.00000000
        PA
        USD
        116657.95000000
        0.021566476834
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2024-05-25
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L8EV5
        
          
        
        92600.27000000
        PA
        USD
        100523.98000000
        0.018583800641
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Battalion CLO LTD
        549300O0R7FIDPTPCK50
        Battalion CLO XI Ltd
        07132MAA5
        
          
        
        400000.00000000
        PA
        USD
        349142.16000000
        0.064545676532
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-24
          Floating
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOW CHEMICAL CO/THE
        ZQUIP1CSZO8LXRBSOU78
        Dow Chemical Co/The
        260543CX9
        
          
        
        78000.00000000
        PA
        USD
        85890.79000000
        0.015878572637
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Western Digital Corp
        549300QQXOOYEF89IC56
        Western Digital Corp
        958102105
        
          
        
        2935.00000000
        NS
        USD
        129580.25000000
        0.023955413753
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        AMER AIRLINE 16-2 B PTT
        N/A
        American Airlines 2016-2 Class B Pass Through Trust
        02376GAA4
        
          
        
        68500.00000000
        PA
        USD
        47635.34000000
        0.008806313299
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F052672
        
          
        
        122000.00000000
        PA
        USD
        134240.17000000
        0.024816890032
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidAmerican Energy Co
        NINLOILYRTLIMK26MZ18
        MidAmerican Energy Co
        595620AS4
        
          
        
        23000.00000000
        PA
        USD
        27242.80000000
        0.005036358131
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-08-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        DR HORTON INC AUG20 65 CALL
        000000000
        
          
        
        -7.00000000
        NC
        USD
        -535.50000000
        -0.00009899752
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                DR Horton Inc
                DR Horton Inc
                
                  
                  
                
              
            
            100.00000000
            65.00000000
            USD
            2020-08-21
            XXXX
            185.56000000
          
        
        
          N
          N
          N
        
      
      
        Northwest Pipeline LLC
        549300FFKMN9OW536A14
        Northwest Pipeline LLC
        66775VAB1
        
          
        
        393000.00000000
        PA
        USD
        430307.40000000
        0.079550639916
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST SEP20 294 CALL
        000000000
        
          
        
        8.00000000
        NC
        USD
        20352.00000000
        0.003762460565
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            294.00000000
            USD
            2020-09-30
            XXXX
            12242.69000000
          
        
        
          N
          N
          N
        
      
      
        LVMH MOET HENNESSY VUITT
        IOG4E947OATN0KJYSD45
        LVMH Moet Hennessy Louis Vuitton SE
        000000000
        
          
        
        100000.00000000
        PA
        
        109952.18000000
        0.020326785640
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2031-02-11
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SJ8
        
          
        
        600000.00000000
        PA
        USD
        721570.31000000
        0.133396218390
        Long
        DBT
        UST
        US
        N
        
        2
        
          2049-08-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEXAS INSTRUMENTS INC
        WDJNR2L6D8RWOEB8T652
        Texas Instruments Inc
        882508BJ2
        
          
        
        189000.00000000
        PA
        USD
        191798.35000000
        0.035457632096
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-04
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        575.75000000
        0.000106438515
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            224500.00000000
            USD
            200000.00000000
            EUR
            2020-09-16
            575.75000000
          
        
        
          N
          N
          N
        
      
      
        Post Holdings Inc
        JM1I5YUAURL6DC8N1468
        Post Holdings Inc
        737446AK0
        
          
        
        39000.00000000
        PA
        USD
        39146.25000000
        0.007236940935
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMAZON.COM INC
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BT2
        
          
        
        89000.00000000
        PA
        USD
        91369.16000000
        0.016891355218
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-03
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        CARNIVAL CORP JUL20 17.5 PUT
        000000000
        
          
        
        17.00000000
        NC
        USD
        3825.00000000
        0.000707125180
        N/A
        DE
        
        PA
        
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                Carnival Corp
                Carnival Corp
                
                  
                
              
            
            100.00000000
            17.50000000
            USD
            2020-07-17
            XXXX
            964.94000000
          
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        120000.00000000
        PA
        
        149955.91000000
        0.027722248327
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2067-03-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        JPMORGAN CHASE + CO DEC20 110 CALL
        000000000
        
          
        
        34.00000000
        NC
        USD
        13090.00000000
        0.002419939504
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                JPMorgan Chase & Co
                JPMorgan Chase & Co
                
                  
                  
                
              
            
            100.00000000
            110.00000000
            USD
            2020-12-18
            XXXX
            -5584.46000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LV1
        
          
        
        24000.00000000
        PA
        USD
        24823.47000000
        0.004589098220
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-24
          Fixed
          3.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L3HARRIS TECH INC
        549300UTE50ZMDBG8A20
        L3Harris Technologies Inc
        413875AW5
        
          
        
        161000.00000000
        PA
        USD
        190446.06000000
        0.035207635152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NVIDIA Corp
        549300S4KLFTLO7GSQ80
        NVIDIA Corp
        67066G104
        
          
        
        239.00000000
        NS
        USD
        90798.49000000
        0.016785855839
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST AUG20 325 CALL
        000000000
        
          
        
        20.00000000
        NC
        USD
        7380.00000000
        0.001364335641
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            325.00000000
            USD
            2020-08-21
            XXXX
            -6264.78000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617AXW42
        
          
        
        19745.86000000
        PA
        USD
        20998.98000000
        0.003882067323
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-06-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOLLAR GENERAL CORP
        OPX52SQVOZI8IVSWYU66
        Dollar General Corp
        256677AH8
        
          
        
        17000.00000000
        PA
        USD
        20342.42000000
        0.003760689517
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-03
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132WJUE9
        
          
        
        8349.19000000
        PA
        USD
        9063.60000000
        0.001675581642
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
        
        16703000000.00000000
        PA
        
        1157429.62000000
        0.213973236178
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2035-06-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        FSWP: IFS 3.580000 15-DEC-2029
        000000000
        
          
        
        550000.00000000
        OU
        Notional Amount
        
        28654.83000000
        0.005297399169
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
            
              
                
              
            
            2029-12-17
            22.44000000
            GBP
            0.00000000
            GBP
            550000.00000000
            GBP
            28625.23000000
          
        
        
          N
          N
          N
        
      
      
        CITGO HOLDING INC
        549300NYHOALWZ2BSL72
        Citgo Holding Inc
        17302WAB4
        
          
        
        802000.00000000
        PA
        USD
        797990.00000000
        0.147523875134
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARSH & MCLENNAN COS INC
        549300XMP3KDCKJXIU47
        Marsh & McLennan Cos Inc
        000000000
        
          
        
        535000.00000000
        PA
        
        627334.32000000
        0.115974874235
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-21
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cisco Systems Inc
        8E6NF1YAL0WT6CWXXV93
        Cisco Systems Inc
        17275R102
        
          
        
        399.00000000
        NS
        USD
        18609.36000000
        0.003440299879
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        PUMA INTERNATIONAL FINAN
        222100YFBPO7IDRUBR17
        Puma International Financing SA
        000000000
        
          
        
        200000.00000000
        PA
        USD
        166437.50000000
        0.030769188796
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-01-24
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RRAM
        549300YH0VOGWM5JZF65
        RR 3 Ltd
        74988LAA2
        
          
        
        400000.00000000
        PA
        USD
        390404.80000000
        0.072173873065
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-01-15
          Floating
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FCTF5
        
          
        
        11471.96000000
        PA
        USD
        12399.68000000
        0.002292320510
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DAR0
        
          
        
        50000.00000000
        PA
        USD
        55872.39000000
        0.010329091198
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-20
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIS NORTH AMERICA INC
        5493004KVU1HWZCP0C66
        Willis North America Inc
        970648AJ0
        
          
        
        333000.00000000
        PA
        USD
        352499.73000000
        0.065166388242
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -179.74000000
        -0.00003322841
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            56448.68000000
            USD
            50000.00000000
            EUR
            2020-09-16
            -179.74000000
          
        
        
          N
          N
          N
        
      
      
        VIRGINIA ELEC & POWER CO
        CQKUMNNZVDJLRYV2PT43
        Virginia Electric and Power Co
        927804FW9
        
          
        
        15000.00000000
        PA
        USD
        17776.15000000
        0.003286264906
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GNNQ2
        
          
        
        97255.74000000
        PA
        USD
        106211.40000000
        0.019635230155
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7UG8
        
          
        
        33539.11000000
        PA
        USD
        37213.62000000
        0.006879656925
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PG&E CORP
        8YQ2GSDWYZXO2EDN3511
        PG&E Corp
        69331CAH1
        
          
        
        175000.00000000
        PA
        USD
        174947.50000000
        0.032342426778
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COM CELULARES(COM TRUST)
        549300W3HHHYJSCDBJ77
        Comunicaciones Celulares SA Via Comcel Trust
        200303AA3
        
          
        
        200000.00000000
        PA
        USD
        204534.00000000
        0.037812063154
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-02-06
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFM1
        
          
        
        130000.00000000
        PA
        USD
        133293.52000000
        0.024641883483
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        BJ'S WHOLESALE CLUB HOLDINGS I NOV20 30 PUT
        000000000
        
          
        
        43.00000000
        NC
        USD
        6772.50000000
        0.001252027524
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                BJ's Wholesale Club Holdings Inc
                BJ's Wholesale Club Holdings Inc
                
                  
                  
                
              
            
            100.00000000
            30.00000000
            USD
            2020-11-20
            XXXX
            -3815.77000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE ASSRNCES
        969500K2MUPSI57XK083
        Credit Agricole Assurances SA
        000000000
        
          
        
        300000.00000000
        PA
        
        339850.55000000
        0.062827942834
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2048-01-29
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLP CAPITAL LP / FIN II
        5493006GWRDBCZYWTM57
        GLP Capital LP / GLP Financing II Inc
        361841AJ8
        
          
        
        70000.00000000
        PA
        USD
        76118.00000000
        0.014071883516
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITAU UNIBANCO HLDG SA/KY
        5493002W2IVG62O3ZJ94
        Itau Unibanco Holding SA/Cayman Island
        46556JAB5
        
          
        
        455000.00000000
        PA
        USD
        448297.30000000
        0.082876420642
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2025-01-24
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703DAZ4
        
          
        
        34000.00000000
        PA
        USD
        37515.66000000
        0.006935494857
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORFOLK SOUTHERN CORP
        54930036C8MWP850MI84
        Norfolk Southern Corp
        655844CD8
        
          
        
        42000.00000000
        PA
        USD
        45747.68000000
        0.008457342863
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 16-3 AA PTT
        N/A
        American Airlines 2016-3 Class AA Pass Through Trust
        023771R91
        
          
        
        62664.67000000
        PA
        USD
        57472.10000000
        0.010624828511
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        000000000
        
          
        
        190000.00000000
        PA
        
        221927.95000000
        0.041027671004
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-04
          Fixed
          1.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -58955.90000000
        -0.01089913762
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            911000.00000000
            USD
            699648000.00000000
            CLP
            2020-07-15
            -58955.90000000
          
        
        
          N
          N
          N
        
      
      
        CELULOSA ARAUCO CONSTITU
        549300QEKV8G0AMNQD28
        Celulosa Arauco y Constitucion SA
        151191BE2
        
          
        
        200000.00000000
        PA
        USD
        206000.00000000
        0.038083081589
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2029-04-30
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.163000 29-SEP-2022
        000000000
        
          
        
        1860000.00000000
        OU
        Notional Amount
        USD
        91483.86000000
        0.016912559730
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2022-09-29
            0.00000000
            USD
            0.00000000
            USD
            1860000.00000000
            USD
            91483.86000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        INVESCO QQQ TRUST SERIES 1 AUG20 255 CALL
        000000000
        
          
        
        34.00000000
        NC
        USD
        20587.00000000
        0.003805904857
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                Invesco QQQ Trust Series 1
                Invesco QQQ Trust Series 1
                
                  
                  
                
              
            
            100.00000000
            255.00000000
            USD
            2020-08-21
            XXXX
            620.88000000
          
        
        
          N
          N
          N
        
      
      
        OHIO POWER COMPANY
        06ZODLC132CY1O2Y7D77
        Ohio Power Co
        199575AT8
        
          
        
        22000.00000000
        PA
        USD
        31443.13000000
        0.005812870316
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-03-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Olympic Tower Mortgage Trust
        N/A
        Olympic Tower 2017-OT Mortgage Trust
        68162MAL6
        
          
        
        130000.00000000
        PA
        USD
        121563.87000000
        0.022473430968
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-05-10
          Variable
          4.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oak Hill Credit Partners
        N/A
        OHA Credit Funding 3 LTD
        67112RAG9
        
          
        
        1000000.00000000
        PA
        USD
        972251.90000000
        0.179739555501
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-20
          Variable
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHENIERE CORP CHRISTI HD
        549300I7CIEWU1BBLQ53
        Cheniere Corpus Christi Holdings LLC
        16412XAG0
        
          
        
        77000.00000000
        PA
        USD
        84613.07000000
        0.015642361399
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-30
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST DEC21 305 CALL
        000000000
        
          
        
        68.00000000
        NC
        USD
        235382.00000000
        0.043514912188
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            305.00000000
            USD
            2021-12-17
            XXXX
            138261.76000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        USDJPY Down-and-in barrier option; Barrier range USD 104.95000-1.06800
        000000000
        
          
        
        193000.00000000
        OU
        Notional Amount
        USD
        19.30000000
        0.000003567978
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    USDJPY Down-and-in barrier option; Barrier range USD 104.95000-1.06800
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    19.30000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  20255350.00000000
                  JPY
                  193000.00000000
                  USD
                  2020-07-29
                
              
            
            1.00000000
            104.95000000
            USD
            2020-07-29
            XXXX
            -15903.20000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        6635.64000000
        0.001226726308
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            312384.45000000
            GBP
            350000.00000000
            EUR
            2020-09-16
            6635.64000000
          
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
        
        3150000000.00000000
        PA
        
        201547.08000000
        0.037259873261
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2033-05-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030686
        
          
        
        8800000.00000000
        PA
        USD
        9252531.38000000
        1.710509259492
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        225562.50000000
        0.041699587820
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2026-01-08
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.120000 27-APR-2048
        000000000
        
          
        
        870000.00000000
        OU
        Notional Amount
        USD
        494303.07000000
        0.091381476431
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2048-04-27
            21.16000000
            USD
            0.00000000
            USD
            870000.00000000
            USD
            494281.91000000
          
        
        
          N
          N
          N
        
      
      
        COLONIAL ENTERPRISES INC
        N/A
        Colonial Enterprises Inc
        19565CAA8
        
          
        
        5000.00000000
        PA
        USD
        5448.56000000
        0.001007271626
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4636.37000000
        0.000857122606
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            313997.22000000
            GBP
            350000.00000000
            EUR
            2020-09-16
            4636.37000000
          
        
        
          N
          N
          N
        
      
      
        Motorola Solutions Inc
        6S552MUG6KGJVEBSEC55
        Motorola Solutions Inc
        620076BE8
        
          
        
        95000.00000000
        PA
        USD
        106699.09000000
        0.019725389077
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRTVEKXW5 EUR PUT USD CALL JUL20 1.115 PUT
        000000000
        
          
        
        846000.00000000
        OU
        Notional Amount
        
        3445.49000000
        0.000636965421
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    3445.49000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  943290.00000000
                  USD
                  846000.00000000
                  EUR
                  2020-07-23
                
              
            
            1.00000000
            1.11500000
            EUR
            2020-07-23
            XXXX
            -8349.18000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L7YZ6
        
          
        
        27828.88000000
        PA
        USD
        30410.31000000
        0.005621933577
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTHEM INC
        8MYN82XMYQH89CTMTH67
        Anthem Inc
        036752AM5
        
          
        
        100000.00000000
        PA
        USD
        103448.19000000
        0.019124397378
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAQ2
        
          
        
        10000.00000000
        PA
        USD
        11057.72000000
        0.002044233266
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-14
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABC8
        
          
        
        425000.00000000
        PA
        USD
        470972.25000000
        0.087068323413
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        527000.00000000
        PA
        
        602260.72000000
        0.111339534650
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2026-06-20
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gilead Sciences Inc
        549300WTZWR07K8MNV44
        Gilead Sciences Inc
        375558BF9
        
          
        
        15000.00000000
        PA
        USD
        17170.11000000
        0.003174226699
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179R4E6
        
          
        
        865181.78000000
        PA
        USD
        926455.12000000
        0.171273135553
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELANCO ANIMAL HEALTH INC
        549300SHPNDCE059M934
        Elanco Animal Health Inc
        28414HAG8
        
          
        
        17000.00000000
        PA
        USD
        18849.60000000
        0.003484712887
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-28
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST SEP20 230 PUT
        000000000
        
          
        
        -25.00000000
        NC
        USD
        -5100.00000000
        -0.00094283357
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            230.00000000
            USD
            2020-09-30
            XXXX
            60539.47000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFU8
        
          
        
        73000.00000000
        PA
        USD
        84040.85000000
        0.015536575472
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-03
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.180000 01-AUG-2021
        000000000
        
          
        
        29547000.00000000
        OU
        Notional Amount
        USD
        -839409.00000000
        -0.15518097783
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2021-08-02
            0.00000000
            USD
            -271.72000000
            USD
            29547000.00000000
            USD
            -839137.28000000
          
        
        
          N
          N
          N
        
      
      
        INDIA GOVERNMENT BOND
        N/A
        India Government Bond
        000000000
        
          
        
        41350000.00000000
        PA
        
        584334.11000000
        0.108025454304
        Long
        DBT
        NUSS
        IN
        N
        
        2
        
          2028-01-08
          Fixed
          7.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST DEC20 250 PUT
        000000000
        
          
        
        -43.00000000
        NC
        USD
        -36270.50000000
        -0.00670530296
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            250.00000000
            USD
            2020-12-31
            XXXX
            -4074.49000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        254900HROIFWPRGM1V77
        Freddie Mac Gold Pool
        3128MJJN1
        
          
        
        32125.49000000
        PA
        USD
        36811.63000000
        0.006805341304
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST AUG20 290 PUT
        000000000
        
          
        
        68.00000000
        NC
        USD
        44370.00000000
        0.008202652088
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            290.00000000
            USD
            2020-08-21
            XXXX
            4321.01000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        000000000
        
          
        
        135000.00000000
        PA
        
        161896.07000000
        0.029929617683
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-27
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Booking Holdings Inc
        FXM8FAOHMYDIPD38UZ17
        Booking Holdings Inc
        741503AW6
        
          
        
        266000.00000000
        PA
        USD
        292093.78000000
        0.053999180852
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEXAS EASTERN TRANSMISSI
        549300SIOULUXXIDGA69
        Texas Eastern Transmission LP
        882384AE0
        
          
        
        110000.00000000
        PA
        USD
        119810.37000000
        0.022149262601
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-01-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW4V5NE6 USD PUT MXN CALL OCT20 23.8 PUT
        000000000
        
          
        
        1496000.00000000
        OU
        Notional Amount
        USD
        72530.57000000
        0.013408677742
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    72530.57000000
                    0.01000000
                    DFE
                    
                    XX
                  
                  35604800.00000000
                  MXN
                  1496000.00000000
                  USD
                  2020-10-09
                
              
            
            1.00000000
            23.80000000
            USD
            2020-10-09
            XXXX
            22788.57000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -2205.97000000
        -0.00040781619
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            15977000.00000000
            CNY
            2248470.25000000
            USD
            2020-09-16
            -2205.97000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO SR UNSECURED REGS
        5493008B6JBRUJ90QL97
        GENERAL MOTORS FINL CO SR UNSECURED REGS 02/26 0.85
        000000000
        
          
        
        100000.00000000
        PA
        
        98111.85000000
        0.018137871788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-26
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        000000000
        
          
        
        100000.00000000
        PA
        
        111173.43000000
        0.020552557307
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-07-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSDIGM INC
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647BK2
        
          
        
        174000.00000000
        PA
        USD
        182872.26000000
        0.033807471835
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WGYM0
        
          
        
        39570.01000000
        PA
        USD
        41958.27000000
        0.007756797183
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBX2
        
          
        
        100000.00000000
        PA
        USD
        111287.96000000
        0.020573730391
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        100000.00000000
        PA
        USD
        104250.00000000
        0.019272627454
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2025-09-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        ICE: (ITRAXX.XO.33.V1)
        000000000
        
          
        
        1451855.00000000
        OU
        Notional Amount
        
        55948.44000000
        0.010343150511
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Crossover S33.V1
                2I667KHL5
              
            
            Y
            
            sell protection
            2025-06-21
            0.00000000
            EUR
            -13964.83000000
            EUR
            1451855.00000000
            EUR
            71624.84000000
          
        
        
          N
          N
          N
        
      
      
        Gilead Sciences Inc
        549300WTZWR07K8MNV44
        Gilead Sciences Inc
        375558BK8
        
          
        
        118000.00000000
        PA
        USD
        150086.91000000
        0.027746466209
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-03-01
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2S1
        
          
        
        562000.00000000
        PA
        USD
        580666.43000000
        0.107347412767
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-02
          Fixed
          2.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN GROUP AMERICA
        5493002SQ1AVQBY41K40
        Volkswagen Group of America Finance LLC
        928668AZ5
        
          
        
        245000.00000000
        PA
        USD
        253084.13000000
        0.046787493067
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-09-26
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        FSWP: USD 2.310000 09-AUG-2024
        000000000
        
          
        
        3995000.00000000
        OU
        Notional Amount
        USD
        367402.36000000
        0.067921427437
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2024-08-09
            59.78000000
            USD
            0.00000000
            USD
            3995000.00000000
            USD
            367342.58000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.050000 30-APR-2028
        000000000
        
          
        
        2235000.00000000
        OU
        Notional Amount
        USD
        -449265.55000000
        -0.08305542036
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2028-04-28
            0.00000000
            USD
            -35.75000000
            USD
            2235000.00000000
            USD
            -449229.80000000
          
        
        
          N
          N
          N
        
      
      
        Olympic Tower Mortgage Trust
        N/A
        Olympic Tower 2017-OT Mortgage Trust
        68162MAN2
        
          
        
        160000.00000000
        PA
        USD
        137180.74000000
        0.025360511232
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-05-10
          Variable
          4.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Embraer Overseas Ltd
        549300EM51WYXFHUY333
        Embraer Overseas Ltd
        000000000
        
          
        
        559000.00000000
        PA
        USD
        532622.19000000
        0.098465506399
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-09-16
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CenturyLink Inc
        8M3THTGWLTYZVE6BBY25
        CenturyLink Inc
        156700AZ9
        
          
        
        11000.00000000
        PA
        USD
        11374.00000000
        0.002102703737
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: OIS -0.506790 24-MAY-2023
        000000000
        
          
        
        6760000.00000000
        OU
        Notional Amount
        
        3364.55000000
        0.000622002097
        N/A
        DIR
        
        XX
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                EUR - 1D Effective Overnight Index Average (EONIA)
                EONIA Index
              
            
            Y
            
            
              
                
              
            
            2023-05-24
            372.22000000
            EUR
            0.00000000
            EUR
            6760000.00000000
            EUR
            2955.95000000
          
        
        
          N
          N
          N
        
      
      
        KENBOURNE INVEST SA
        222100QGH6Y9KFYZ4B27
        Kenbourne Invest SA
        48855KAA8
        
          
        
        362000.00000000
        PA
        USD
        364595.11000000
        0.067402453016
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-11-26
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        73218.84000000
        0.013535917755
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            3729346.50000000
            BRL
            759000.00000000
            USD
            2020-07-02
            73218.84000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: AUD 0.435000 16-MAY-2024
        000000000
        
          
        
        5724879.00000000
        OU
        Notional Amount
        
        3408.99000000
        0.000630217690
        N/A
        DIR
        
        AU
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                AUD - 3M Australian Bank Bill Rate (BBSW)
                AU1303M Index
              
            
            Y
            
            
              
                
              
            
            2024-05-16
            109.06000000
            AUD
            0.00000000
            AUD
            5724879.00000000
            AUD
            3336.91000000
          
        
        
          N
          N
          N
        
      
      
        KIMBERLY-CLARK DE MEXICO
        549300JGHL56QT00KT54
        Kimberly-Clark de Mexico SAB de CV
        494386AD7
        
          
        
        330000.00000000
        PA
        USD
        334125.00000000
        0.061769464253
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-07-01
          Fixed
          2.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCK5
        
          
        
        120000.00000000
        PA
        USD
        145916.87000000
        0.026975553716
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAH4
        
          
        
        142000.00000000
        PA
        USD
        163210.94000000
        0.030172696817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERYX2
        
          
        
        68352.50000000
        PA
        USD
        75840.22000000
        0.014020530514
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BASF SE
        529900PM64WH8AF1E917
        BASF SE
        000000000
        
          
        
        995000.00000000
        PA
        
        1170737.89000000
        0.216433527111
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2022-12-05
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        VANECK VECTORS SEMICONDUCTOR E AUG20 160 CALL
        000000000
        
          
        
        27.00000000
        NC
        USD
        12622.50000000
        0.002333513094
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                VanEck Vectors Semiconductor ETF
                VanEck Vectors Semiconductor ETF
                
                  
                  
                
              
            
            100.00000000
            160.00000000
            USD
            2020-08-21
            XXXX
            -3583.95000000
          
        
        
          N
          N
          N
        
      
      
        Anchorage Capital CLO LTD
        549300MP4QPQUMB6AD63
        Anchorage Capital CLO 4-R Ltd
        03328LAA0
        
          
        
        400000.00000000
        PA
        USD
        388975.04000000
        0.071909554294
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-28
          Floating
          1.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMGEN INC
        62QBXGPJ34PQ72Z12S66
        Amgen Inc
        031162CR9
        
          
        
        106000.00000000
        PA
        USD
        113843.67000000
        0.021046202781
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-02-21
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LW9
        
          
        
        329000.00000000
        PA
        USD
        375347.48000000
        0.069390236433
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-23
          Fixed
          4.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSSIA GOVT BOND - OFZ
        5493004EHVGF71PDBU58
        Russian Federal Bond - OFZ
        000000000
        
          
        
        268970000.00000000
        PA
        
        4567161.05000000
        0.844327994661
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2031-09-17
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ares CLO Ltd
        635400YF4AHA6NB2CU53
        Ares XXXVII CLO Ltd
        04015NAG9
        
          
        
        400000.00000000
        PA
        USD
        392295.88000000
        0.072523475754
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-15
          Floating
          2.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST DEC20 350 CALL
        000000000
        
          
        
        43.00000000
        NC
        USD
        15544.50000000
        0.002873701270
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            350.00000000
            USD
            2020-12-31
            XXXX
            -12458.77000000
          
        
        
          N
          N
          N
        
      
      
        Telefonica SA
        549300EEJH4FEPDBBR25
        Telefonica SA
        000000000
        
          
        
        5454.00000000
        NS
        
        26085.24000000
        0.004822360792
        Long
        EC
        CORP
        ES
        N
        
        2
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617B9SG2
        
          
        
        30411.26000000
        PA
        USD
        32359.39000000
        0.005982258687
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-09-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Latam Finance Ltd
        549300HX3UUDPEFTG707
        Latam Finance Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        54500.00000000
        0.010075378381
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-04-11
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        254900HROIFWPRGM1V77
        Freddie Mac Gold Pool
        3128MENS6
        
          
        
        42666.37000000
        PA
        USD
        45473.71000000
        0.008406694214
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-01-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        SWAP/CDSWAP/SCDS: (PHILIP)
        000000000
        
          
        
        2223000.00000000
        OU
        Notional Amount
        USD
        -37443.32000000
        -0.00692212141
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                Philippine Government International Bond
                Philippine Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            15808.60000000
            USD
            0.00000000
            USD
            2223000.00000000
            USD
            -53251.92000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419JLR7
        
          
        
        745.57000000
        PA
        USD
        818.14000000
        0.000151248992
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Engie SA
        LAXUQCHT4FH58LRZDY46
        Engie SA
        000000000
        
          
        
        100000.00000000
        PA
        
        117465.03000000
        0.021715681171
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-11-28
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        254900HROIFWPRGM1V77
        Freddie Mac Gold Pool
        31307PUJ6
        
          
        
        87384.46000000
        PA
        USD
        92923.94000000
        0.017178786352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        ISHARES IBOXX HIGH YIELD CORPO JUL20 82 CALL
        000000000
        
          
        
        274.00000000
        NC
        USD
        18632.00000000
        0.003444485321
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                iShares iBoxx High Yield Corporate Bond ETF
                iShares iBoxx High Yield Corporate Bond ETF
                
                  
                  
                
              
            
            100.00000000
            82.00000000
            USD
            2020-07-17
            XXXX
            -6913.31000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.917000 15-MAY-2044
        000000000
        
          
        
        3150000.00000000
        OU
        Notional Amount
        USD
        1425987.56000000
        0.263621362103
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2044-05-16
            75.71000000
            USD
            0.00000000
            USD
            3150000.00000000
            USD
            1425911.85000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) SEP20 XCBT 20200921
        000000000
        
          
        
        -30.00000000
        NC
        USD
        -198530.90000000
        -0.03670227409
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US Treasury Long Bond
                USU0 Comdty
              
            
            2020-09-21
            -5158344.10000000
            USD
            -198530.90000000
          
        
        
          N
          N
          N
        
      
      
        US Bancorp
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        902973304
        
          
        
        1000.00000000
        NS
        USD
        36820.00000000
        0.006806888660
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/SWP: MXN 6.026000 03-MAY-2030
        000000000
        
          
        
        18778394.00000000
        OU
        Notional Amount
        
        24243.64000000
        0.004481905437
        N/A
        DIR
        
        MX
        
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                MXN - 28D Mexican Interbank Rate (TIIE)
                MXIBTIIE Index
              
            
            Y
            
            
              
                
              
            
            2030-05-03
            385.09000000
            MXN
            0.00000000
            MXN
            18778394.00000000
            MXN
            24227.27000000
          
        
        
          N
          N
          N
        
      
      
        STRYKER CORP
        5493002F0SC4JTBU5137
        Stryker Corp
        000000000
        
          
        
        100000.00000000
        PA
        
        111102.64000000
        0.020539470407
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-03
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST JUL20 281 PUT
        000000000
        
          
        
        -25.00000000
        NC
        USD
        -3125.00000000
        -0.00057771665
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            281.00000000
            USD
            2020-07-17
            XXXX
            44831.18000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        BRW64EBM7 SWAPTION AUG20 0.88 PUT
        000000000
        
          
        
        -19172000.00000000
        OU
        Notional Amount
        USD
        -44922.30000000
        -0.00830475541
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    IRS Swap
                    N/A
                    
                      
                    
                    19172000.00000000
                    OU
                    Notional Amount
                    N/A
                    -44922.30000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-08-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19172000.00000000
                  USD
                
              
            
            1.00000000
            0.88000000
            USD
            2020-08-19
            XXXX
            39626.22000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        BRW5SKG10 USD CALL ZAR PUT JUL20 17.25 CALL
        000000000
        
          
        
        1214000.00000000
        OU
        Notional Amount
        USD
        25426.02000000
        0.004700491233
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    25426.02000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  20941500.00000000
                  ZAR
                  1214000.00000000
                  USD
                  2020-07-23
                
              
            
            1.00000000
            17.25000000
            USD
            2020-07-23
            XXXX
            9725.81000000
          
        
        
          N
          N
          N
        
      
      
        Nestle Holdings Inc
        549300EAEU8YV8MQXP30
        Nestle Holdings Inc
        641062AE4
        
          
        
        150000.00000000
        PA
        USD
        170223.52000000
        0.031469107770
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-24
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banistmo SA
        549300E94AMW3HSSMU17
        Banistmo SA
        000000000
        
          
        
        200000.00000000
        PA
        USD
        200437.50000000
        0.037054745952
        Long
        DBT
        CORP
        PA
        N
        
        2
        
          2022-09-19
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDEX CORP
        549300E707U7WNPZN687
        FedEx Corp
        31428XBY1
        
          
        
        462000.00000000
        PA
        USD
        513564.40000000
        0.094942305566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        207437.50000000
        0.038348831248
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2022-01-08
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alabama Power Co
        0RL818ELFOHP5JHOFU19
        Alabama Power Co
        010392FB9
        
          
        
        5000.00000000
        PA
        USD
        7218.64000000
        0.001334505126
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625H100
        
          
        
        750.00000000
        NS
        USD
        70545.00000000
        0.013041606751
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CAPGEMINI SE
        96950077L0TN7BAROX36
        Capgemini SE
        000000000
        
          
        
        400000.00000000
        PA
        
        470980.01000000
        0.087069757999
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-04-15
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST AUG20 335 CALL
        000000000
        
          
        
        160.00000000
        NC
        USD
        24000.00000000
        0.004436863874
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            335.00000000
            USD
            2020-08-21
            XXXX
            -16129.31000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042673
        
          
        
        2206002.00000000
        PA
        USD
        2370245.73000000
        0.438185735549
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16
        46641BAJ2
        
          
        
        1000000.00000000
        PA
        USD
        1051299.70000000
        0.194353069176
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-12-15
          Variable
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DO BRASIL (CAYMAN)
        QE0Q0253K88YAGNPE356
        Banco do Brasil SA/Cayman
        05958AAD0
        
          
        
        339000.00000000
        PA
        USD
        349085.25000000
        0.064535155618
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2022-01-26
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        N/A
        Transcontinental Gas Pipe Line Co LLC
        893574AM5
        
          
        
        79000.00000000
        PA
        USD
        89833.17000000
        0.016607397779
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.065000 28-EB-2022
        000000000
        
          
        
        11100000.00000000
        OU
        Notional Amount
        USD
        412410.32000000
        0.076242018762
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2022-02-28
            82.44000000
            USD
            0.00000000
            USD
            11100000.00000000
            USD
            412327.88000000
          
        
        
          N
          N
          N
        
      
      
        UnitedHealth Group Inc
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDE9
        
          
        
        716000.00000000
        PA
        USD
        798782.72000000
        0.147670424748
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: CHF -0.680000 18-MAY-2023
        000000000
        
          
        
        2420766.00000000
        OU
        Notional Amount
        
        -2651.70000000
        -0.00049021799
        N/A
        DIR
        
        CH
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CHF - 6M Swiss Franc LIBOR Rate BBA (SF0006M)
                SF0006M Index
              
            
            Y
            
            
              
                
              
            
            2023-05-19
            41.76000000
            CHF
            0.00000000
            CHF
            2420766.00000000
            CHF
            -2694.65000000
          
        
        
          N
          N
          N
        
      
      
        NUCOR CORP
        549300GGJCRSI2TIEJ46
        Nucor Corp
        670346AS4
        
          
        
        15000.00000000
        PA
        USD
        15748.09000000
        0.002911338817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Inkia Energy Ltd
        254900N5LVBX92GMVN72
        Inkia Energy Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        197000.00000000
        0.036419257636
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2027-11-09
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417CSH9
        
          
        
        44254.12000000
        PA
        USD
        48127.95000000
        0.008897381779
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBT1
        
          
        
        600000.00000000
        PA
        USD
        642613.27000000
        0.118799483456
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HLYV9
        
          
        
        9894.03000000
        PA
        USD
        10711.18000000
        0.001980168649
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833100
        
          
        
        1815.00000000
        NS
        USD
        662112.00000000
        0.122404200570
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AG5
        
          
        
        339000.00000000
        PA
        USD
        404911.58000000
        0.074855731736
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2042-01-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        CAPITAL ONE FINANCIAL CORP SEP20 82.5 CALL
        000000000
        
          
        
        -6.00000000
        NC
        USD
        -582.00000000
        -0.00010759394
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Capital One Financial Corp
                Capital One Financial Corp
                
                  
                  
                
              
            
            100.00000000
            82.50000000
            USD
            2020-09-18
            XXXX
            348.04000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        000000000
        
          
        
        480000.00000000
        PA
        
        547816.59000000
        0.101274484918
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-11-11
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.195000 09-AUG-2021
        000000000
        
          
        
        29591000.00000000
        OU
        Notional Amount
        USD
        -867833.89000000
        -0.16043586815
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2021-08-09
            0.00000000
            USD
            -276.86000000
            USD
            29591000.00000000
            USD
            -867557.03000000
          
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 19-1AA PTT
        N/A
        American Airlines 2019-1 Class AA Pass Through Trust
        02377LAA2
        
          
        
        83691.28000000
        PA
        USD
        77007.85000000
        0.014236389488
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED JPY / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -15075.48000000
        -0.00278699385
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1954500.00000000
            AUD
            143998549.00000000
            JPY
            2020-07-15
            -15075.48000000
          
        
        
          N
          N
          N
        
      
      
        BAYER AG
        549300J4U55H3WP1XT59
        Bayer AG
        000000000
        
          
        
        100000.00000000
        PA
        
        108991.82000000
        0.020149244532
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2079-11-12
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FHWE3
        
          
        
        4493.42000000
        PA
        USD
        4807.09000000
        0.000888683498
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2019-2 B PTT
        N/A
        United Airlines 2019-2 Class B Pass Through Trust
        90932KAA7
        
          
        
        64000.00000000
        PA
        USD
        48123.26000000
        0.008896514742
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ODBRCHT OFFSHRE DRLL FIN
        549300L7LF2PIRAWID66
        Odebrecht Offshore Drilling Finance Ltd
        67576GAC1
        
          
        
        101535.91000000
        PA
        USD
        83767.13000000
        0.015485973040
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-12-01
          Fixed
          6.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARDAGH PKG FIN/HLDGS USA
        N/A
        Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
        03969AAQ3
        
          
        
        477000.00000000
        PA
        USD
        488920.23000000
        0.090386354417
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-04-30
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335AY28
        
          
        
        2113.63000000
        PA
        USD
        2309.69000000
        0.000426990838
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        000000000
        
          
        
        405000.00000000
        PA
        
        480748.55000000
        0.088875661426
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-04
          Fixed
          1.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hyundai Capital America
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891AAM9
        
          
        
        305000.00000000
        PA
        USD
        310623.44000000
        0.057424746646
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-05
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROMIGAS/GASES PACIFICO
        N/A
        Promigas SA ESP / Gases del Pacifico SAC
        000000000
        
          
        
        250000.00000000
        PA
        USD
        246328.13000000
        0.045538515886
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2029-10-16
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERACION MEDIT/FRIAS
        N/A
        Generacion Mediterranea SA / Generacion Frias SA / Central Termica Roca SA
        36875LAA7
        
          
        
        518000.00000000
        PA
        USD
        261751.88000000
        0.048389894185
        Long
        DBT
        CORP
        AR
        N
        
        2
        
          2023-07-27
          Fixed
          9.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        BRW56KCJ9 USD PUT ZAR CALL JUL20 17 PUT
        000000000
        
          
        
        -1214000.00000000
        OU
        Notional Amount
        USD
        -7886.14000000
        -0.00145790540
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -7886.14000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1214000.00000000
                  USD
                  20638000.00000000
                  ZAR
                  2020-07-23
                
              
            
            1.00000000
            17.00000000
            USD
            2020-07-23
            XXXX
            3795.21000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -1762.54000000
        -0.00032583958
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1774450.80000000
            BRL
            324000.00000000
            USD
            2020-08-04
            -1762.54000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCZ3
        
          
        
        231362.14000000
        PA
        USD
        190087.13000000
        0.035141280004
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-01-28
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        SWAP/CDSWAP/SCDS: (SOAF)
        000000000
        
          
        
        617116.00000000
        OU
        Notional Amount
        USD
        57735.19000000
        0.010673465783
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                Republic of South Africa Government International Bond
                Republic of South Africa Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            52419.35000000
            USD
            0.00000000
            USD
            617116.00000000
            USD
            5315.84000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        FSWP: USD 0.526000 06-JUN-2024
        000000000
        
          
        
        12667409.00000000
        OU
        Notional Amount
        USD
        -56357.12000000
        -0.01041870290
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2024-06-06
            0.00000000
            USD
            -212.81000000
            USD
            12667409.00000000
            USD
            -56144.31000000
          
        
        
          N
          N
          N
        
      
      
        WHIRLPOOL FINANCE LU
        549300W5K7SGG3H6B058
        Whirlpool Finance Luxembourg Sarl
        000000000
        
          
        
        100000.00000000
        PA
        
        109927.69000000
        0.020322258190
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2027-11-09
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCOLOMBIA SA
        54930052NWJRPNMP1W58
        Bancolombia SA
        05968LAM4
        
          
        
        664000.00000000
        PA
        USD
        647400.00000000
        0.119684403015
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2025-01-29
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417GH90
        
          
        
        3979.50000000
        PA
        USD
        4351.82000000
        0.000804518039
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J9SN2
        
          
        
        1327231.80000000
        PA
        USD
        1398800.64000000
        0.258595334469
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RELX FINANCE BV
        54930086P8MBY4IN4E29
        RELX Finance BV
        000000000
        
          
        
        100000.00000000
        PA
        
        110026.33000000
        0.020340493700
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-03-10
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HMP40
        
          
        
        6621.33000000
        PA
        USD
        7051.70000000
        0.001303643040
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASML Holding NV
        724500Y6DUVHQD6OXN27
        ASML Holding NV
        000000000
        
          
        
        820000.00000000
        PA
        
        984155.51000000
        0.181940167884
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-07
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.095000 06-SEP-2028
        000000000
        
          
        
        1638000.00000000
        OU
        Notional Amount
        USD
        356557.28000000
        0.065916504784
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2028-09-06
            28.45000000
            USD
            0.00000000
            USD
            1638000.00000000
            USD
            356528.83000000
          
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582AT9
        
          
        
        4000.00000000
        PA
        USD
        4373.02000000
        0.000808437269
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2042-08-21
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAM3
        
          
        
        17000.00000000
        PA
        USD
        17683.57000000
        0.003269149704
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2017-GS7
        36254CAE0
        
          
        
        180000.00000000
        PA
        USD
        123166.40000000
        0.022769689613
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-10
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOHAWK CAPITAL FINANCE
        549300IXL8ST9Z2BTY31
        Mohawk Capital Finance SA
        000000000
        
          
        
        100000.00000000
        PA
        
        115507.44000000
        0.021353782823
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2027-06-12
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETRONAS CAPITAL LTD
        549300G7YFX3540OYR85
        Petronas Capital Ltd
        716743AS8
        
          
        
        217000.00000000
        PA
        USD
        296806.09000000
        0.054870342435
        Long
        DBT
        CORP
        MY
        N
        
        2
        
          2060-04-21
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WEJ67
        
          
        
        8472.47000000
        PA
        USD
        9210.56000000
        0.001702750038
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.719500 05-JUL-2024
        000000000
        
          
        
        780000.00000000
        OU
        Notional Amount
        USD
        49287.03000000
        0.009111660120
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2024-07-05
            11.45000000
            USD
            0.00000000
            USD
            780000.00000000
            USD
            49275.58000000
          
        
        
          N
          N
          N
        
      
      
        US AIRWAYS 2012-2B PTT
        N/A
        US Airways 2012-2 Class B Pass Through Trust
        90345WAE4
        
          
        
        3250.13000000
        PA
        USD
        2625.08000000
        0.000485296775
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-06-03
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cooperatieve Rabobank UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        000000000
        
          
        
        515000.00000000
        PA
        
        752968.23000000
        0.139200730764
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2029-05-23
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGF0
        
          
        
        1008000.00000000
        PA
        USD
        1144089.26000000
        0.211507012788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-20
          Fixed
          3.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAB1
        
          
        
        23000.00000000
        PA
        USD
        22425.00000000
        0.004145694682
        Long
        DBT
        
        US
        N
        
        2
        
          2029-12-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CBAM CLO Management LLC
        254900JWJFDB3KD6V066
        CBAM 2017-1 Ltd
        12480VAC9
        
          
        
        400000.00000000
        PA
        USD
        396127.96000000
        0.073231909808
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          2.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140F5CW1
        
          
        
        150798.73000000
        PA
        USD
        166370.64000000
        0.030756828433
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        146932.32000000
        0.027163279275
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-14
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XY5S9
        
          
        
        99184.36000000
        PA
        USD
        105086.33000000
        0.019427239220
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LSK41
        
          
        
        4721.48000000
        PA
        USD
        5186.57000000
        0.000958837711
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kingdom of Denmark
        549300PTO6LS1PTM6607
        Denmark Government Bond
        000000000
        
          
        
        500000.00000000
        PA
        
        84746.02000000
        0.015666939776
        Long
        DBT
        NUSS
        DK
        N
        
        2
        
          2025-11-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E9HP4
        
          
        
        5792.01000000
        PA
        USD
        6423.92000000
        0.001187585774
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELGIUM KINGDOM
        549300SZ25JZFHRHWD76
        Kingdom of Belgium Government Bond
        000000000
        
          
        
        351000.00000000
        PA
        
        496050.00000000
        0.091704430206
        Long
        DBT
        NUSS
        BE
        N
        
        2
        
          2047-06-22
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -13066.70000000
        -0.00241563204
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            911000.00000000
            USD
            4883051.10000000
            BRL
            2020-07-02
            -13066.70000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6255.67000000
        -0.00115648150
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            651000.00000000
            USD
            529425750.00000000
            CLP
            2020-07-15
            -6255.67000000
          
        
        
          N
          N
          N
        
      
      
        NATIONSTAR MTG HLD INC
        N/A
        Nationstar Mortgage Holdings Inc
        93369KAB1
        
          
        
        10000.00000000
        PA
        USD
        10568.70000000
        0.001953828467
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          9.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.750000 21-FEB-2029
        000000000
        
          
        
        9350000.00000000
        OU
        Notional Amount
        USD
        1840273.58000000
        0.340210140264
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2029-02-21
            166.91000000
            USD
            0.00000000
            USD
            9350000.00000000
            USD
            1840106.67000000
          
        
        
          N
          N
          N
        
      
      
        GOODYEAR TIRE & RUBBER
        5493002BI0S2ZQUY3437
        Goodyear Tire & Rubber Co/The
        382550BF7
        
          
        
        11000.00000000
        PA
        USD
        10246.50000000
        0.001894263570
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-31
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6F30
        
          
        
        349968.45000000
        PA
        USD
        368839.94000000
        0.068187191886
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468C6
        
          
        
        72000.00000000
        PA
        USD
        81636.93000000
        0.015092164397
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5JFNK1 EUR CALL USD PUT SEP20 1.17 CALL
        000000000
        
          
        
        -2110000.00000000
        OU
        Notional Amount
        
        -4326.32000000
        -0.00079980387
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    -4326.32000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  2110000.00000000
                  EUR
                  2468700.00000000
                  USD
                  2020-09-02
                
              
            
            1.00000000
            1.17000000
            EUR
            2020-09-02
            XXXX
            -584.79000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        WELLS FARGO + CO OCT20 35 CALL
        000000000
        
          
        
        77.00000000
        NC
        USD
        3465.00000000
        0.000640572221
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                Wells Fargo & Co
                Wells Fargo & Co
                
                  
                  
                
              
            
            100.00000000
            35.00000000
            USD
            2020-10-16
            XXXX
            -10413.39000000
          
        
        
          N
          N
          N
        
      
      
        PIEDMONT NATURAL GAS CO
        VXB4M3BDPKF3I2AZ3G89
        Piedmont Natural Gas Co Inc
        720186AL9
        
          
        
        85000.00000000
        PA
        USD
        96914.55000000
        0.017916527742
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust 2017-SCH
        054966AW6
        
          
        
        150000.00000000
        PA
        USD
        121906.50000000
        0.022536772746
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-11-15
          Floating
          2.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        3541.91000000
        0.000654790521
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            6011000000.00000000
            IDR
            416851.60000000
            USD
            2020-07-15
            3541.91000000
          
        
        
          N
          N
          N
        
      
      
        ZF EUROPE FINANCE BV
        549300RI533US2G6G542
        ZF Europe Finance BV
        000000000
        
          
        
        300000.00000000
        PA
        
        306834.02000000
        0.056724199117
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-10-23
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2016-2 AA PTT
        N/A
        United Airlines 2016-2 Class AA Pass Through Trust
        90932EAA1
        
          
        
        6942.77000000
        PA
        USD
        6483.50000000
        0.001198600288
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-07
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        273000.00000000
        PA
        USD
        281787.19000000
        0.052093808483
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2021-05-05
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AU0
        
          
        
        76000.00000000
        PA
        USD
        81582.67000000
        0.015082133387
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        000000000
        
          
        
        1105000.00000000
        PA
        
        1251522.90000000
        0.231368197631
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRTW17127 SWAPTION AUG20 0.88 CALL
        000000000
        
          
        
        -21242052.00000000
        OU
        Notional Amount
        USD
        -284328.69000000
        -0.05256365388
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    21242052.00000000
                    OU
                    Notional Amount
                    N/A
                    -284328.69000000
                    -0.05000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2022-08-17
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  21242052.00000000
                  USD
                
              
            
            1.00000000
            0.88000000
            USD
            2020-08-13
            XXXX
            -237917.61000000
          
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 17-1 AA PTT
        N/A
        American Airlines 2017-1 Class AA Pass Through Trust
        023761AA7
        
          
        
        34952.50000000
        PA
        USD
        33469.56000000
        0.006187495069
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/SWP: USD 1.060000 27-MAR-2022
        000000000
        
          
        
        53899814.00000000
        OU
        Notional Amount
        USD
        -933326.58000000
        -0.17254345774
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2022-03-28
            0.00000000
            USD
            -792.87000000
            USD
            53899814.00000000
            USD
            -932533.71000000
          
        
        
          N
          N
          N
        
      
      
        UPJOHN FINANCE BV
        254900OG32E8F3XO5O83
        Upjohn Finance BV
        000000000
        
          
        
        390000.00000000
        PA
        
        441009.40000000
        0.081529111466
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-06-23
          Fixed
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828Z37
        
          
        
        4281140.93000000
        PA
        USD
        4624924.77000000
        0.855006734766
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-01-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        1958.60000000
        0.000362085066
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            10514150.50000000
            ZAR
            607000.00000000
            USD
            2020-07-15
            1958.60000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5QH7F8 USD CALL TRY PUT AUG20 7 CALL
        000000000
        
          
        
        1033000.00000000
        OU
        Notional Amount
        USD
        11269.00000000
        0.002083292458
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    11269.00000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  7231000.00000000
                  TRY
                  1033000.00000000
                  USD
                  2020-08-07
                
              
            
            1.00000000
            7.00000000
            USD
            2020-08-07
            XXXX
            -12220.39000000
          
        
        
          N
          N
          N
        
      
      
        Dominican Republic
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        000000000
        
          
        
        100000.00000000
        PA
        USD
        100593.75000000
        0.018596698974
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2027-01-25
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3592.14000000
        0.000664076508
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            600000.00000000
            USD
            723758646.00000000
            KRW
            2020-09-16
            3592.14000000
          
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAR0
        
          
        
        103000.00000000
        PA
        USD
        124075.13000000
        0.022937685917
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-05-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWP: CAD 1.905000 09-JUL-2021
        000000000
        
          
        
        720000.00000000
        OU
        Notional Amount
        
        8606.91000000
        0.001591153668
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CAD - 3M Canadian Bankers Acceptances (BA)
                CDOR03 Index
              
            
            Y
            
            
              
                
              
            
            2021-07-09
            7.13000000
            CAD
            0.00000000
            CAD
            720000.00000000
            CAD
            8602.01000000
          
        
        
          N
          N
          N
        
      
      
        UK TSY 1 3/4% 2037
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        60000.00000000
        PA
        
        89100.75000000
        0.016471995786
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2037-09-07
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSX Corp
        549300JVQR4N1MMP3Q88
        CSX Corp
        126408HJ5
        
          
        
        61000.00000000
        PA
        USD
        70092.61000000
        0.012957973715
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIEMENS FINANCIERINGSMAT
        TAFO772JB70PDRN5VS48
        Siemens Financieringsmaatschappij NV
        000000000
        
          
        
        500000.00000000
        PA
        
        624142.39000000
        0.115384784281
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-06-05
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/FSWP: USD 1.153000 08-JUN-2051
        000000000
        
          
        
        1565991.00000000
        OU
        Notional Amount
        USD
        -90730.99000000
        -0.01677337715
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2051-06-08
            0.00000000
            USD
            -43.22000000
            USD
            1565991.00000000
            USD
            -90687.77000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GXJ8
        
          
        
        690000.00000000
        PA
        USD
        756590.24000000
        0.139870329319
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EDISON INTERNATIONAL
        549300I7ROF15MAEVP56
        Edison International
        281020AP2
        
          
        
        23000.00000000
        PA
        USD
        23674.05000000
        0.004376605717
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ODBRCHT OFFSHRE DRLL FIN
        549300L7LF2PIRAWID66
        Odebrecht Offshore Drilling Finance Ltd
        67576GAD9
        
          
        
        5516.00000000
        PA
        USD
        441.28000000
        0.000081579137
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-12-01
          Fixed
          7.72000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        WESTERN DIGITAL CORP OCT20 57.5 CALL
        000000000
        
          
        
        -8.00000000
        NC
        USD
        -1092.00000000
        -0.00020187730
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Western Digital Corp
                Western Digital Corp
                
                  
                  
                
              
            
            100.00000000
            57.50000000
            USD
            2020-10-16
            XXXX
            52.06000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGT0
        
          
        
        258000.00000000
        PA
        USD
        279115.51000000
        0.051599896797
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          3.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGR4
        
          
        
        92000.00000000
        PA
        USD
        103116.44000000
        0.019063066979
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-21
          Fixed
          3.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        000000000
        
          
        
        200000.00000000
        PA
        USD
        203000.00000000
        0.037528473605
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-03-15
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2015-LC19 Mortgage Trust
        200474BC7
        
          
        
        500000.00000000
        PA
        USD
        536698.70000000
        0.099219128063
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-02-10
          Fixed
          3.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOMENTO ECONOMICO MEX
        549300A8MDWDJNMLV153
        Fomento Economico Mexicano SAB de CV
        344419AC0
        
          
        
        472000.00000000
        PA
        USD
        486141.12000000
        0.089872582218
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2050-01-16
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335BEU6
        
          
        
        74393.49000000
        PA
        USD
        83350.39000000
        0.015408930596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CREDIT
        9ET6B8VCXWW51H8Z3M54
        American Express Credit Corp
        0258M0EL9
        
          
        
        132000.00000000
        PA
        USD
        149722.19000000
        0.027679040667
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-03
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        000000000
        
          
        
        100000.00000000
        PA
        
        124849.69000000
        0.023080878304
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-05-25
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8Q24
        
          
        
        130851.60000000
        PA
        USD
        147800.01000000
        0.027323688542
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410LVR0
        
          
        
        111616.25000000
        PA
        USD
        123396.81000000
        0.022812285355
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFT Trust
        N/A
        MFT Trust 2020-ABC
        55317BAJ6
        
          
        
        105000.00000000
        PA
        USD
        93039.95000000
        0.017200233043
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-02-06
          Variable
          3.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intuitive Surgical Inc
        54930052SRG011710797
        Intuitive Surgical Inc
        46120E602
        
          
        
        83.00000000
        NS
        USD
        47295.89000000
        0.008743559406
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CAMERON LNG LLC
        549300C39FLHGVD73K22
        Cameron LNG LLC
        133434AB6
        
          
        
        193000.00000000
        PA
        USD
        212789.32000000
        0.039338218616
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-01-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lam Research Corp
        549300I4GMO6D34U1T02
        Lam Research Corp
        512807108
        
          
        
        124.00000000
        NS
        USD
        40109.04000000
        0.007414931275
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        REPUBLIC OF PHILIPPINES
        529900RAHBALMYIJ3T08
        Philippine Government International Bond
        718286CH8
        
          
        
        250000.00000000
        PA
        USD
        259375.00000000
        0.047950481977
        Long
        DBT
        NUSS
        PH
        N
        
        2
        
          2045-05-05
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        21325.42000000
        0.003942416066
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            76893300.00000000
            RUB
            1100000.00000000
            USD
            2020-07-15
            21325.42000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F040677
        
          
        
        3787000.00000000
        PA
        USD
        4013110.52000000
        0.741901045444
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORFOLK SOUTHERN CORP
        54930036C8MWP850MI84
        Norfolk Southern Corp
        655844CE6
        
          
        
        80000.00000000
        PA
        USD
        85046.74000000
        0.015722533681
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-01
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J8GA5
        
          
        
        135885.74000000
        PA
        USD
        147609.81000000
        0.027288526396
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WKK79
        
          
        
        8035.99000000
        PA
        USD
        8534.32000000
        0.001577734004
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Florida LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAE1
        
          
        
        2000.00000000
        PA
        USD
        2335.00000000
        0.000431669881
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PARAGUAY
        529900UXKJTJPCU0HK83
        Paraguay Government International Bond
        699149AJ9
        
          
        
        250000.00000000
        PA
        USD
        277500.00000000
        0.051301238549
        Long
        DBT
        NUSS
        PY
        N
        
        2
        
          2031-04-28
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Benefit Street Partners CLO Ltd
        549300D98ZLKNSI8CN63
        Benefit Street Partners CLO VIII Ltd
        08180XAN2
        
          
        
        500000.00000000
        PA
        USD
        487482.90000000
        0.090120636185
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-20
          Floating
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGICEL INTL FINANCE LTD
        N/A
        Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd
        25381XAC7
        
          
        
        47757.00000000
        PA
        USD
        29131.77000000
        0.005385570746
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-12-31
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERGZ7
        
          
        
        44717.71000000
        PA
        USD
        48338.74000000
        0.008936350385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        37626.81000000
        0.006956043083
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            60675133.93000000
            ZAR
            3529204.00000000
            USD
            2020-07-15
            37626.81000000
          
        
        
          N
          N
          N
        
      
      
        SWEDISH GOVERNMENT
        ERE94C0BSULG2RM19605
        Sweden Government Bond
        000000000
        
          
        
        960000.00000000
        PA
        
        111219.80000000
        0.020561129697
        Long
        DBT
        NUSS
        SE
        N
        
        2
        
          2026-11-12
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3476.50000000
        0.000642698219
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            884750.72000000
            USD
            1287000.00000000
            AUD
            2020-07-15
            3476.50000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        CDS: (CMBX.NA.9.BBB-)
        000000000
        
          
        
        70000.00000000
        OU
        Notional Amount
        USD
        -13573.44000000
        -0.00250931273
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            
            sell protection
            2058-09-18
            0.00000000
            USD
            -355.97000000
            USD
            70000.00000000
            USD
            -13217.47000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        BRW46B097 SEP20 AAPL US CALL SEP20 320 CALL
        000000000
        
          
        
        1665.00000000
        NC
        USD
        86436.01000000
        0.015979367092
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Call
            Purchased
            
              
                Apple Inc
                Apple Inc
                
                  
                  
                
              
            
            1.00000000
            320.00000000
            USD
            2020-09-18
            XXXX
            70285.51000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828ZQ6
        
          
        
        1755000.00000000
        PA
        USD
        1750132.61000000
        0.323545839705
        Long
        DBT
        UST
        US
        N
        
        2
        
          2030-05-15
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW4ZAYJ8 USD CALL CLP PUT JUL20 830 CALL
        000000000
        
          
        
        1500000.00000000
        OU
        Notional Amount
        USD
        13822.50000000
        0.002555356287
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    13822.50000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1245000000.00000000
                  CLP
                  1500000.00000000
                  USD
                  2020-07-15
                
              
            
            1.00000000
            830.00000000
            USD
            2020-07-15
            XXXX
            -14242.50000000
          
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JX62
        
          
        
        784000.00000000
        PA
        USD
        774200.00000000
        0.143125833818
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2050-05-29
          Fixed
          8.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: MXN 6.670000 12-AUG-2024
        000000000
        
          
        
        28394690.00000000
        OU
        Notional Amount
        
        93604.83000000
        0.017304662029
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                MXN - 28D Mexican Interbank Rate (TIIE)
                MXIBTIIE Index
              
            
            Y
            
            
              
                
              
            
            2024-08-12
            427.91000000
            MXN
            0.00000000
            MXN
            28394690.00000000
            MXN
            93581.89000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW4ZAZU2 USD CALL CLP PUT JUL20 855 CALL
        000000000
        
          
        
        -1500000.00000000
        OU
        Notional Amount
        USD
        -4939.50000000
        -0.00091316204
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -4939.50000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1500000.00000000
                  USD
                  1282500000.00000000
                  CLP
                  2020-07-15
                
              
            
            1.00000000
            855.00000000
            USD
            2020-07-15
            XXXX
            10195.50000000
          
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT
        4BFD7AQU0A75QLAHK410
        Canadian Government Bond
        135087XG4
        
          
        
        170000.00000000
        PA
        
        203316.29000000
        0.037586945925
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2033-06-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2014-2 B PTT
        N/A
        United Airlines 2014-2 Class B Pass Through Trust
        90932QAB2
        
          
        
        11036.67000000
        PA
        USD
        9728.81000000
        0.001798558567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-03
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidAmerican Energy Co
        NINLOILYRTLIMK26MZ18
        MidAmerican Energy Co
        595620AU9
        
          
        
        43000.00000000
        PA
        USD
        55468.47000000
        0.010254418779
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-07-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        000000000
        
          
        
        140000.00000000
        PA
        
        154638.35000000
        0.028587887863
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-03-18
          Fixed
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5JEM25 EUR CALL USD PUT SEP20 1.12 CALL
        000000000
        
          
        
        2110000.00000000
        OU
        Notional Amount
        
        33745.26000000
        0.006238463542
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    33745.26000000
                    0.01000000
                    DFE
                    
                    XX
                  
                  2363200.00000000
                  USD
                  2110000.00000000
                  EUR
                  2020-09-02
                
              
            
            1.00000000
            1.12000000
            EUR
            2020-09-02
            XXXX
            5212.52000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WKK87
        
          
        
        14397.59000000
        PA
        USD
        15280.03000000
        0.002824808879
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY TRANSMISSION
        549300AINIIPOLYX2R63
        FirstEnergy Transmission LLC
        33767BAC3
        
          
        
        247000.00000000
        PA
        USD
        300122.73000000
        0.055483487444
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-01
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MET LIFE GLOB FUNDING I
        635400MMSOCXNNNZDZ82
        Metropolitan Life Global Funding I
        000000000
        
          
        
        100000.00000000
        PA
        
        118706.49000000
        0.021945189048
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-11
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.555000 08-NOV-2024
        000000000
        
          
        
        10806937.00000000
        OU
        Notional Amount
        USD
        -612727.92000000
        -0.11327459888
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2024-11-08
            0.00000000
            USD
            -171.86000000
            USD
            10806937.00000000
            USD
            -612556.06000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        248.71000000
        0.000045978850
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            139298.26000000
            USD
            124000.00000000
            EUR
            2020-09-16
            248.71000000
          
        
        
          N
          N
          N
        
      
      
        Gray Television Inc
        N/A
        Gray Television Inc
        389375AJ5
        
          
        
        16000.00000000
        PA
        USD
        15925.92000000
        0.002944214129
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EQMR0
        
          
        
        8483.50000000
        PA
        USD
        9064.90000000
        0.001675821972
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAG8
        
          
        
        116000.00000000
        PA
        USD
        119914.58000000
        0.022168527834
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALKREDIT DANMARK
        549300NLOMBOWE943Y30
        Realkredit Danmark A/S
        000000000
        
          
        
        0.19000000
        PA
        
        0.03000000
        0.000000005546
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2038-01-01
          Floating
          0.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        549300SGFUCMB43V8P22
        Wells Fargo Commercial Mortgage Trust 2016-NXS5
        95000CBG7
        
          
        
        1400000.00000000
        PA
        USD
        1571962.42000000
        0.290607636391
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-01-15
          Variable
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJ4K1
        
          
        
        27312.40000000
        PA
        USD
        29521.20000000
        0.005457564408
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Analog Devices Inc
        GYVOE5EZ4GDAVTU4CQ61
        Analog Devices Inc
        032654105
        
          
        
        204.00000000
        NS
        USD
        25018.56000000
        0.004625164377
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        92331.81000000
        0.017069319677
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            4995000.00000000
            GBP
            6284376.33000000
            USD
            2020-09-16
            92331.81000000
          
        
        
          N
          N
          N
        
      
      
        RYDER SYSTEM INC
        ZXJ6Y2OSPZXIVGRILD15
        Ryder System Inc
        78355HKQ1
        
          
        
        185000.00000000
        PA
        USD
        206249.78000000
        0.038129258250
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132XCSC0
        
          
        
        254953.65000000
        PA
        USD
        283070.06000000
        0.052330971798
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SGK7
        
          
        
        104353.71000000
        PA
        USD
        111028.74000000
        0.020525808564
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        ISHARES RUSSELL 2000 ETF AUG20 155 CALL
        000000000
        
          
        
        -85.00000000
        NC
        USD
        -18572.50000000
        -0.00343348559
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                iShares Russell 2000 ETF
                iShares Russell 2000 ETF
                
                  
                  
                
              
            
            100.00000000
            155.00000000
            USD
            2020-08-21
            XXXX
            1466.75000000
          
        
        
          N
          N
          N
        
      
      
        Juniper Networks Inc
        AUHIXNGG7U2U7JEHM527
        Juniper Networks Inc
        48203RAG9
        
          
        
        122000.00000000
        PA
        USD
        135192.25000000
        0.024992900422
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        NVIDIA CORP SEP20 460 CALL
        000000000
        
          
        
        -1.00000000
        NC
        USD
        -797.50000000
        -0.00014743328
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                NVIDIA Corp
                NVIDIA Corp
                
                  
                  
                
              
            
            100.00000000
            460.00000000
            USD
            2020-09-18
            XXXX
            266.21000000
          
        
        
          N
          N
          N
        
      
      
        FMG RESOURCES AUG 2006
        549300EFD6S2NFE9D745
        FMG Resources August 2006 Pty Ltd
        30251GAW7
        
          
        
        17000.00000000
        PA
        USD
        17510.00000000
        0.003237061935
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2024-05-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QUALCOMM INC
        H1J8DDZKZP6H7RWC0H53
        QUALCOMM Inc
        747525BJ1
        
          
        
        130000.00000000
        PA
        USD
        142198.16000000
        0.026288078296
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-20
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SR0
        
          
        
        2227400.00000000
        PA
        USD
        2206605.13000000
        0.407933607776
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-05-15
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        436.83000000
        0.000080756468
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            269175.30000000
            USD
            20530000.00000000
            INR
            2020-09-16
            436.83000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJJU3
        
          
        
        8411.72000000
        PA
        USD
        9368.46000000
        0.001731940905
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse International
        E58DKGMJYYYJLN8C3868
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        4002.17000000
        0.000739878478
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Credit Suisse International
              E58DKGMJYYYJLN8C3868
            
            22866459.00000000
            RUB
            322608.06000000
            USD
            2020-09-16
            4002.17000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -335.35000000
        -0.00006199592
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            90365.65000000
            USD
            80000.00000000
            EUR
            2020-09-16
            -335.35000000
          
        
        
          N
          N
          N
        
      
      
        Palmer Square Loan Funding Ltd
        N/A
        Palmer Square Loan Funding 2019-2 Ltd
        69689PAC1
        
          
        
        1000000.00000000
        PA
        USD
        971286.30000000
        0.179561045678
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-04-20
          Floating
          2.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1884.29000000
        -0.00034834742
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            319500.00000000
            USD
            1194930000.00000000
            COP
            2020-07-15
            -1884.29000000
          
        
        
          N
          N
          N
        
      
      
        STERICYCLE INC
        B8PTJH2P0AXSWSMP2136
        Stericycle Inc
        858912AF5
        
          
        
        15000.00000000
        PA
        USD
        15375.00000000
        0.002842365919
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ELWE9
        
          
        
        14521.07000000
        PA
        USD
        16374.26000000
        0.003027098444
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumers Energy Co
        7NKTFWJ1G6MELP9TU740
        Consumers Energy Co
        210518DC7
        
          
        
        20000.00000000
        PA
        USD
        23750.66000000
        0.004390768556
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lam Research Corp
        549300I4GMO6D34U1T02
        Lam Research Corp
        512807AU2
        
          
        
        324000.00000000
        PA
        USD
        385056.07000000
        0.071185056943
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.295000 28-MAY-2029
        000000000
        
          
        
        2454000.00000000
        OU
        Notional Amount
        USD
        376275.93000000
        0.069561878361
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2029-05-29
            45.32000000
            USD
            0.00000000
            USD
            2454000.00000000
            USD
            376230.61000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        S+P500 EMINI FUT  SEP20 XCME 20200918
        000000000
        
          
        
        -122.00000000
        NC
        USD
        -264997.80000000
        -0.04898996523
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                E-mini S&P 500 Index
                ESU0 Index
              
            
            2020-09-18
            -18585222.20000000
            USD
            -264997.80000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        106011.32000000
        0.019598241499
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            8352808.87000000
            BRL
            1637000.00000000
            USD
            2020-09-16
            106011.32000000
          
        
        
          N
          N
          N
        
      
      
        ABN AMRO Bank NV
        BFXS5XCH7N0Y05NIXW11
        ABN AMRO Bank NV
        000000000
        
          
        
        100000.00000000
        PA
        
        115542.56000000
        0.021360275434
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2024-01-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP TEXAS INC
        5493001L78U618KXNZ75
        AEP Texas Inc
        00108WAK6
        
          
        
        84000.00000000
        PA
        USD
        90531.41000000
        0.016736480939
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-01-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        BRW5SLT71 USD CALL ZAR PUT JUL20 18 CALL
        000000000
        
          
        
        -2428000.00000000
        OU
        Notional Amount
        USD
        -15165.29000000
        -0.00280359697
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -15165.29000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  2428000.00000000
                  USD
                  43704000.00000000
                  ZAR
                  2020-07-23
                
              
            
            1.00000000
            18.00000000
            USD
            2020-07-23
            XXXX
            -2584.92000000
          
        
        
          N
          N
          N
        
      
      
        INDIA GOVERNMENT BOND
        N/A
        India Government Bond
        000000000
        
          
        
        316610000.00000000
        PA
        
        4497525.69000000
        0.831454552445
        Long
        DBT
        NUSS
        IN
        N
        
        2
        
          2029-01-14
          Fixed
          7.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        BRW565TY1 SWAPTION OCT20 1.19 PUT
        000000000
        
          
        
        -4524000.00000000
        OU
        Notional Amount
        USD
        -99483.39000000
        -0.01839142746
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                    IRS Swap
                    N/A
                    
                      
                    
                    4524000.00000000
                    OU
                    Notional Amount
                    N/A
                    -99483.39000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2050-10-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4524000.00000000
                  USD
                
              
            
            1.00000000
            1.19000000
            USD
            2020-10-21
            XXXX
            29116.29000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        73218.84000000
        0.013535917755
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            3729346.50000000
            BRL
            759000.00000000
            USD
            2020-07-02
            73218.84000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        000000000
        
          
        
        220000.00000000
        PA
        
        297251.97000000
        0.054952771971
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-01-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLN 15-2 B PTT
        N/A
        American Airlines 2015-2 Class B Pass Through Trust
        02377BAC0
        
          
        
        85289.61000000
        PA
        USD
        60660.36000000
        0.011214239995
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-22
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN FIN SERV AG
        529900USFSZYPS075O24
        Volkswagen Financial Services AG
        000000000
        
          
        
        115000.00000000
        PA
        
        135747.07000000
        0.025095469623
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-10-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IRON MOUNTAIN INC
        SQL3F6CKNNBM3SQGHX24
        Iron Mountain Inc
        46284VAG6
        
          
        
        335000.00000000
        PA
        USD
        328199.50000000
        0.060674021049
        Long
        DBT
        
        US
        N
        
        2
        
          2028-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OFFICE CHERIFIEN DES PHO
        529900F3MBW9XY5K1X07
        OCP SA
        000000000
        
          
        
        200000.00000000
        PA
        USD
        208000.00000000
        0.038452820245
        Long
        DBT
        CORP
        MA
        N
        
        2
        
          2025-10-22
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16
        61763MAF7
        
          
        
        375000.00000000
        PA
        USD
        403830.60000000
        0.074655891690
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-15
          Fixed
          3.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERV56
        
          
        
        16438.60000000
        PA
        USD
        18250.98000000
        0.003374046409
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJH27
        
          
        
        11972.24000000
        PA
        USD
        12810.33000000
        0.002368237099
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCV6
        
          
        
        530000.00000000
        PA
        USD
        527886.59000000
        0.097590039209
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-26
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAQ4
        
          
        
        140000.00000000
        PA
        USD
        164066.99000000
        0.030330954205
        Long
        DBT
        
        US
        N
        
        2
        
          2050-07-01
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        000000000
        
          
        
        250000.00000000
        PA
        
        317423.46000000
        0.058681861775
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-09-04
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        21107.00000000
        0.003902036908
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            759000.00000000
            USD
            938351700.00000000
            KRW
            2020-07-02
            21107.00000000
          
        
        
          N
          N
          N
        
      
      
        Stoneway Capital Corp
        549300CV1RKODDF74O91
        Stoneway Capital Corp
        86188PAA5
        
          
        
        546404.71000000
        PA
        USD
        186460.61000000
        0.034470847688
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2027-03-01
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        2178.19000000
        0.000402680521
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            2900010.22000000
            ZAR
            168000.00000000
            USD
            2020-09-16
            2178.19000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWP: IFS 3.345000 15-JAN-2025
        000000000
        
          
        
        270000.00000000
        OU
        Notional Amount
        
        -8487.82000000
        -0.00156913758
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
              
                
              
            
            
            2025-01-15
            0.00000000
            GBP
            -9.74000000
            GBP
            270000.00000000
            GBP
            -8475.13000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M1YD4
        
          
        
        1690.01000000
        PA
        USD
        1837.73000000
        0.000339739910
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNIBAIL-RODAMCO-WESTFLD
        969500SHQITWXSIS7N89
        Unibail-Rodamco-Westfield SE
        000000000
        
          
        
        300000.00000000
        PA
        
        335159.02000000
        0.061960622835
        Long
        DBT
        
        FR
        N
        
        2
        
          2032-06-29
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BVG8
        
          
        
        51745.72000000
        PA
        USD
        55587.02000000
        0.010276335038
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWP: JPY 0.271250 19-SEP-2049
        000000000
        
          
        
        265000000.00000000
        OU
        Notional Amount
        
        -22745.65000000
        -0.00420497303
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                JPY - 6M Japanese Yen LIBOR Rate BBA (JY0006M)
                JPY0006M Index
              
            
            Y
            
            
              
                
              
            
            2049-09-19
            8584.00000000
            JPY
            0.00000000
            JPY
            265000000.00000000
            JPY
            -22824.85000000
          
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -670.06000000
        -0.00012387354
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            74836.09000000
            USD
            8000000.00000000
            JPY
            2020-09-16
            -670.06000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        CHARTER COMMUNICATIONS INC SEP20 605 CALL
        000000000
        
          
        
        -1.00000000
        NC
        USD
        -200.00000000
        -0.00003697386
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Charter Communications Inc
                Charter Communications Inc
                
                  
                  
                
              
            
            100.00000000
            605.00000000
            USD
            2020-09-18
            XXXX
            395.41000000
          
        
        
          N
          N
          N
        
      
      
        PROCTER & GAMBLE CO/THE
        2572IBTT8CCZW6AU4141
        Procter & Gamble Co/The
        000000000
        
          
        
        150000.00000000
        PA
        
        173659.55000000
        0.032104324327
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W9GK0
        
          
        
        996.01000000
        PA
        USD
        1083.27000000
        0.000200263397
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -665.04000000
        -0.00012294549
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            79441.55000000
            USD
            70000.00000000
            EUR
            2020-09-16
            -665.04000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        USDJPY Down-and-in barrier option; Barrier range USD 105.61000-1.06770
        000000000
        
          
        
        210000.00000000
        OU
        Notional Amount
        USD
        63.00000000
        0.000011646767
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    USDJPY Down-and-in barrier option; Barrier range USD 105.61000-1.06770
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    63.00000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  22178100.00000000
                  JPY
                  210000.00000000
                  USD
                  2020-07-29
                
              
            
            1.00000000
            105.61000000
            USD
            2020-07-29
            XXXX
            -17262.00000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WGML5
        
          
        
        19248.51000000
        PA
        USD
        21437.57000000
        0.003963149162
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAP6
        
          
        
        120000.00000000
        PA
        USD
        130401.81000000
        0.024107294998
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        8872.96000000
        0.001640338153
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            2045416.45000000
            BRL
            385000.00000000
            USD
            2020-07-02
            8872.96000000
          
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW5MZ7L9 SWAPTION JUN21 0.5 CALL
        000000000
        
          
        
        -6263964.00000000
        OU
        Notional Amount
        USD
        -220803.98000000
        -0.04081988342
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    6263964.00000000
                    OU
                    Notional Amount
                    N/A
                    -220803.98000000
                    -0.04000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2051-06-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6263964.00000000
                  USD
                
              
            
            1.00000000
            0.50000000
            USD
            2021-06-04
            XXXX
            -70468.84000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W45F4
        
          
        
        3403.10000000
        PA
        USD
        3665.47000000
        0.000677632976
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marvell Technology Group Ltd
        8DF36O58U3QIHUCGZB18
        Marvell Technology Group Ltd
        000000000
        
          
        
        1100.00000000
        NS
        USD
        38566.00000000
        0.007129670507
        Long
        EC
        CORP
        BM
        
        N
        
        1
        
          N
          N
          N
        
      
      
        OP CORPORATE BANK PLC
        549300NQ588N7RWKBP98
        OP Corporate Bank plc
        000000000
        
          
        
        250000.00000000
        PA
        
        284360.55000000
        0.052569543818
        Long
        DBT
        CORP
        FI
        N
        
        2
        
          2025-08-12
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
        
        15127000000.00000000
        PA
        
        1060531.36000000
        0.196059719957
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2027-05-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        254900HROIFWPRGM1V77
        Freddie Mac Gold Pool
        312942DD4
        
          
        
        18594.71000000
        PA
        USD
        20838.41000000
        0.003852382855
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUINIX INC
        549300EVUN2BTLJ3GT74
        Equinix Inc
        29444UBF2
        
          
        
        191000.00000000
        PA
        USD
        190952.25000000
        0.035301214157
        Long
        DBT
        
        US
        N
        
        2
        
          2025-07-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -434.27000000
        -0.00008028320
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            198926.00000000
            EUR
            223843.67000000
            USD
            2020-11-27
            -434.27000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST JUL20 295 PUT
        000000000
        
          
        
        26.00000000
        NC
        USD
        663.00000000
        0.000122568364
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            295.00000000
            USD
            2020-07-02
            XXXX
            -7065.07000000
          
        
        
          N
          N
          N
        
      
      
        COLT MERGER SUB INC
        N/A
        Colt Merger Sub Inc
        28470RAH5
        
          
        
        372000.00000000
        PA
        USD
        369675.00000000
        0.068341568867
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCK FIN SERVICES GMBH
        549300OELEN3ZS5RB682
        Merck Financial Services GmbH
        000000000
        
          
        
        200000.00000000
        PA
        
        223652.32000000
        0.041346454127
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2023-12-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        115770.29000000
        0.021402375726
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-17
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDICORP LTD
        529900UYAEYQCQ2BKB17
        Credicorp Ltd
        22530EAA0
        
          
        
        200000.00000000
        PA
        USD
        199030.00000000
        0.036794542372
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-06-17
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        SCDS: (CHILE)
        000000000
        
          
        
        543000.00000000
        OU
        Notional Amount
        USD
        -3735.24000000
        -0.00069053130
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                Chile Government International Bond
                Chile Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            17036.84000000
            USD
            0.00000000
            USD
            543000.00000000
            USD
            -20772.08000000
          
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBF1
        
          
        
        454000.00000000
        PA
        USD
        492944.99000000
        0.091130409094
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2047-08-15
          Fixed
          4.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GEORGIA-PACIFIC LLC
        L2EVHWFHVAQK72TMH265
        Georgia-Pacific LLC
        37331NAK7
        
          
        
        254000.00000000
        PA
        USD
        264595.90000000
        0.048915666252
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-30
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW5ZSU84 USD PUT KRW CALL JUL20 1200 PUT
        000000000
        
          
        
        2556000.00000000
        OU
        Notional Amount
        USD
        17143.09000000
        0.003169231529
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    17143.09000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  2556000.00000000
                  USD
                  3067200000.00000000
                  KRW
                  2020-07-16
                
              
            
            1.00000000
            1200.00000000
            USD
            2020-07-16
            XXXX
            835.81000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -1528.83000000
        -0.00028263377
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            20675949.30000000
            INR
            270000.00000000
            USD
            2020-09-16
            -1528.83000000
          
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        000000000
        
          
        
        200000.00000000
        PA
        
        224376.35000000
        0.041480305067
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-09-26
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cooperatieve Rabobank UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        000000000
        
          
        
        100000.00000000
        PA
        
        122277.20000000
        0.022605303806
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2027-02-03
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NGPL PipeCo LLC
        549300K3NT1HSQFEM073
        NGPL PipeCo LLC
        62912XAF1
        
          
        
        529000.00000000
        PA
        USD
        581328.99000000
        0.107469899789
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BECTON DICKINSON EURO
        549300W40NLZ25XUTH09
        Becton Dickinson Euro Finance Sarl
        000000000
        
          
        
        230000.00000000
        PA
        
        256614.59000000
        0.047440166835
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2021-06-04
          Fixed
          0.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUND FUTURE  SEP20 XEUR 20200908
        000000000
        
          
        
        3.00000000
        NC
        
        3637.61000000
        0.000672482516
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-Bund (FGBL)
                RXU0 Comdty
              
            
            2020-09-08
            526322.25000000
            EUR
            3637.61000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        BRW3Q7MS0 USD PUT RUB CALL JUL20 78 PUT
        000000000
        
          
        
        6000000.00000000
        OU
        Notional Amount
        USD
        568632.00000000
        0.105122615779
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    568632.00000000
                    0.11000000
                    DFE
                    
                    XX
                  
                  468000000.00000000
                  RUB
                  6000000.00000000
                  USD
                  2020-07-02
                
              
            
            1.00000000
            78.00000000
            USD
            2020-07-02
            XXXX
            341745.35000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RJD2
        
          
        
        13604.70000000
        PA
        USD
        14528.58000000
        0.002685888822
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-07-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED CNH / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        N/A
        37.16000000
        0.000006869744
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            534673.00000000
            JPY
            35451.04000000
            CNY
            2020-09-16
            37.16000000
          
        
        
          N
          N
          N
        
      
      
        NETFLIX INC
        549300Y7VHGU0I7CE873
        Netflix Inc
        64110LAX4
        
          
        
        19000.00000000
        PA
        USD
        22040.00000000
        0.004074519991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        23504.99000000
        0.004345351708
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            5500611.00000000
            BRL
            1035000.00000000
            USD
            2020-07-02
            23504.99000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST JUL20 285 PUT
        000000000
        
          
        
        -102.00000000
        NC
        USD
        -16473.00000000
        -0.00304535244
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            285.00000000
            USD
            2020-07-17
            XXXX
            7690.50000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -15634.23000000
        -0.00289028959
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            639000.00000000
            USD
            10832583.60000000
            ZAR
            2020-07-15
            -15634.23000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.700000 05-MAY-2026
        000000000
        
          
        
        6150000.00000000
        OU
        Notional Amount
        USD
        -483316.01000000
        -0.08935030603
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2026-05-05
            0.00000000
            USD
            -29.28000000
            USD
            6150000.00000000
            USD
            -483286.73000000
          
        
        
          N
          N
          N
        
      
      
        Rolls-Royce PLC
        X57JK1U580XATGR67572
        Rolls-Royce PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        101505.26000000
        0.018765209215
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-09
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138A2BQ1
        
          
        
        12768.44000000
        PA
        USD
        14013.64000000
        0.002590692211
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Russian Federation
        5493004EHVGF71PDBU58
        Russian Foreign Bond - Eurobond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        223200.00000000
        0.041262834033
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2027-06-23
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT
        4BFD7AQU0A75QLAHK410
        Canadian Government Bond
        135087D35
        
          
        
        210000.00000000
        PA
        
        222102.53000000
        0.041059945491
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2048-12-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200KC4
        
          
        
        120000.00000000
        PA
        USD
        152785.20000000
        0.028245297268
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-05-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHD25
        
          
        
        10788.40000000
        PA
        USD
        11469.81000000
        0.002120416068
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NBG3
        
          
        
        734000.00000000
        PA
        USD
        754919.00000000
        0.139561368303
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2050-06-03
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJQF8
        
          
        
        14285.49000000
        PA
        USD
        15311.70000000
        0.002830663691
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ECKY8
        
          
        
        1180.54000000
        PA
        USD
        1262.78000000
        0.000233449290
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        5000000.00000000
        PA
        
        4391074.04000000
        0.811774907434
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2047-03-21
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J8GB3
        
          
        
        106065.65000000
        PA
        USD
        112431.71000000
        0.020785174685
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE Futures U.S., Inc.
        5493004R83R1LVX2IL36
        MSCI EMGMKT       SEP20 IFUS 20200918
        000000000
        
          
        
        -4.00000000
        NC
        USD
        -6908.88000000
        -0.00127724000
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              ICE Futures U.S., Inc.
              5493004R83R1LVX2IL36
            
            Short
            
              
                MSCI Emerging Markets
                MESU0 Index
              
            
            2020-09-18
            -190231.12000000
            USD
            -6908.88000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        FSWP: CHF -0.620000 07-JAN-2022
        000000000
        
          
        
        3318000.00000000
        OU
        Notional Amount
        
        915.62000000
        0.000169270054
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CHF - 6M Swiss Franc LIBOR Rate BBA (SF0006M)
                SF0006M Index
              
            
            Y
            
            
              
                
              
            
            2022-01-07
            57.23000000
            CHF
            0.00000000
            CHF
            3318000.00000000
            CHF
            856.73000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36196FZH0
        
          
        
        9807.14000000
        PA
        USD
        10562.62000000
        0.001952704462
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Broadcom Inc
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135F101
        
          
        
        80.00000000
        NS
        USD
        25248.80000000
        0.004667728691
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABE6
        
          
        
        264000.00000000
        PA
        USD
        264374.88000000
        0.048874806433
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-10
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI ELECTRICITY GLOBAL
        635400FMICXSM3SI3H65
        Saudi Electricity Global Sukuk Co 2
        000000000
        
          
        
        450000.00000000
        PA
        USD
        515390.63000000
        0.095279919479
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2043-04-08
          Fixed
          5.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI ARABIAN OIL CO
        5586006WD91QHB7J4X50
        Saudi Arabian Oil Co
        000000000
        
          
        
        500000.00000000
        PA
        USD
        558750.00000000
        0.103295737078
        Long
        DBT
        CORP
        SA
        N
        
        2
        
          2039-04-16
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST SEP20 253 CALL
        000000000
        
          
        
        -15.00000000
        NC
        USD
        -88762.50000000
        -0.01640946373
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            253.00000000
            USD
            2020-09-30
            XXXX
            -49684.30000000
          
        
        
          N
          N
          N
        
      
      
        Lockheed Martin Corp
        DPRBOZP0K5RM2YE8UU08
        Lockheed Martin Corp
        539830BE8
        
          
        
        113000.00000000
        PA
        USD
        124213.88000000
        0.022963336536
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBH7
        
          
        
        200000.00000000
        PA
        USD
        216073.71000000
        0.039945401588
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-05-07
          Fixed
          3.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        N/A
        Transcontinental Gas Pipe Line Co LLC
        893574AK9
        
          
        
        262000.00000000
        PA
        USD
        293321.57000000
        0.054226161564
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN GOVT CPI LINKED
        353800WZS8AXZXFUC241
        Japanese Government CPI Linked Bond
        000000000
        
          
        
        83145384.00000000
        PA
        
        769503.89000000
        0.142257667118
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2029-03-10
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BOBL FUTURE  SEP20 XEUR 20200908
        000000000
        
          
        
        -272.00000000
        NC
        
        -183691.22000000
        -0.03395887242
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                Euro-Bobl (FGBM)
                OEU0 Comdty
              
            
            2020-09-08
            -36551060.85000000
            EUR
            -183691.22000000
          
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833AS9
        
          
        
        52000.00000000
        PA
        USD
        57376.20000000
        0.010607099543
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-06
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW69P0V9 EUR CALL USD PUT SEP20 1.155 CALL
        000000000
        
          
        
        -7522518.00000000
        OU
        Notional Amount
        
        -43643.78000000
        -0.00806839628
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    -43643.78000000
                    -0.01000000
                    DFE
                    
                    XX
                  
                  7522518.00000000
                  EUR
                  8688508.29000000
                  USD
                  2020-09-25
                
              
            
            1.00000000
            1.15500000
            EUR
            2020-09-25
            XXXX
            2783.91000000
          
        
        
          N
          N
          N
        
      
      
        MINERA MEXICO SA DE CV
        N/A
        Minera Mexico SA de CV
        60284MAB8
        
          
        
        373000.00000000
        PA
        USD
        370785.31000000
        0.068546831130
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2050-01-26
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANGLO AMERICAN CAPITAL
        TINT358G1SSHR3L3PW36
        Anglo American Capital PLC
        000000000
        
          
        
        125000.00000000
        PA
        
        146368.12000000
        0.027058976000
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2022-03-28
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IRON MOUNTAIN INC
        SQL3F6CKNNBM3SQGHX24
        Iron Mountain Inc
        46284VAJ0
        
          
        
        205000.00000000
        PA
        USD
        201925.00000000
        0.037329739077
        Long
        DBT
        
        US
        N
        
        2
        
          2030-07-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617BTER9
        
          
        
        22785.52000000
        PA
        USD
        24178.01000000
        0.004469772463
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERR93
        
          
        
        17792.85000000
        PA
        USD
        19451.11000000
        0.003595913636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335BAA4
        
          
        
        19719.30000000
        PA
        USD
        21650.21000000
        0.004002459776
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCE7
        
          
        
        20000.00000000
        PA
        USD
        21012.04000000
        0.003884481716
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-12-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        iShares MSCI Emerging Markets ETF
        549300BPYHDEDI59G670
        iShares MSCI Emerging Markets ETF
        464287234
        
          
        
        19721.00000000
        NS
        USD
        788642.79000000
        0.145795862702
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST AUG20 265 PUT
        000000000
        
          
        
        -20.00000000
        NC
        USD
        -5480.00000000
        -0.00101308391
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            265.00000000
            USD
            2020-08-21
            XXXX
            2375.04000000
          
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDZ2
        
          
        
        77000.00000000
        PA
        USD
        81313.81000000
        0.015032429420
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW61WCR8 EUR CALL USD PUT SEP20 1.155 CALL
        000000000
        
          
        
        -6362886.00000000
        OU
        Notional Amount
        
        -32884.02000000
        -0.00607924668
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    -32884.02000000
                    -0.01000000
                    DFE
                    
                    XX
                  
                  6362886.00000000
                  EUR
                  7349133.33000000
                  USD
                  2020-09-17
                
              
            
            1.00000000
            1.15500000
            EUR
            2020-09-17
            XXXX
            6439.08000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST OCT20 295 CALL
        000000000
        
          
        
        -20.00000000
        NC
        USD
        -51970.00000000
        -0.00960765898
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            295.00000000
            USD
            2020-10-16
            XXXX
            -14215.62000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38148YAB4
        
          
        
        240000.00000000
        PA
        USD
        239923.22000000
        0.044354444478
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-31
          Floating
          1.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H050672
        
          
        
        289000.00000000
        PA
        USD
        313881.09000000
        0.058026986213
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-07-21
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DASSAULT SYSTEMES
        96950065LBWY0APQIM86
        Dassault Systemes SE
        000000000
        
          
        
        100000.00000000
        PA
        
        112091.78000000
        0.020722332054
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-09-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SNU7
        
          
        
        2869.56000000
        PA
        USD
        3053.10000000
        0.000564424545
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDIA GOVERNMENT BOND
        N/A
        India Government Bond
        000000000
        
          
        
        20180000.00000000
        PA
        
        289257.91000000
        0.053474915470
        Long
        DBT
        NUSS
        IN
        N
        
        2
        
          2026-04-08
          Fixed
          7.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAG5
        
          
        
        119000.00000000
        PA
        USD
        129687.53000000
        0.023975246534
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-25
          Fixed
          4.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617BTGM8
        
          
        
        48140.24000000
        PA
        USD
        51271.94000000
        0.009478609098
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        ETSY INC SEP20 70 PUT
        000000000
        
          
        
        17.00000000
        NC
        USD
        3357.50000000
        0.000620698769
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                Etsy Inc
                Etsy Inc
                
                  
                  
                
              
            
            100.00000000
            70.00000000
            USD
            2020-09-18
            XXXX
            -6885.23000000
          
        
        
          N
          N
          N
        
      
      
        Buoni Poliennali DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        205000.00000000
        PA
        
        290819.95000000
        0.053763688756
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2048-03-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAM3
        
          
        
        214000.00000000
        PA
        USD
        229500.19000000
        0.042427545925
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        227.14000000
        0.000041991219
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            67295.59000000
            USD
            60000.00000000
            EUR
            2020-09-16
            227.14000000
          
        
        
          N
          N
          N
        
      
      
        QUALCOMM Inc
        H1J8DDZKZP6H7RWC0H53
        QUALCOMM Inc
        747525AK9
        
          
        
        17000.00000000
        PA
        USD
        22229.02000000
        0.004109463991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-20
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CODELCO INC
        549300UVMBCBCIPSUI70
        Corp Nacional del Cobre de Chile
        21987BBC1
        
          
        
        200000.00000000
        PA
        USD
        217500.00000000
        0.040209078862
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2031-01-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRG Energy Inc
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CK6
        
          
        
        20000.00000000
        PA
        USD
        21207.88000000
        0.003920686526
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        E.ON SE
        Q9MAIUP40P25UFBFG033
        E.ON SE
        000000000
        
          
        
        460000.00000000
        PA
        
        514587.52000000
        0.095131449073
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-09-29
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EP6D1
        
          
        
        3633.32000000
        PA
        USD
        3924.03000000
        0.000725432789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BJ4
        
          
        
        114000.00000000
        PA
        USD
        148301.21000000
        0.027416345049
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-08-22
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132WJUH2
        
          
        
        4063.27000000
        PA
        USD
        4431.42000000
        0.000819233637
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBW4
        
          
        
        449000.00000000
        PA
        USD
        509655.55000000
        0.094219679093
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/SWP: IFS 3.345000 15-MAY-2030
        000000000
        
          
        
        320000.00000000
        OU
        Notional Amount
        
        972.76000000
        0.000179833487
        N/A
        DO
        
        GB
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
            
              
                
              
            
            2030-05-15
            13.06000000
            GBP
            0.00000000
            GBP
            320000.00000000
            GBP
            956.79000000
          
        
        
          N
          N
          N
        
      
      
        DTE ELECTRIC CO
        9N0FWODEJVKHC2DYLO03
        DTE Electric Co
        23338VAL0
        
          
        
        43000.00000000
        PA
        USD
        44597.32000000
        0.008244676583
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SSP3
        
          
        
        10084.44000000
        PA
        USD
        10715.56000000
        0.001980978377
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-12-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.800000 30-JAN-2027
        000000000
        
          
        
        2520000.00000000
        OU
        Notional Amount
        USD
        -282448.79000000
        -0.05221611803
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2027-01-29
            0.00000000
            USD
            -20662.89000000
            USD
            2520000.00000000
            USD
            -261785.90000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: OIS -0.496000 03-JUN-2023
        000000000
        
          
        
        2380000.00000000
        OU
        Notional Amount
        
        1454.87000000
        0.000268960839
        N/A
        DIR
        
        XX
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                EUR - 1D Effective Overnight Index Average (EONIA)
                EONIA Index
              
            
            Y
            
            
              
                
              
            
            2023-06-05
            0.00000000
            EUR
            -0.80000000
            EUR
            2380000.00000000
            EUR
            1455.76000000
          
        
        
          N
          N
          N
        
      
      
        CSX Corp
        549300JVQR4N1MMP3Q88
        CSX Corp
        126408HM8
        
          
        
        185000.00000000
        PA
        USD
        219849.02000000
        0.040643340611
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: AUD 0.430000 16-MAY-2024
        000000000
        
          
        
        1458504.00000000
        OU
        Notional Amount
        
        768.31000000
        0.000142036953
        N/A
        DIR
        
        AU
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                AUD - 3M Australian Bank Bill Rate (BBSW)
                AU1303M Index
              
            
            Y
            
            
              
                
              
            
            2024-05-16
            27.79000000
            AUD
            0.00000000
            AUD
            1458504.00000000
            AUD
            750.18000000
          
        
        
          N
          N
          N
        
      
      
        SIEMENS FINANCIERINGSMAT
        TAFO772JB70PDRN5VS48
        Siemens Financieringsmaatschappij NV
        000000000
        
          
        
        50000.00000000
        PA
        
        54623.20000000
        0.010098154282
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-09-05
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGINIA ELEC & POWER CO
        CQKUMNNZVDJLRYV2PT43
        Virginia Electric and Power Co
        927804FN9
        
          
        
        87000.00000000
        PA
        USD
        91499.32000000
        0.016915417810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-OAT FUTURE   SEP20 XEUR 20200908
        000000000
        
          
        
        106.00000000
        NC
        
        319056.57000000
        0.058983773723
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-OAT
                OATU0 Comdty
              
            
            2020-09-08
            17486915.40000000
            EUR
            319056.57000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHXG2
        
          
        
        86738.88000000
        PA
        USD
        94305.07000000
        0.017434114927
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        49419.51000000
        0.009136151608
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            357239848.00000000
            JPY
            3361302.00000000
            USD
            2020-09-16
            49419.51000000
          
        
        
          N
          N
          N
        
      
      
        Realty Income Corp
        549300CUWDAUZSH43859
        Realty Income Corp
        756109AR5
        
          
        
        13000.00000000
        PA
        USD
        14868.47000000
        0.002748724058
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPRINT SPECTRUM / SPEC I
        5493003BZYYYCDIO0R13
        Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
        85208NAA8
        
          
        
        125000.00000000
        PA
        USD
        126522.50000000
        0.023390129565
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-09-20
          Fixed
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L3HARRIS TECH INC
        549300UTE50ZMDBG8A20
        L3Harris Technologies Inc
        502431AK5
        
          
        
        243000.00000000
        PA
        USD
        266234.42000000
        0.049218578343
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-28
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YDG1
        
          
        
        100000.00000000
        PA
        
        114749.75000000
        0.021213709182
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTURYLINK INC
        8M3THTGWLTYZVE6BBY25
        CenturyLink Inc
        156700BB1
        
          
        
        29000.00000000
        PA
        USD
        28927.50000000
        0.005347807488
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7R56
        
          
        
        31272.14000000
        PA
        USD
        33439.86000000
        0.006182004450
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31335ATS7
        
          
        
        12974.79000000
        PA
        USD
        14106.06000000
        0.002607777834
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anchorage Capital CLO LTD
        549300V7DN3VJ8H1GE96
        Anchorage Capital CLO 3-R Ltd
        03330AAA0
        
          
        
        400000.00000000
        PA
        USD
        390802.52000000
        0.072247399294
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-28
          Floating
          1.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HATG5
        
          
        
        2243.95000000
        PA
        USD
        2473.52000000
        0.000457277980
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.280000 04-JAN-2029
        000000000
        
          
        
        2420000.00000000
        OU
        Notional Amount
        USD
        -587140.57000000
        -0.10854428267
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2029-01-04
            0.00000000
            USD
            -43.56000000
            USD
            2420000.00000000
            USD
            -587097.01000000
          
        
        
          N
          N
          N
        
      
      
        MET LIFE GLOB FUNDING I
        635400MMSOCXNNNZDZ82
        Metropolitan Life Global Funding I
        000000000
        
          
        
        100000.00000000
        PA
        
        112023.13000000
        0.020709640775
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-23
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        490000.00000000
        PA
        
        72337.59000000
        0.013373001660
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2049-07-22
          Fixed
          3.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBB1
        
          
        
        88000.00000000
        PA
        USD
        91621.76000000
        0.016938053211
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-01
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36197MQM3
        
          
        
        23931.60000000
        PA
        USD
        26790.14000000
        0.004952675181
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-03-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        China Development Bank
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        1400000.00000000
        PA
        
        200680.56000000
        0.037099680290
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2024-02-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        20062.76000000
        0.003708988961
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            481958000.00000000
            CLP
            607000.00000000
            USD
            2020-07-15
            20062.76000000
          
        
        
          N
          N
          N
        
      
      
        TRI POINTE GROUP INC
        N/A
        TRI Pointe Group Inc
        87265HAG4
        
          
        
        25000.00000000
        PA
        USD
        25375.00000000
        0.004691059200
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJDN5
        
          
        
        49666.25000000
        PA
        USD
        52810.18000000
        0.009762982493
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4879.67000000
        0.000902101314
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            4550000.00000000
            USD
            32333976.68000000
            CNY
            2020-09-16
            4879.67000000
          
        
        
          N
          N
          N
        
      
      
        AES PANAMA SA
        549300FHNTXK4WDDXS04
        AES Panama SRL
        00107TAA6
        
          
        
        200000.00000000
        PA
        USD
        200875.00000000
        0.037135626283
        Long
        DBT
        CORP
        PA
        N
        
        2
        
          2022-06-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JBS Investments II GmbH
        529900V1Q46CPWIWT649
        JBS Investments II GmbH
        46650CAA7
        
          
        
        200000.00000000
        PA
        USD
        209900.00000000
        0.038804071969
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2026-01-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Simply Good Foods Co/The
        N/A
        Simply Good Foods Co/The
        82900L102
        
          
        
        4049.00000000
        NS
        USD
        75230.42000000
        0.013907797198
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCL1
        
          
        
        4000.00000000
        PA
        USD
        4865.23000000
        0.000899431801
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-10-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9908.79000000
        -0.00183183134
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            459000.00000000
            USD
            32013459.90000000
            RUB
            2020-07-15
            -9908.79000000
          
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2016-DC2 Mortgage Trust
        12594CBK5
        
          
        
        100000.00000000
        PA
        USD
        92641.37000000
        0.017126547826
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-10
          Variable
          4.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J5EJ4
        
          
        
        1840.82000000
        PA
        USD
        1949.09000000
        0.000360326958
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        8062.55000000
        0.001490518201
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            59841132.00000000
            RUB
            841848.71000000
            USD
            2020-09-16
            8062.55000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/SWP: USD 1.090000 27-MAR-2030
        000000000
        
          
        
        12182840.00000000
        OU
        Notional Amount
        USD
        -580480.65000000
        -0.10731306774
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2030-03-27
            0.00000000
            USD
            -249.79000000
            USD
            12182840.00000000
            USD
            -580230.86000000
          
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW4RZQY8 USD PUT TWD CALL AUG20 29.25 PUT
        000000000
        
          
        
        -1191000.00000000
        OU
        Notional Amount
        USD
        -7317.50000000
        -0.00135278130
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -7317.50000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1191000.00000000
                  USD
                  34836750.00000000
                  TWD
                  2020-08-07
                
              
            
            1.00000000
            29.25000000
            USD
            2020-08-07
            XXXX
            852.76000000
          
        
        
          N
          N
          N
        
      
      
        Dominican Republic
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        000000000
        
          
        
        250000.00000000
        PA
        USD
        252656.25000000
        0.046708391179
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2025-01-27
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        0J0XRGZE3PBRFEZ7MV65
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPBR3
        
          
        
        35000.00000000
        PA
        USD
        36235.85000000
        0.006698897242
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COCA-COLA EUROPEAN PARTN
        549300LTH67W4GWMRF57
        Coca-Cola European Partners PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        115476.66000000
        0.021348092546
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-04-12
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        X0ST5BPF0CZG9FE5OV61
        ViacomCBS Inc
        92553PAW2
        
          
        
        32000.00000000
        PA
        USD
        35725.79000000
        0.006604602793
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-04-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513EBD2
        
          
        
        45000.00000000
        PA
        USD
        48487.52000000
        0.008963855243
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2018-1 AA PTT
        N/A
        United Airlines 2018-1 Class AA Pass Through Trust
        909318AA5
        
          
        
        65311.87000000
        PA
        USD
        61091.45000000
        0.011293935314
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Xilinx Inc
        6EY4K7ZMF9UX1CU6KC79
        Xilinx Inc
        983919101
        
          
        
        1998.00000000
        NS
        USD
        196583.22000000
        0.036342207798
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: CHF -0.636500 06-APR-2022
        000000000
        
          
        
        7550000.00000000
        OU
        Notional Amount
        
        197.30000000
        0.000036474718
        N/A
        DIR
        
        CH
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CHF - 6M Swiss Franc LIBOR Rate BBA (SF0006M)
                SF0006M Index
              
            
            Y
            
            
              
                
              
            
            2022-04-06
            130.24000000
            CHF
            0.00000000
            CHF
            7550000.00000000
            CHF
            63.55000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BY8
        
          
        
        76000.00000000
        PA
        USD
        75164.34000000
        0.013895581033
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        VANECK VECTORS SEMICONDUCTOR E AUG20 170 CALL
        000000000
        
          
        
        -54.00000000
        NC
        USD
        -9693.00000000
        -0.00179193839
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                VanEck Vectors Semiconductor ETF
                VanEck Vectors Semiconductor ETF
                
                  
                  
                
              
            
            100.00000000
            170.00000000
            USD
            2020-08-21
            XXXX
            5197.76000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        BRW5WRJY5 EUR CALL USD PUT AUG20 1.17 CALL
        000000000
        
          
        
        2830000.00000000
        OU
        Notional Amount
        
        3278.07000000
        0.000606014598
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              DEUTSCHE BANK AG
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AG
                    7LTWFZYICNSX8D621K86
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    3278.07000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  3311100.00000000
                  USD
                  2830000.00000000
                  EUR
                  2020-08-13
                
              
            
            1.00000000
            1.17000000
            EUR
            2020-08-13
            XXXX
            -5693.35000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED KZT / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2819.44000000
        -0.00052122797
        N/A
        DFE
        
        KZ
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            60000.00000000
            USD
            23355000.00000000
            KZT
            2020-07-24
            -2819.44000000
          
        
        
          N
          N
          N
        
      
      
        GOL FINANCE SA
        5299007RH8MA67ZC6J07
        Gol Finance SA
        36254VAA6
        
          
        
        158000.00000000
        PA
        USD
        88875.00000000
        0.016430261535
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2025-01-31
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW3858N1 SWAPTION SEP20 0.66 CALL
        000000000
        
          
        
        -1243000.00000000
        OU
        Notional Amount
        USD
        -15874.27000000
        -0.00293466562
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    1243000.00000000
                    OU
                    Notional Amount
                    N/A
                    -15874.27000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-09-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1243000.00000000
                  USD
                
              
            
            1.00000000
            0.66000000
            USD
            2020-09-23
            XXXX
            22720.88000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        FSWP: CHF -0.620000 08-JAN-2022
        000000000
        
          
        
        5276000.00000000
        OU
        Notional Amount
        
        1453.91000000
        0.000268783364
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CHF - 6M Swiss Franc LIBOR Rate BBA (SF0006M)
                SF0006M Index
              
            
            Y
            
            
              
                
              
            
            2022-01-10
            91.01000000
            CHF
            0.00000000
            CHF
            5276000.00000000
            CHF
            1360.30000000
          
        
        
          N
          N
          N
        
      
      
        ING Bank NV
        3TK20IVIUJ8J3ZU0QE75
        ING Bank NV
        000000000
        
          
        
        500000.00000000
        PA
        
        562056.50000000
        0.103907007512
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2022-04-08
          Floating
          0.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J5H93
        
          
        
        73488.91000000
        PA
        USD
        81245.94000000
        0.015019882339
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418XEJ3
        
          
        
        225.76000000
        PA
        USD
        247.84000000
        0.000045818014
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Microsoft Corp
        INR2EJN1ERAN0W5ZP974
        Microsoft Corp
        594918BT0
        
          
        
        40000.00000000
        PA
        USD
        49811.40000000
        0.009208600049
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-08-08
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        4400000.00000000
        PA
        
        4988343.47000000
        0.922191705656
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2030-04-30
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312942H40
        
          
        
        10158.21000000
        PA
        USD
        11199.98000000
        0.002070532777
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBU2
        
          
        
        12000.00000000
        PA
        USD
        13051.78000000
        0.002412873799
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-21
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUITABLE HOLDINGS INC
        549300FIBAKMNHPZ4009
        Equitable Holdings Inc
        054561AC9
        
          
        
        31000.00000000
        PA
        USD
        33182.29000000
        0.006134387657
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-20
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UnitedHealth Group Inc
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324P102
        
          
        
        100.00000000
        NS
        USD
        29495.00000000
        0.005452720832
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAR7
        
          
        
        172000.00000000
        PA
        USD
        198472.80000000
        0.036691533183
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-23
          Fixed
          4.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YXUK9
        
          
        
        7427.40000000
        PA
        USD
        8074.45000000
        0.001492718146
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132QUZV8
        
          
        
        1894.66000000
        PA
        USD
        2077.49000000
        0.000384064180
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        R0MUWSFPU8MPRO8K5P83
        EURUSD One-touch barrier option; Barrier price EUR 1.25000
        000000000
        
          
        
        180000.00000000
        OU
        Notional Amount
        
        18223.14000000
        0.003368899647
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            Call
            Purchased
            
              
                
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                    EURUSD One-touch barrier option; Barrier price EUR 1.25000
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    18223.14000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  225000.00000000
                  USD
                  180000.00000000
                  EUR
                  2021-06-28
                
              
            
            1.00000000
            1.25000000
            EUR
            2021-06-28
            XXXX
            -430.23000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        ICE: (CDX.NA.IG.30.V1)
        000000000
        
          
        
        830000.00000000
        OU
        Notional Amount
        USD
        -8889.22000000
        -0.00164334412
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S30.V1
                2I65BYDP7
              
            
            Y
            
            sell protection
            2023-06-20
            0.00000000
            USD
            -7512.29000000
            USD
            830000.00000000
            USD
            -1376.93000000
          
        
        
          N
          N
          N
        
      
      
        INTESA SANPAOLO SPA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        000000000
        
          
        
        100000.00000000
        PA
        
        110812.11000000
        0.020485760321
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2024-12-04
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        BRW62P749 USD CALL ZAR PUT JUL20 19 CALL
        000000000
        
          
        
        1214000.00000000
        OU
        Notional Amount
        USD
        1777.30000000
        0.000328568256
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AG
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AG
                    7LTWFZYICNSX8D621K86
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    1777.30000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  23066000.00000000
                  ZAR
                  1214000.00000000
                  USD
                  2020-07-23
                
              
            
            1.00000000
            19.00000000
            USD
            2020-07-23
            XXXX
            -2610.10000000
          
        
        
          N
          N
          N
        
      
      
        Volkswagen Leasing GmbH
        5299004GLEUX88BSNB74
        Volkswagen Leasing GmbH
        000000000
        
          
        
        225000.00000000
        PA
        
        265088.54000000
        0.049006740278
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-01-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        100000.00000000
        PA
        
        192933.19000000
        0.035667429204
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2032-10-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUINOR ASA
        OW6OFBNCKXC4US5C7523
        Equinor ASA
        000000000
        
          
        
        130000.00000000
        PA
        
        155137.22000000
        0.028680113625
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2032-05-22
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSSIA GOVT BOND - OFZ
        5493004EHVGF71PDBU58
        Russian Federal Bond - OFZ
        000000000
        
          
        
        96263000.00000000
        PA
        
        1558454.92000000
        0.288110513942
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2027-02-03
          Fixed
          8.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRG Energy Inc
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CH3
        
          
        
        17000.00000000
        PA
        USD
        17850.00000000
        0.003299917506
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE
        7D6DIU2QXTUJRFNNJA49
        Nissan Motor Acceptance Corp
        654740BJ7
        
          
        
        45000.00000000
        PA
        USD
        45108.10000000
        0.008339104139
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-09-21
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.160000 12-AUG-2021
        000000000
        
          
        
        17394000.00000000
        OU
        Notional Amount
        USD
        -502425.27000000
        -0.09288302208
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2021-08-12
            0.00000000
            USD
            -163.53000000
            USD
            17394000.00000000
            USD
            -502261.74000000
          
        
        
          N
          N
          N
        
      
      
        WYNN LAS VEGAS LLC/CORP
        N/A
        Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
        983130AX3
        
          
        
        21000.00000000
        PA
        USD
        18154.50000000
        0.003356210217
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAF GLOBAL SECURITIES
        54930037VUDNYTS17017
        MAF Global Securities Ltd
        000000000
        
          
        
        262000.00000000
        PA
        USD
        250210.00000000
        0.046256154585
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-09-07
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        California Pollution Control Financing Authority
        N/A
        CALIFORNIA ST POLL CONTROL FING AUTH WTR FURNISHING REVENUE
        13054WAC1
        
          
        
        180000.00000000
        PA
        USD
        184973.40000000
        0.034195908175
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2045-11-21
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
        
        8849000000.00000000
        PA
        
        608000.95000000
        0.112400727113
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2030-09-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED CZK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3116.36000000
        -0.00057611937
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            530000.00000000
            USD
            12493027.50000000
            CZK
            2020-09-16
            -3116.36000000
          
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 16-2 AA PTT
        N/A
        American Airlines 2016-2 Class AA Pass Through Trust
        023765AA8
        
          
        
        39936.00000000
        PA
        USD
        37613.75000000
        0.006953628690
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -1117.33000000
        -0.00020656004
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            586279820.00000000
            KRW
            487000.00000000
            USD
            2020-07-06
            -1117.33000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J8F24
        
          
        
        13408.94000000
        PA
        USD
        14846.52000000
        0.002744666177
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MONDELEZ INTERNATIONAL
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207AT2
        
          
        
        267000.00000000
        PA
        USD
        287408.87000000
        0.053133084688
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-13
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        111266.03000000
        0.020569676207
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-03
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        000000000
        
          
        
        100000.00000000
        PA
        
        109764.11000000
        0.020292017265
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2027-11-08
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E0RE1
        
          
        
        3732.61000000
        PA
        USD
        4210.67000000
        0.000778423733
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417DGW7
        
          
        
        13042.90000000
        PA
        USD
        14119.25000000
        0.002610216260
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.740000 16-NOV-2026
        000000000
        
          
        
        6380000.00000000
        OU
        Notional Amount
        USD
        -578063.23000000
        -0.10686616093
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2026-11-16
            0.00000000
            USD
            -15806.98000000
            USD
            6380000.00000000
            USD
            -562256.25000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WFHS8
        
          
        
        8170.22000000
        PA
        USD
        8841.21000000
        0.001634468552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HONEYWELL INTERNATIONAL
        ISRPG12PN4EIEOEMW547
        Honeywell International Inc
        000000000
        
          
        
        835000.00000000
        PA
        
        963442.05000000
        0.178110884451
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-22
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTEL CHILE SA
        N/A
        Empresa Nacional de Telecomunicaciones SA
        29245VAB1
        
          
        
        462000.00000000
        PA
        USD
        491019.38000000
        0.090774422867
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2026-08-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        6980.99000000
        0.001290570930
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            628000.00000000
            EUR
            713718.86000000
            USD
            2020-09-16
            6980.99000000
          
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NAS8
        
          
        
        100000.00000000
        PA
        USD
        111250.00000000
        0.020566712751
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-01-17
          Fixed
          7.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP TRANSMISSION CO LLC
        549300X123Z1I0LA3Y84
        AEP Transmission Co LLC
        00115AAK5
        
          
        
        55000.00000000
        PA
        USD
        64841.89000000
        0.011987276637
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-06-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENGIE SA
        LAXUQCHT4FH58LRZDY46
        Engie SA
        000000000
        
          
        
        900000.00000000
        PA
        
        986002.32000000
        0.182281586408
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-03-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VFS4
        
          
        
        147878.46000000
        PA
        USD
        158053.63000000
        0.029219268382
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FNRJ5
        
          
        
        15422.96000000
        PA
        USD
        17005.22000000
        0.003143743595
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        MORGAN STANLEY SEP20 50 CALL
        000000000
        
          
        
        -8.00000000
        NC
        USD
        -2380.00000000
        -0.00043998900
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Morgan Stanley
                Morgan Stanley
                
                  
                  
                
              
            
            100.00000000
            50.00000000
            USD
            2020-09-18
            XXXX
            -1803.93000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        BRW44HLC6 SWAPTION APR22 0.129 PUT
        000000000
        
          
        
        -7160000.00000000
        OU
        Notional Amount
        
        -65273.27000000
        -0.01206702556
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    IRS Swap
                    N/A
                    
                      
                    
                    7160000.00000000
                    OU
                    Notional Amount
                    N/A
                    -65273.27000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      EUR - 6M Euro Interbank Offer Rate (EURIBOR)
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7160000.00000000
                  EUR
                
              
            
            1.00000000
            -0.12900000
            EUR
            2022-04-19
            XXXX
            23260.24000000
          
        
        
          N
          N
          N
        
      
      
        McDonald's Corp
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFH2
        
          
        
        224000.00000000
        PA
        USD
        276743.82000000
        0.051161444060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.731580 26-MAY-2026
        000000000
        
          
        
        740000.00000000
        OU
        Notional Amount
        USD
        -59700.89000000
        -0.01103686342
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2026-05-26
            0.00000000
            USD
            -8.82000000
            USD
            740000.00000000
            USD
            -59692.07000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        FSWP: IFS 3.447500 15-DEC-2024
        000000000
        
          
        
        545000.00000000
        OU
        Notional Amount
        
        -20944.01000000
        -0.00387190505
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
              
                
              
            
            
            2024-12-16
            0.00000000
            GBP
            -19.66000000
            GBP
            545000.00000000
            GBP
            -20918.16000000
          
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        6360000.00000000
        PA
        
        912142.09000000
        0.168627095314
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2029-09-20
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        FSWP: CHF -0.597500 15-JAN-2022
        000000000
        
          
        
        1666000.00000000
        OU
        Notional Amount
        
        856.41000000
        0.000158323941
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CHF - 6M Swiss Franc LIBOR Rate BBA (SF0006M)
                SF0006M Index
              
            
            Y
            
            
              
                
              
            
            2022-01-17
            28.74000000
            CHF
            0.00000000
            CHF
            1666000.00000000
            CHF
            826.87000000
          
        
        
          N
          N
          N
        
      
      
        LINDE FINANCE BV
        5H8RMHHYTWIP1RKLCE38
        Linde Finance BV
        000000000
        
          
        
        300000.00000000
        PA
        
        338453.79000000
        0.062569724751
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2032-05-19
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFS3
        
          
        
        10000.00000000
        PA
        USD
        11322.32000000
        0.002093149690
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-01
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starbucks Corp
        OQSJ1DU9TAOC51A47K68
        Starbucks Corp
        855244AN9
        
          
        
        159000.00000000
        PA
        USD
        169220.83000000
        0.031283741143
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-01
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSSIA GOVT BOND - OFZ
        5493004EHVGF71PDBU58
        Russian Federal Bond - OFZ
        000000000
        
          
        
        54270000.00000000
        PA
        
        784651.13000000
        0.145057927200
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2027-10-06
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC SERVICES INC
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759AU4
        
          
        
        280000.00000000
        PA
        USD
        297839.51000000
        0.055061390096
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CCL6
        
          
        
        4758.37000000
        PA
        USD
        4947.21000000
        0.000914587388
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FED REPUBLIC OF BRAZIL
        254900ZFY40OYEADAP90
        Brazilian Government International Bond
        105756CD0
        
          
        
        1822000.00000000
        PA
        USD
        1796492.00000000
        0.332116268986
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2025-06-06
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J8FC2
        
          
        
        13666.06000000
        PA
        USD
        15436.12000000
        0.002853665132
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -1094.42000000
        -0.00020232469
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            133276000.00000000
            KRW
            110000.00000000
            USD
            2020-07-15
            -1094.42000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED JPY / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -26301.41000000
        -0.00486232399
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            4000000.00000000
            AUD
            294994000.00000000
            JPY
            2020-09-16
            -26301.41000000
          
        
        
          N
          N
          N
        
      
      
        ServiceNow Inc
        549300HJTQM36M0E1G39
        ServiceNow Inc
        81762P102
        
          
        
        100.00000000
        NS
        USD
        40506.00000000
        0.007488317004
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        DIGITAL DUTCH FINCO BV
        549300ONZ5IS6B6IMJ70
        Digital Dutch Finco BV
        000000000
        
          
        
        100000.00000000
        PA
        
        110857.28000000
        0.020494110869
        Long
        DBT
        
        NL
        
        N
        
        2
        
          2025-07-15
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5L5QQ4 USD PUT BRL CALL JUL20 5 PUT
        000000000
        
          
        
        1822000.00000000
        OU
        Notional Amount
        USD
        16.40000000
        0.000003031856
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    16.40000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1822000.00000000
                  USD
                  9110000.00000000
                  BRL
                  2020-07-02
                
              
            
            1.00000000
            5.00000000
            USD
            2020-07-02
            XXXX
            -32090.88000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BANK
        RILFO74KP1CM8P6PCT96
        BRW68HNW1 USD PUT JPY CALL JUL20 106 PUT
        000000000
        
          
        
        3226000.00000000
        OU
        Notional Amount
        USD
        3787.32000000
        0.000700159303
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            Put
            Purchased
            
              
                
                  
                    STANDARD CHARTERED BANK
                    RILFO74KP1CM8P6PCT96
                  
                  
                    STANDARD CHARTERED BANK
                    RILFO74KP1CM8P6PCT96
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    3787.32000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  3226000.00000000
                  USD
                  341956000.00000000
                  JPY
                  2020-07-21
                
              
            
            1.00000000
            106.00000000
            USD
            2020-07-21
            XXXX
            -8536.00000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERHD5
        
          
        
        1659.65000000
        PA
        USD
        1763.70000000
        0.000326054033
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/SWP: IFS 3.410000 15-FEB-2030
        000000000
        
          
        
        620000.00000000
        OU
        Notional Amount
        
        11509.68000000
        0.002127786808
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
            
              
                
              
            
            2030-02-15
            25.30000000
            GBP
            0.00000000
            GBP
            620000.00000000
            GBP
            11477.03000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWAP/CDSWAP/SCDS: (SOAF)
        000000000
        
          
        
        1048990.00000000
        OU
        Notional Amount
        USD
        98139.80000000
        0.018143038886
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                Republic of South Africa Government International Bond
                Republic of South Africa Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            92226.89000000
            USD
            0.00000000
            USD
            1048990.00000000
            USD
            5912.91000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        313586752
        
          
        
        1900.00000000
        NS
        USD
        15105.00000000
        0.002792451201
        Long
        EP
        USGSE
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J5JU4
        
          
        
        24854.66000000
        PA
        USD
        27156.26000000
        0.005020359540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CRED SUIS GP FUN LTD
        549300PXR5FKNXF0OH19
        Credit Suisse Group Funding Guernsey Ltd
        000000000
        
          
        
        195000.00000000
        PA
        
        222715.68000000
        0.041173298120
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2022-04-14
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L75W5
        
          
        
        4342.61000000
        PA
        USD
        4745.44000000
        0.000877286304
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AH4
        
          
        
        52000.00000000
        PA
        USD
        51090.00000000
        0.009444973972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        BRW5N4EP0 SWAPTION JUN21 0.5 CALL
        000000000
        
          
        
        -2042597.00000000
        OU
        Notional Amount
        USD
        -72926.47000000
        -0.01348186750
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            Call
            Written
            
              
                
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                    IRS Swap
                    N/A
                    
                      
                    
                    2042597.00000000
                    OU
                    Notional Amount
                    N/A
                    -72926.47000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2051-06-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2042597.00000000
                  USD
                
              
            
            1.00000000
            0.50000000
            USD
            2021-06-11
            XXXX
            -23904.14000000
          
        
        
          N
          N
          N
        
      
      
        KLA Corp
        549300H0BF5JCG96TJ81
        KLA Corp
        482480AE0
        
          
        
        53000.00000000
        PA
        USD
        60748.94000000
        0.011230615720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        ESTX BANKS (EUR) PR SEP20 70 CALL
        000000000
        
          
        
        172.00000000
        NC
        
        25121.45000000
        0.004644185582
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Call
            Purchased
            
              
                DJ Euro STOXX Banks Index
                SX7E Index
              
            
            50.00000000
            70.00000000
            EUR
            2020-09-18
            XXXX
            -370.11000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        1558.56000000
        0.000288129940
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            2638785.60000000
            BRL
            486000.00000000
            USD
            2020-08-04
            1558.56000000
          
        
        
          N
          N
          N
        
      
      
        NVIDIA CORP
        549300S4KLFTLO7GSQ80
        NVIDIA Corp
        67066GAF1
        
          
        
        666000.00000000
        PA
        USD
        740917.42000000
        0.136972905616
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RD71
        
          
        
        33300.35000000
        PA
        USD
        35655.41000000
        0.006591591690
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417ETV3
        
          
        
        8686.95000000
        PA
        USD
        9447.92000000
        0.001746630622
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        HOME DEPOT INC/THE AUG20 220 CALL
        000000000
        
          
        
        -6.00000000
        NC
        USD
        -20415.00000000
        -0.00377410733
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Home Depot Inc/The
                Home Depot Inc/The
                
                  
                  
                
              
            
            100.00000000
            220.00000000
            USD
            2020-08-21
            XXXX
            -13787.62000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        BRW5KTYK7 EUR CALL USD PUT SEP20 1.125 CALL
        000000000
        
          
        
        880000.00000000
        OU
        Notional Amount
        
        12023.33000000
        0.002222744938
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            Call
            Purchased
            
              
                
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    12023.33000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  990000.00000000
                  USD
                  880000.00000000
                  EUR
                  2020-09-04
                
              
            
            1.00000000
            1.12500000
            EUR
            2020-09-04
            XXXX
            -188.99000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417AQG7
        
          
        
        11536.93000000
        PA
        USD
        13028.39000000
        0.002408549705
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VKN9
        
          
        
        517827.68000000
        PA
        USD
        551833.91000000
        0.102017164167
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIEMENS FINANCIERINGSMAT
        TAFO772JB70PDRN5VS48
        Siemens Financieringsmaatschappij NV
        000000000
        
          
        
        200000.00000000
        PA
        
        252082.62000000
        0.046602344586
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-02-20
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BK SCOTLND GRP PLC
        2138005O9XJIJN4JPN90
        Royal Bank of Scotland Group PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        116859.91000000
        0.021603813044
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-03-22
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Park Avenue Institutional Advisers CLO
        549300ZWX1MRCB6KO574
        Park Avenue Institutional Advisers CLO Ltd 2017-1
        70018FAA7
        
          
        
        600000.00000000
        PA
        USD
        517962.66000000
        0.095755408937
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-11-14
          Floating
          6.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Realty Income Corp
        549300CUWDAUZSH43859
        Realty Income Corp
        756109AS3
        
          
        
        95000.00000000
        PA
        USD
        100563.25000000
        0.018591060459
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911365BF0
        
          
        
        24000.00000000
        PA
        USD
        24720.00000000
        0.004569969790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN AMER/CAP CORP VI
        N/A
        Crown Americas LLC / Crown Americas Capital Corp VI
        228187AB6
        
          
        
        20000.00000000
        PA
        USD
        20380.60000000
        0.003767747828
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        453.03000000
        0.000083751351
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            70000.00000000
            EUR
            79229.54000000
            USD
            2020-09-16
            453.03000000
          
        
        
          N
          N
          N
        
      
      
        SERVICE PROPERTIES TRUST
        529900IS770AG1K9QG27
        Service Properties Trust
        81761LAA0
        
          
        
        55000.00000000
        PA
        USD
        57944.38000000
        0.010712138598
        Long
        DBT
        
        US
        N
        
        2
        
          2025-09-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FMG RESOURCES AUG 2006
        549300EFD6S2NFE9D745
        FMG Resources August 2006 Pty Ltd
        30251GAU1
        
          
        
        17000.00000000
        PA
        USD
        17327.59000000
        0.003203339920
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2022-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513EAD3
        
          
        
        858000.00000000
        PA
        USD
        893607.73000000
        0.165200660634
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.164000 03-OCT-2021
        000000000
        
          
        
        500000.00000000
        OU
        Notional Amount
        USD
        -5355.44000000
        -0.00099005659
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2021-10-04
            0.00000000
            USD
            -2.27000000
            USD
            500000.00000000
            USD
            -5353.17000000
          
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW3858M3 SWAPTION SEP20 0.66 PUT
        000000000
        
          
        
        -1243000.00000000
        OU
        Notional Amount
        USD
        -15407.51000000
        -0.00284837602
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    1243000.00000000
                    OU
                    Notional Amount
                    N/A
                    -15407.51000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-09-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1243000.00000000
                  USD
                
              
            
            1.00000000
            0.66000000
            USD
            2020-09-23
            XXXX
            23187.64000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FMEE2
        
          
        
        1318.70000000
        PA
        USD
        1433.58000000
        0.000265024971
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT INTL FINANCE PLC
        21380041YBGOQDFAC823
        BAT International Finance PLC
        000000000
        
          
        
        90000.00000000
        PA
        
        135017.45000000
        0.024960585263
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-12
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUST F/1401
        N/A
        Trust Fibra Uno
        898324AB4
        
          
        
        499000.00000000
        PA
        USD
        539231.88000000
        0.099687435348
        Long
        DBT
        
        MX
        N
        
        2
        
          2044-01-30
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DR3
        
          
        
        200000.00000000
        PA
        USD
        197625.00000000
        0.036534800966
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2030-01-30
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED PLN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10794.66000000
        -0.00199560154
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            970000.00000000
            USD
            3794007.56000000
            PLN
            2020-09-16
            -10794.66000000
          
        
        
          N
          N
          N
        
      
      
        NEW ZEALAND GOVERNMENT
        549300237GPHG2AI7C34
        New Zealand Government Bond
        000000000
        
          
        
        140000.00000000
        PA
        
        94857.28000000
        0.017536201619
        Long
        DBT
        NUSS
        NZ
        N
        
        2
        
          2021-05-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBH8
        
          
        
        1514000.00000000
        PA
        USD
        1566907.94000000
        0.289673218070
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-13
          Fixed
          2.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Telefonica Emisiones SAU
        549300Y5MFC4SW5Z3K71
        Telefonica Emisiones SA
        000000000
        
          
        
        100000.00000000
        PA
        
        117922.74000000
        0.021800297712
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-01-22
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGINIA ELEC & POWER CO
        CQKUMNNZVDJLRYV2PT43
        Virginia Electric and Power Co
        927804FG4
        
          
        
        10000.00000000
        PA
        USD
        17972.21000000
        0.003322510387
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-11-15
          Fixed
          8.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -22804.76000000
        -0.00421590065
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            2600000.00000000
            USD
            277992000.00000000
            JPY
            2020-09-16
            -22804.76000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        BRW5D19V0 EUR CALL USD PUT AUG20 1.1125 CALL
        000000000
        
          
        
        880000.00000000
        OU
        Notional Amount
        
        17860.50000000
        0.003301858634
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    17860.50000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  979000.00000000
                  USD
                  880000.00000000
                  EUR
                  2020-08-31
                
              
            
            1.00000000
            1.11250000
            EUR
            2020-08-31
            XXXX
            5159.63000000
          
        
        
          N
          N
          N
        
      
      
        TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        000000000
        
          
        
        670000.00000000
        PA
        
        754293.86000000
        0.139445799092
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-04-25
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        80000.00000000
        PA
        
        74905.60000000
        0.013847747943
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2037-04-21
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.780000 02-OCT-2029
        000000000
        
          
        
        3104000.00000000
        OU
        Notional Amount
        USD
        -338301.33000000
        -0.06254153957
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2029-10-02
            0.00000000
            USD
            -59.33000000
            USD
            3104000.00000000
            USD
            -338242.00000000
          
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        000000000
        
          
        
        435000.00000000
        PA
        
        564204.89000000
        0.104304178927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.610000 10-APR-2029
        000000000
        
          
        
        3842500.00000000
        OU
        Notional Amount
        USD
        691355.68000000
        0.127810460043
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2029-04-10
            70.14000000
            USD
            0.00000000
            USD
            3842500.00000000
            USD
            691285.54000000
          
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBA5
        
          
        
        70000.00000000
        PA
        USD
        69994.43000000
        0.012939823245
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-11-15
          Floating
          1.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Johnson & Johnson
        549300G0CFPGEF6X2043
        Johnson & Johnson
        478160104
        
          
        
        426.00000000
        NS
        USD
        59908.38000000
        0.011075221958
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Volkswagen Leasing GmbH
        5299004GLEUX88BSNB74
        Volkswagen Leasing GmbH
        000000000
        
          
        
        100000.00000000
        PA
        
        112057.17000000
        0.020715933727
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2023-02-16
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BALTIMORE GAS & ELECTRIC
        88V8C2WYSOD1SPSSLH72
        Baltimore Gas and Electric Co
        059165EH9
        
          
        
        111000.00000000
        PA
        USD
        124053.49000000
        0.022933685345
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-08-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCONT GAS PIPE LINE
        D71FAKCBLFS2O0RBPG08
        Transcontinental Gas Pipe Line Co LLC
        893574AH6
        
          
        
        267000.00000000
        PA
        USD
        347541.82000000
        0.064249822751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          7.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAP1
        
          
        
        35000.00000000
        PA
        USD
        37467.90000000
        0.006926665498
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-23
          Fixed
          3.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vonovia Finance BV
        5299009XLZLD9TALOZ03
        Vonovia Finance BV
        000000000
        
          
        
        100000.00000000
        PA
        
        119064.21000000
        0.022011320504
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-06-29
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        000000000
        
          
        
        150000.00000000
        PA
        
        166493.06000000
        0.030779460136
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-06-26
          Fixed
          1.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        BRW5N4EQ8 SWAPTION JUN21 1 CALL
        000000000
        
          
        
        2042597.00000000
        OU
        Notional Amount
        USD
        184407.66000000
        0.034091320201
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            Call
            Purchased
            
              
                
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                    IRS Swap
                    N/A
                    
                      
                    
                    2042597.00000000
                    OU
                    Notional Amount
                    N/A
                    184407.66000000
                    0.03000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2051-06-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2042597.00000000
                  USD
                
              
            
            1.00000000
            1.00000000
            USD
            2021-06-11
            XXXX
            61034.80000000
          
        
        
          N
          N
          N
        
      
      
        Tampa Electric Co
        WS423EPRKJIIJUITXD73
        Tampa Electric Co
        875127BF8
        
          
        
        57000.00000000
        PA
        USD
        72792.96000000
        0.013457185605
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-06-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q7XT9
        
          
        
        46182.90000000
        PA
        USD
        51242.84000000
        0.009473229400
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alabama Power Co
        0RL818ELFOHP5JHOFU19
        Alabama Power Co
        010392FM5
        
          
        
        52000.00000000
        PA
        USD
        58989.55000000
        0.010905358473
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAC4
        
          
        
        200000.00000000
        PA
        USD
        262187.50000000
        0.048470426962
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2044-01-22
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GEORGIA-PACIFIC LLC
        L2EVHWFHVAQK72TMH265
        Georgia-Pacific LLC
        37331NAL5
        
          
        
        11000.00000000
        PA
        USD
        11423.34000000
        0.002111825190
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-30
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHPB2
        
          
        
        17581.62000000
        PA
        USD
        18693.25000000
        0.003455808567
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132XWBS9
        
          
        
        8270.90000000
        PA
        USD
        9072.47000000
        0.001677221433
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RAE2
        
          
        
        1000000.00000000
        PA
        USD
        978546.20000000
        0.180903178513
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Florida Power & Light Co
        A89MY1K3YLIGJMYWVX50
        Florida Power & Light Co
        341081FP7
        
          
        
        29000.00000000
        PA
        USD
        34817.20000000
        0.006436632370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Colombia
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DP7
        
          
        
        500000.00000000
        PA
        USD
        547187.50000000
        0.101158185472
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2029-03-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMPRESA NACIONAL DEL PET
        549300YP3P0JZBLIV197
        Empresa Nacional del Petroleo
        000000000
        
          
        
        250000.00000000
        PA
        USD
        260078.13000000
        0.048080469147
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2047-09-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAR5
        
          
        
        58000.00000000
        PA
        USD
        69167.67000000
        0.012786980679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-03-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAC2
        
          
        
        77000.00000000
        PA
        USD
        81626.28000000
        0.015090195539
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2027-05-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WFAF3
        
          
        
        1755.65000000
        PA
        USD
        1860.79000000
        0.000344002997
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9809.56000000
        -0.00181348676
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            1000142.88000000
            USD
            880000.00000000
            EUR
            2020-09-16
            -9809.56000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        USD/MXN Down-and-out barrier option; Barrier price USD 21.30000
        000000000
        
          
        
        1597000.00000000
        OU
        Notional Amount
        USD
        2705.32000000
        0.000500130690
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Purchased
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    USD/MXN Down-and-out barrier option; Barrier price USD 21.30000
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    2705.32000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1597000.00000000
                  USD
                  35533250.00000000
                  MXN
                  2020-07-15
                
              
            
            1.00000000
            22.25000000
            USD
            2020-07-15
            XXXX
            -3321.28000000
          
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        3310000.00000000
        PA
        
        474715.46000000
        0.087760328131
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2029-09-20
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAS4
        
          
        
        409000.00000000
        PA
        USD
        435696.73000000
        0.080546961732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMGEN INC
        62QBXGPJ34PQ72Z12S66
        Amgen Inc
        031162CW8
        
          
        
        59000.00000000
        PA
        USD
        61743.53000000
        0.011414484905
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-25
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DBUBS Mortgage Trust
        N/A
        DBUBS 2017-BRBK Mortgage Trust
        23305JAN2
        
          
        
        240000.00000000
        PA
        USD
        231317.88000000
        0.042763581054
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-10
          Variable
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHNX6
        
          
        
        19275.20000000
        PA
        USD
        20493.75000000
        0.003788665792
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        789000.00000000
        PA
        
        1197498.67000000
        0.221380774529
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2049-09-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TELENOR ASA
        549300IM1QSBY4SLPM26
        Telenor ASA
        000000000
        
          
        
        160000.00000000
        PA
        
        179356.19000000
        0.033157458336
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2023-09-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAJ3
        
          
        
        5000.00000000
        PA
        USD
        5841.67000000
        0.001079945607
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATL GRID ELECT TRANS
        5XJXCCYG4SDKFJ5WLB02
        National Grid Electricity Transmission PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        112528.18000000
        0.020803009029
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-01-20
          Fixed
          0.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MFCX4
        
          
        
        38534.41000000
        PA
        USD
        40902.19000000
        0.007561560383
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-04-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Progress LLC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        26442UAB0
        
          
        
        12000.00000000
        PA
        USD
        14834.86000000
        0.002742510600
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-08-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAYTON POWER & LIGHT CO/
        1ELKY8G44MKGCQWG6864
        Dayton Power & Light Co/The
        240019BV0
        
          
        
        51000.00000000
        PA
        USD
        54787.16000000
        0.010128465457
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-06-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        E-MINI RUSS 2000  SEP20 XCME 20200918
        000000000
        
          
        
        -5.00000000
        NC
        USD
        -12405.47000000
        -0.00229339090
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                Russell 2000 Index
                RTYU0 Index
              
            
            2020-09-18
            -346994.53000000
            USD
            -12405.47000000
          
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAD9
        
          
        
        5000.00000000
        PA
        USD
        5245.45000000
        0.000969722817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-05
          Fixed
          2.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KXB5
        
          
        
        2869.90000000
        PA
        USD
        3291.70000000
        0.000608534367
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Healthcare Inc
        N/A
        HCA Healthcare Inc
        40412C101
        
          
        
        303.00000000
        NS
        USD
        29409.18000000
        0.005436855346
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        COMISION FEDERAL DE ELEC
        4469000001BFPONMPF32
        Comision Federal de Electricidad
        000000000
        
          
        
        500000.00000000
        PA
        USD
        524843.75000000
        0.097027511422
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2027-02-23
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1884.29000000
        -0.00034834742
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            319500.00000000
            USD
            1194930000.00000000
            COP
            2020-07-15
            -1884.29000000
          
        
        
          N
          N
          N
        
      
      
        DIGICEL GROUP 0.5 LTD
        N/A
        Digicel Group 0.5 Ltd
        25381YAC5
        
          
        
        21443.00000000
        PA
        USD
        1501.01000000
        0.000277490710
        Long
        DBT
        CORP
        BM
        
        N
        
        3
        
          2020-07-16
          Fixed
          7.00000000
          N
          N
          Y
          N
          N
          
            
              Digicel Group 0.5 Ltd
              Digicel Group 0.5 Ltd
              USD
              
                
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BQ1
        
          
        
        65000.00000000
        PA
        USD
        74546.06000000
        0.013781280025
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMPHENOL TECH HLDS GMBH
        N/A
        Amphenol Technologies Holding GmbH
        000000000
        
          
        
        150000.00000000
        PA
        
        168187.89000000
        0.031092782219
        Long
        DBT
        CORP
        DE
        
        N
        
        2
        
          2026-05-04
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/SWP: USD 0.690000 23-JUN-2030
        000000000
        
          
        
        3151000.00000000
        OU
        Notional Amount
        USD
        -16674.68000000
        -0.00308263688
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2030-06-24
            0.00000000
            USD
            -65.28000000
            USD
            3151000.00000000
            USD
            -16609.40000000
          
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        000000000
        
          
        
        100000.00000000
        PA
        
        111781.47000000
        0.020664965253
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2040-07-09
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP Texas Inc
        1B4S6S7G0TW5EE83BO58
        AEP Texas Inc
        00108WAD2
        
          
        
        288000.00000000
        PA
        USD
        299009.64000000
        0.055277711243
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-01
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUINIX INC
        549300EVUN2BTLJ3GT74
        Equinix Inc
        29444UBC9
        
          
        
        167000.00000000
        PA
        USD
        177791.54000000
        0.032868202542
        Long
        DBT
        
        US
        N
        
        2
        
          2024-11-18
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -900.22000000
        -0.00016642306
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            518839750.00000000
            CLP
            631000.00000000
            USD
            2020-07-20
            -900.22000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBM7
        
          
        
        180000.00000000
        PA
        USD
        194416.04000000
        0.035941562687
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-04-22
          Fixed
          3.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAF GLOBAL SECURITIES
        54930037VUDNYTS17017
        MAF Global Securities Ltd
        000000000
        
          
        
        202000.00000000
        PA
        USD
        212352.50000000
        0.039257463996
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-05-07
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LTFX1
        
          
        
        655.49000000
        PA
        USD
        712.79000000
        0.000131773008
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WH3T7
        
          
        
        23823.44000000
        PA
        USD
        25301.70000000
        0.004677508278
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XAU9
        
          
        
        105000.00000000
        PA
        USD
        114952.02000000
        0.021251102701
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-08
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST JUL20 295 PUT
        000000000
        
          
        
        26.00000000
        NC
        USD
        169.00000000
        0.000031242916
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            295.00000000
            USD
            2020-07-01
            XXXX
            -5999.07000000
          
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        03523TBF4
        
          
        
        18000.00000000
        PA
        USD
        28385.24000000
        0.005247560246
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2039-01-15
          Fixed
          8.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Applied Materials Inc
        41BNNE1AFPNAZELZ6K07
        Applied Materials Inc
        038222105
        
          
        
        1149.00000000
        NS
        USD
        69457.05000000
        0.012840478165
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: IFS 3.165000 15-APR-2025
        000000000
        
          
        
        1710000.00000000
        OU
        Notional Amount
        
        -20350.07000000
        -0.00376210376
        N/A
        DO
        
        GB
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
              
                
              
            
            
            2025-04-15
            0.00000000
            GBP
            -65.15000000
            GBP
            1710000.00000000
            GBP
            -20269.31000000
          
        
        
          N
          N
          N
        
      
      
        ALLIANZ SE
        529900K9B0N5BT694847
        Allianz SE
        000000000
        
          
        
        300000.00000000
        PA
        
        341452.42000000
        0.063124079465
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2050-07-08
          Fixed
          2.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        8500000.00000000
        PA
        
        1217353.78000000
        0.225051375374
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2024-10-17
          Fixed
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CNTL AMR BOTTLING CORP
        549300DT8SH0CF6BTT37
        Central American Bottling Corp
        15238XAB5
        
          
        
        400000.00000000
        PA
        USD
        401375.00000000
        0.074201926568
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2027-01-31
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        FACEBOOK INC SEP20 275 CALL
        000000000
        
          
        
        -1.00000000
        NC
        USD
        -258.00000000
        -0.00004769628
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Facebook Inc
                Facebook Inc
                
                  
                  
                
              
            
            100.00000000
            275.00000000
            USD
            2020-09-18
            XXXX
            276.44000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        4085.50000000
        0.000755283639
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            29946000.00000000
            RUB
            421332.96000000
            USD
            2020-09-16
            4085.50000000
          
        
        
          N
          N
          N
        
      
      
        INTERCORP PERU LTD
        549300L0OFVSOE4NSY75
        Intercorp Peru Ltd
        458652AB0
        
          
        
        200000.00000000
        PA
        USD
        194750.00000000
        0.036003301648
        Long
        DBT
        CORP
        BS
        
        N
        
        2
        
          2029-08-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KFC HLD/PIZZA HUT/TACO
        549300JE8XHZZ7OHN517
        KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC
        48250NAB1
        
          
        
        24000.00000000
        PA
        USD
        24600.00000000
        0.004547785471
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUXL 30Y BND SEP20 XEUR 20200908
        000000000
        
          
        
        -3.00000000
        NC
        
        -6608.59000000
        -0.00122172559
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                Euro-Buxl (FGBX)
                UBU0 Comdty
              
            
            2020-09-08
            -653997.85000000
            EUR
            -6608.59000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -1965.96000000
        -0.00036344570
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            18430000.00000000
            INR
            240067.73000000
            USD
            2020-09-16
            -1965.96000000
          
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD CNY
        000000000
        
          
        
        1.00000000
        NC
        
        -12899.89000000
        -0.00238479399
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            61750000.00000000
            CNY
            8688277.74000000
            USD
            2020-09-16
            -12899.89000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2019-PRM
        29429JAG5
        
          
        
        1000000.00000000
        PA
        USD
        1024949.70000000
        0.189481762380
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-10
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        8701.93000000
        0.001608719952
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            3220976.14000000
            BRL
            601000.00000000
            USD
            2020-07-02
            8701.93000000
          
        
        
          N
          N
          N
        
      
      
        L3HARRIS TECH INC
        549300UTE50ZMDBG8A20
        L3Harris Technologies Inc
        502431AL3
        
          
        
        391000.00000000
        PA
        USD
        447535.55000000
        0.082735596431
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        HUMANA INC AUG20 465 CALL
        000000000
        
          
        
        -1.00000000
        NC
        USD
        -125.00000000
        -0.00002310866
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Humana Inc
                Humana Inc
                
                  
                  
                
              
            
            100.00000000
            465.00000000
            USD
            2020-08-21
            XXXX
            493.99000000
          
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AU2
        
          
        
        89000.00000000
        PA
        USD
        100046.76000000
        0.018495577300
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        BRW61WPU7 EUR CALL USD PUT JUL20 1.155 CALL
        000000000
        
          
        
        -9544329.00000000
        OU
        Notional Amount
        
        -4257.05000000
        -0.00078699797
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            Call
            Written
            
              
                
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    -4257.05000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  9544329.00000000
                  EUR
                  11023700.00000000
                  USD
                  2020-07-16
                
              
            
            1.00000000
            1.15500000
            EUR
            2020-07-16
            XXXX
            10378.98000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        WAYFAIR INC AUG20 120 PUT
        000000000
        
          
        
        -4.00000000
        NC
        USD
        -920.00000000
        -0.00017007978
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                Wayfair Inc
                Wayfair Inc
                
                  
                  
                
              
            
            100.00000000
            120.00000000
            USD
            2020-08-21
            XXXX
            1176.94000000
          
        
        
          N
          N
          N
        
      
      
        Chenango Park CLO, Ltd.
        N/A
        Chenango Park CLO Ltd
        16409TAE9
        
          
        
        1018000.00000000
        PA
        USD
        977459.88000000
        0.180702351265
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-15
          Floating
          2.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833DK3
        
          
        
        99000.00000000
        PA
        USD
        111262.00000000
        0.020568931183
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-13
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gilead Sciences Inc
        549300WTZWR07K8MNV44
        Gilead Sciences Inc
        375558AX1
        
          
        
        129000.00000000
        PA
        USD
        174453.36000000
        0.032251075448
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-04-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCB7
        
          
        
        35000.00000000
        PA
        USD
        36925.00000000
        0.006826299940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QBW1
        
          
        
        1192000.00000000
        PA
        USD
        1040020.00000000
        0.192267798615
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-01-23
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LTL63
        
          
        
        707.41000000
        PA
        USD
        769.24000000
        0.000142208881
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        181000000.00000000
        PA
        
        1591945.08000000
        0.294301817319
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2049-12-20
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513EAW1
        
          
        
        93000.00000000
        PA
        USD
        127926.78000000
        0.023649737865
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLP CAPITAL LP / FIN II
        N/A
        GLP Capital LP / GLP Financing II Inc
        361841AQ2
        
          
        
        188000.00000000
        PA
        USD
        186637.00000000
        0.034503456789
        Long
        DBT
        
        US
        N
        
        2
        
          2031-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KAR Auction Services Inc
        5493004HKD20LBSG7D03
        KAR Auction Services Inc
        48238TAA7
        
          
        
        12000.00000000
        PA
        USD
        11820.00000000
        0.002185155458
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Panama
        549300SHS4T08CL0LP14
        Panama Government International Bond
        698299AW4
        
          
        
        400000.00000000
        PA
        USD
        575625.00000000
        0.106415406990
        Long
        DBT
        NUSS
        PA
        N
        
        2
        
          2036-01-26
          Fixed
          6.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRUPO ENERGIA BOGOTA
        529900LG618OWYVHI655
        Grupo Energia Bogota SA ESP
        40053XAA7
        
          
        
        265000.00000000
        PA
        USD
        279575.00000000
        0.051684842404
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2030-05-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1767.01000000
        -0.00032666595
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            811000.00000000
            USD
            18631508.50000000
            MXN
            2020-07-15
            -1767.01000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        2005.50000000
        0.000370755437
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            11989934.00000000
            RUB
            169065.19000000
            USD
            2020-09-16
            2005.50000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MR9
        
          
        
        457000.00000000
        PA
        USD
        466104.44000000
        0.086168414649
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          1.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRBUS SE
        MINO79WLOO247M1IL051
        Airbus SE
        000000000
        
          
        
        100000.00000000
        PA
        
        123126.56000000
        0.022762324419
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2032-04-07
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HH6H3
        
          
        
        6662.72000000
        PA
        USD
        7444.30000000
        0.001376222739
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SVENSKA HANDELSBANKEN AB
        NHBDILHZTYCNBV5UYZ31
        Svenska Handelsbanken AB
        000000000
        
          
        
        100000.00000000
        PA
        
        109911.06000000
        0.020319183813
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2030-02-18
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mortgage Sec Trust
        N/A
        JP Morgan Chase Commercial Mortgage Securities Corp
        46649XAA5
        
          
        
        1200000.00000000
        PA
        USD
        1271358.48000000
        0.235035187978
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-07-05
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        1576.97000000
        0.000291533384
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            2352388798.00000000
            IDR
            161205.33000000
            USD
            2020-09-16
            1576.97000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST NOV20 220 PUT
        000000000
        
          
        
        -60.00000000
        NC
        USD
        -19380.00000000
        -0.00358276757
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            220.00000000
            USD
            2020-11-20
            XXXX
            9046.18000000
          
        
        
          N
          N
          N
        
      
      
        ENTERGY CORP
        4XM3TW50JULSLG8BNC79
        Entergy Corp
        29364GAK9
        
          
        
        41000.00000000
        PA
        USD
        45499.76000000
        0.008411510060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.020000 30-OCT-2022
        000000000
        
          
        
        2000000.00000000
        OU
        Notional Amount
        USD
        -94533.71000000
        -0.01747638345
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2022-10-31
            0.00000000
            USD
            -3425.59000000
            USD
            2000000.00000000
            USD
            -91108.12000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ETZX7
        
          
        
        113580.73000000
        PA
        USD
        127085.95000000
        0.023494294188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGINIA ELEC & POWER CO
        CQKUMNNZVDJLRYV2PT43
        Virginia Electric and Power Co
        927804FY5
        
          
        
        30000.00000000
        PA
        USD
        35072.09000000
        0.006483753713
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-09-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHERN STATES PWR-MINN
        3S1GHB0TEH85KX44SB51
        Northern States Power Co/MN
        665772CQ0
        
          
        
        20000.00000000
        PA
        USD
        23416.38000000
        0.004328970437
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-09-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Corp
        54930067J0ZNOEBRW338
        Navient Corp
        63938CAJ7
        
          
        
        11000.00000000
        PA
        USD
        10175.00000000
        0.001881045413
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAX2
        
          
        
        6000.00000000
        PA
        USD
        7134.03000000
        0.001318863332
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4460.53000000
        -0.00082461518
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            676000.00000000
            USD
            72498579.00000000
            JPY
            2020-07-15
            -4460.53000000
          
        
        
          N
          N
          N
        
      
      
        Reynolds American Inc
        02S2RPPVO9RP4NEU2740
        Reynolds American Inc
        761713BG0
        
          
        
        44000.00000000
        PA
        USD
        49576.66000000
        0.009165203823
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-06-12
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BU7
        
          
        
        234000.00000000
        PA
        USD
        237047.04000000
        0.043822727014
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO INTERNAC DEL PERU
        5493001TRCGXJLRLHN14
        Banco Internacional del Peru SAA Interbank
        05968DAC4
        
          
        
        181000.00000000
        PA
        USD
        182753.44000000
        0.033785505661
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2026-10-04
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Progress LLC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        144141DA3
        
          
        
        25000.00000000
        PA
        USD
        25542.06000000
        0.004721943470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-09-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687FL5
        
          
        
        306000.00000000
        PA
        USD
        311818.90000000
        0.057645750533
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        000000000
        
          
        
        450000.00000000
        PA
        
        594324.05000000
        0.109872287800
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-21
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJTK4
        
          
        
        25197.24000000
        PA
        USD
        27975.89000000
        0.005171883987
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMADEUS IT GROUP SA
        9598004A3FTY3TEHHN09
        Amadeus IT Group SA
        000000000
        
          
        
        300000.00000000
        PA
        
        355768.95000000
        0.065770766747
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-05-20
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Broadcom Inc
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAE1
        
          
        
        297000.00000000
        PA
        USD
        330532.82000000
        0.061105380350
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J8HY2
        
          
        
        35931.14000000
        PA
        USD
        41270.48000000
        0.007629645908
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPORT-IMPORT BK INDIA
        335800OFZ8YEIVN1QI11
        Export-Import Bank of India
        30216KAC6
        
          
        
        250000.00000000
        PA
        USD
        260355.00000000
        0.048131653918
        Long
        DBT
        NUSS
        IN
        N
        
        2
        
          2028-02-01
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJJR0
        
          
        
        23193.50000000
        PA
        USD
        25750.97000000
        0.004760564521
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCF7
        
          
        
        390000.00000000
        PA
        USD
        375960.00000000
        0.069503472594
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2022-03-11
          Floating
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Florida Power & Light Co
        A89MY1K3YLIGJMYWVX50
        Florida Power & Light Co
        341081EV5
        
          
        
        12000.00000000
        PA
        USD
        16864.93000000
        0.003117808277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-02-01
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        iShares S&P 500 Value ETF
        549300CBC7RH6BCDVO32
        iShares S&P 500 Value ETF
        464287408
        
          
        
        2805.00000000
        NS
        USD
        303529.05000000
        0.056113211533
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140F5AN3
        
          
        
        16057.47000000
        PA
        USD
        18157.39000000
        0.003356744489
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGQ6
        
          
        
        10000.00000000
        PA
        USD
        10386.89000000
        0.001920217375
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-21
          Fixed
          2.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        YPF SOCIEDAD ANONIMA
        5493003N7447U18U5U53
        YPF SA
        000000000
        
          
        
        73000.00000000
        PA
        USD
        54249.04000000
        0.010028983575
        Long
        DBT
        CORP
        AR
        N
        
        2
        
          2025-07-28
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CN8
        
          
        
        26000.00000000
        PA
        USD
        33500.98000000
        0.006193303663
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-07-20
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHFF4
        
          
        
        3284.48000000
        PA
        USD
        3510.83000000
        0.000649044783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Axtel SAB de CV
        549300BVRDR8XTSXAD13
        Axtel SAB de CV
        05462GAJ3
        
          
        
        507000.00000000
        PA
        USD
        526529.64000000
        0.097339180774
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2024-11-14
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EPMW1
        
          
        
        166629.12000000
        PA
        USD
        190776.48000000
        0.035268719675
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOC AVIATION LTD
        254900H06V5RMEB3KE72
        BOC Aviation Ltd
        09681LAL4
        
          
        
        496000.00000000
        PA
        USD
        506798.37000000
        0.093691474146
        Long
        DBT
        CORP
        SG
        N
        
        2
        
          2025-04-29
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RICHEMONT INTERNATIONAL
        549300V9893NUQX6X069
        Richemont International Holding SA
        000000000
        
          
        
        100000.00000000
        PA
        
        115419.36000000
        0.021337499533
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2028-05-26
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        FINANCIAL SELECT SECTOR SPDR F SEP20 25 CALL
        000000000
        
          
        
        221.00000000
        NC
        USD
        15801.50000000
        0.002921212688
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                Financial Select Sector SPDR Fund
                Financial Select Sector SPDR Fund
                
                  
                  
                
              
            
            100.00000000
            25.00000000
            USD
            2020-09-18
            XXXX
            -11544.77000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FGM30
        
          
        
        2281.71000000
        PA
        USD
        2452.25000000
        0.000453345809
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.050000 28-DEC-2023
        000000000
        
          
        
        14605000.00000000
        OU
        Notional Amount
        USD
        1430824.07000000
        0.264515484457
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2023-12-28
            189.92000000
            USD
            0.00000000
            USD
            14605000.00000000
            USD
            1430634.15000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        114806.67000000
        0.021224231944
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            13683046.00000000
            EUR
            15513416.12000000
            USD
            2020-09-16
            114806.67000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J5GJ2
        
          
        
        11614.55000000
        PA
        USD
        12619.15000000
        0.002332893781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-02-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EW4N2
        
          
        
        3142.40000000
        PA
        USD
        3348.13000000
        0.000618966543
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CET7
        
          
        
        6330.22000000
        PA
        USD
        6581.38000000
        0.001216695298
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -1117.33000000
        -0.00020656004
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            586279820.00000000
            KRW
            487000.00000000
            USD
            2020-07-06
            -1117.33000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132XWA84
        
          
        
        3711.78000000
        PA
        USD
        4118.58000000
        0.000761399117
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/SWP: IFS 3.297500 15-FEB-2025
        000000000
        
          
        
        620000.00000000
        OU
        Notional Amount
        
        -14794.42000000
        -0.00273503448
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
              
                
              
            
            
            2025-02-17
            0.00000000
            GBP
            -22.37000000
            GBP
            620000.00000000
            GBP
            -14765.55000000
          
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAS8
        
          
        
        30000.00000000
        PA
        USD
        37710.18000000
        0.006971455639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-14
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK TSY 3.5% 2045
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        700000.00000000
        PA
        
        1429667.54000000
        0.264301677533
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2045-01-22
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RYDER SYSTEM INC
        ZXJ6Y2OSPZXIVGRILD15
        Ryder System Inc
        78355HKN8
        
          
        
        95000.00000000
        PA
        USD
        97985.71000000
        0.018114552371
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITAU UNIBANCO HLDG SA/KY
        5493002W2IVG62O3ZJ94
        Itau Unibanco Holding SA/Cayman Island
        46556UAC8
        
          
        
        258000.00000000
        PA
        USD
        239862.60000000
        0.044343237699
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2023-03-19
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABIC Capital II BV
        2138005PCUTH59D4RJ83
        SABIC Capital II BV
        78520LAA8
        
          
        
        542000.00000000
        PA
        USD
        577907.50000000
        0.106837371231
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-10-10
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E9HN9
        
          
        
        5422.55000000
        PA
        USD
        6097.22000000
        0.001127188964
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/SWP: MXN 5.200000 02-MAY-2025
        000000000
        
          
        
        78556000.00000000
        OU
        Notional Amount
        
        58487.03000000
        0.010812457938
        N/A
        DIR
        
        MX
        
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                MXN - 28D Mexican Interbank Rate (TIIE)
                MXIBTIIE Index
              
            
            Y
            
            
              
                
              
            
            2025-05-02
            1390.94000000
            MXN
            0.00000000
            MXN
            78556000.00000000
            MXN
            58429.97000000
          
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBN4
        
          
        
        568000.00000000
        PA
        USD
        639448.41000000
        0.118214397914
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERGY0
        
          
        
        24857.22000000
        PA
        USD
        26570.37000000
        0.004912046449
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MFT Trust
        N/A
        MFT Trust 2020-ABC
        55317BAG2
        
          
        
        100000.00000000
        PA
        USD
        94020.62000000
        0.017381528847
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-02-06
          Variable
          3.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS 2018-TALL Mortgage Trust
        05548WAG2
        
          
        
        500000.00000000
        PA
        USD
        454460.90000000
        0.084015881233
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-15
          Floating
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SM ENERGY CO
        84BUTVXV5ODI6BXNMH43
        SM Energy Co
        78454LAT7
        
          
        
        468000.00000000
        PA
        USD
        444309.84000000
        0.082139261591
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.340000 26-JUL-2024
        000000000
        
          
        
        19050000.00000000
        OU
        Notional Amount
        USD
        -1752964.19000000
        -0.32406931199
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2024-07-26
            0.00000000
            USD
            -283.49000000
            USD
            19050000.00000000
            USD
            -1752680.70000000
          
        
        
          N
          N
          N
        
      
      
        Textron Inc
        3PPKBHUG1HD6BO7RNR87
        Textron Inc
        883203BV2
        
          
        
        90000.00000000
        PA
        USD
        95763.92000000
        0.017703811547
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUROGRID GMBH
        967600Q53854Z2NBCC81
        Eurogrid GmbH
        000000000
        
          
        
        100000.00000000
        PA
        
        118076.88000000
        0.021828793470
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2032-05-15
          Fixed
          1.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAESARS RESORT / FINCO
        N/A
        Caesars Resort Collection LLC / CRC Finco Inc
        12652AAA1
        
          
        
        39000.00000000
        PA
        USD
        33930.00000000
        0.006272616302
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wynn Resorts Ltd
        254900CEKKWIHTEAB172
        Wynn Resorts Ltd
        983134107
        
          
        
        700.00000000
        NS
        USD
        52143.00000000
        0.009639641375
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHFL1
        
          
        
        14906.23000000
        PA
        USD
        16251.96000000
        0.003004488925
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BM5
        
          
        
        200000.00000000
        PA
        USD
        218708.22000000
        0.040432441682
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2029-07-18
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746RW3
        
          
        
        26000.00000000
        PA
        USD
        28392.06000000
        0.005248821055
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-22
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38143U8H7
        
          
        
        168000.00000000
        PA
        USD
        187370.29000000
        0.034639019619
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-25
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Level 3 Financing Inc
        N/A
        Level 3 Financing Inc
        527298BM4
        
          
        
        18000.00000000
        PA
        USD
        18495.00000000
        0.003419158223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBY0
        
          
        
        115000.00000000
        PA
        USD
        117406.92000000
        0.021704938415
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-04-30
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        43500000.00000000
        PA
        
        383646.03000000
        0.070924383796
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2049-06-20
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Boston Scientific Corp
        Y6ZDD9FP4P8JSSJMW954
        Boston Scientific Corp
        101137AV9
        
          
        
        107000.00000000
        PA
        USD
        115904.44000000
        0.021427175947
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dow Chemical Co/The
        ZQUIP1CSZO8LXRBSOU78
        Dow Chemical Co/The
        260543BA0
        
          
        
        80000.00000000
        PA
        USD
        83587.35000000
        0.015452737232
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-04-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW4SM9T6 AUD CALL JPY PUT JUL20 71 CALL
        000000000
        
          
        
        -922000.00000000
        OU
        Notional Amount
        
        -29967.16000000
        -0.00554000873
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    -29967.16000000
                    -0.01000000
                    DFE
                    
                    XX
                  
                  922000.00000000
                  AUD
                  65462000.00000000
                  JPY
                  2020-07-09
                
              
            
            1.00000000
            71.00000000
            AUD
            2020-07-09
            XXXX
            -25306.75000000
          
        
        
          N
          N
          N
        
      
      
        KROGER CO
        6CPEOKI6OYJ13Q6O7870
        Kroger Co/The
        501044DP3
        
          
        
        130000.00000000
        PA
        USD
        135209.84000000
        0.024996152274
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP Transmission Co LLC
        549300X123Z1I0LA3Y84
        AEP Transmission Co LLC
        00115AAM1
        
          
        
        62000.00000000
        PA
        USD
        71682.66000000
        0.013251925190
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132ADPD4
        
          
        
        19521.76000000
        PA
        USD
        20671.80000000
        0.003821581776
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        2588.21000000
        0.000478480643
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            1819682000.00000000
            COP
            485790.03000000
            USD
            2020-07-27
            2588.21000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        INVESCO QQQ TRUST SERIES 1 AUG20 260 CALL
        000000000
        
          
        
        41.00000000
        NC
        USD
        16523.00000000
        0.003054595908
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                Invesco QQQ Trust Series 1
                Invesco QQQ Trust Series 1
                
                  
                  
                
              
            
            100.00000000
            260.00000000
            USD
            2020-08-21
            XXXX
            -7711.26000000
          
        
        
          N
          N
          N
        
      
      
        BP CAPITAL MARKETS PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        000000000
        
          
        
        485000.00000000
        PA
        
        536198.22000000
        0.099126604662
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-11-08
          Fixed
          0.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        000000000
        
          
        
        265000.00000000
        PA
        
        306942.05000000
        0.056744170550
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-01
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE TELEKOM INT FIN
        529900ERDFHS6C1M4U58
        Deutsche Telekom International Finance BV
        25156PBB8
        
          
        
        150000.00000000
        PA
        USD
        177803.13000000
        0.032870345178
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-06-21
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON NATIONAL BANK
        2WHM8VNJH63UN14OL754
        Huntington National Bank/The
        44644AAD9
        
          
        
        250000.00000000
        PA
        USD
        255563.42000000
        0.047245837743
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-05-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elevation CLO Ltd
        549300OBPZDY731NEI33
        Elevation CLO 2017-8 Ltd
        28622VAA8
        
          
        
        400000.00000000
        PA
        USD
        390143.92000000
        0.072125644354
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-25
          Floating
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        3562.02000000
        0.000658508244
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1807498000.00000000
            COP
            484000.00000000
            USD
            2020-07-15
            3562.02000000
          
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        000000000
        
          
        
        100000.00000000
        PA
        
        109371.56000000
        0.020219446811
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2049-07-02
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SERVICENOW INC AUG20 480 CALL
        000000000
        
          
        
        -1.00000000
        NC
        USD
        -500.00000000
        -0.00009243466
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                ServiceNow Inc
                ServiceNow Inc
                
                  
                  
                
              
            
            100.00000000
            480.00000000
            USD
            2020-08-21
            XXXX
            209.42000000
          
        
        
          N
          N
          N
        
      
      
        EDISON INTERNATIONAL
        549300I7ROF15MAEVP56
        Edison International
        281020AR8
        
          
        
        125000.00000000
        PA
        USD
        136978.61000000
        0.025323143595
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Motorola Solutions Inc
        6S552MUG6KGJVEBSEC55
        Motorola Solutions Inc
        620076BL2
        
          
        
        63000.00000000
        PA
        USD
        71651.40000000
        0.013246146175
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-23
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALIBABA GROUP HOLDING
        5493001NTNQJDH60PM02
        Alibaba Group Holding Ltd
        01609WAT9
        
          
        
        259000.00000000
        PA
        USD
        286184.64000000
        0.052906762110
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-12-06
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132QWH44
        
          
        
        10427.69000000
        PA
        USD
        11335.10000000
        0.002095512321
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRITISH TELECOMMUNICATIO
        549300OWFMSO9NYV4H90
        British Telecommunications PLC
        000000000
        
          
        
        525000.00000000
        PA
        
        600499.17000000
        0.111013878085
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-23
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCJ6
        
          
        
        8000.00000000
        PA
        USD
        8764.43000000
        0.001620274285
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK TSY 4 3/4% 2038
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        30000.00000000
        PA
        
        64713.96000000
        0.011963626304
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2038-12-07
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortgage Trust
        N/A
        DBJPM 16-C3 Mortgage Trust
        23312VAF3
        
          
        
        375000.00000000
        PA
        USD
        401854.46000000
        0.074290564016
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-10
          Fixed
          2.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        BRW3Y1UG1 SWAPTION APR22 0.021 CALL
        000000000
        
          
        
        -10850000.00000000
        OU
        Notional Amount
        
        -227951.11000000
        -0.04214116854
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Call
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    IRS Swap
                    N/A
                    
                      
                    
                    10850000.00000000
                    OU
                    Notional Amount
                    N/A
                    -227951.11000000
                    -0.04000000
                    DIR
                    
                    US
                  
                  
                    
                      EUR - 6M Euro Interbank Offer Rate (EURIBOR)
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2027-04-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10850000.00000000
                  EUR
                
              
            
            1.00000000
            -0.02100000
            EUR
            2022-04-08
            XXXX
            -91937.79000000
          
        
        
          N
          N
          N
        
      
      
        TOTAL CAPITAL INTL SA
        549300U37G2I8G4RUG09
        Total Capital International SA
        000000000
        
          
        
        100000.00000000
        PA
        
        112833.06000000
        0.020859371990
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-07-12
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505EU4
        
          
        
        20000.00000000
        PA
        USD
        22194.40000000
        0.004103063815
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-10
          Fixed
          6.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J6E29
        
          
        
        145313.83000000
        PA
        USD
        160222.21000000
        0.029620172310
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-10-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Microsoft Corp
        INR2EJN1ERAN0W5ZP974
        Microsoft Corp
        594918BS2
        
          
        
        79000.00000000
        PA
        USD
        95468.50000000
        0.017649197450
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-08-08
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHERN STATES PWR-MINN
        3S1GHB0TEH85KX44SB51
        Northern States Power Co/MN
        665772CR8
        
          
        
        48000.00000000
        PA
        USD
        52074.56000000
        0.009626988918
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST SEP20 285 PUT
        000000000
        
          
        
        -25.00000000
        NC
        USD
        -21037.50000000
        -0.00388918849
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            285.00000000
            USD
            2020-09-18
            XXXX
            27831.76000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WDRD5
        
          
        
        96483.59000000
        PA
        USD
        108116.62000000
        0.019987446896
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YKYR8
        
          
        
        48251.99000000
        PA
        USD
        51410.11000000
        0.009504152493
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132JADY8
        
          
        
        4516.58000000
        PA
        USD
        4940.78000000
        0.000913398678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HAAW0
        
          
        
        5647.52000000
        PA
        USD
        6264.50000000
        0.001158113905
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRESENIUS MEDICAL CARE A
        549300CP8NY40UP89Q40
        Fresenius Medical Care AG & Co KGaA
        000000000
        
          
        
        130000.00000000
        PA
        
        150649.83000000
        0.027850532851
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2030-05-29
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        000000000
        
          
        
        280000.00000000
        PA
        
        315102.08000000
        0.058252709814
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2023-03-07
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK TSY 1 1/2% 2047
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        1040000.00000000
        PA
        
        1564072.82000000
        0.289149091340
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2047-07-22
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        2125000.00000000
        PA
        
        2506674.71000000
        0.463407269415
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2050-09-01
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Neuberger Berman CLO Ltd
        549300P0MOXZPIM3AS61
        Neuberger Berman Loan Advisers CLO 26 Ltd
        64131QAA8
        
          
        
        550000.00000000
        PA
        USD
        539565.13000000
        0.099749043052
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-18
          Floating
          2.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN INTL FIN NV
        5299004PWNHKYTR23649
        Volkswagen International Finance NV
        000000000
        
          
        
        400000.00000000
        PA
        
        460098.24000000
        0.085058052491
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-03-30
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617BUEB1
        
          
        
        22686.16000000
        PA
        USD
        24558.27000000
        0.004540070874
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SB89
        
          
        
        354706.03000000
        PA
        USD
        380018.49000000
        0.070253762913
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-05-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        4335.79000000
        0.000801554584
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            563000.00000000
            EUR
            637924.04000000
            USD
            2020-09-16
            4335.79000000
          
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599DG7
        
          
        
        110000.00000000
        PA
        USD
        46200.00000000
        0.008540962958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-10-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rumo Luxembourg Sarl
        222100HOIQFT7YOSPB46
        Rumo Luxembourg Sarl
        781467AB1
        
          
        
        448000.00000000
        PA
        USD
        472640.00000000
        0.087376639235
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2025-01-18
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAY2
        
          
        
        18000.00000000
        PA
        USD
        19834.08000000
        0.003666713043
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          4.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BALTIMORE GAS & ELECTRIC
        88V8C2WYSOD1SPSSLH72
        Baltimore Gas and Electric Co
        059165EM8
        
          
        
        152000.00000000
        PA
        USD
        155426.62000000
        0.028733614809
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582CD2
        
          
        
        261000.00000000
        PA
        USD
        275409.29000000
        0.050914730396
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2029-11-07
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        STAMPS.COM INC AUG20 120 PUT
        000000000
        
          
        
        -3.00000000
        NC
        USD
        -1200.00000000
        -0.00022184319
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                Stamps.com Inc
                Stamps.com Inc
                
                  
                  
                
              
            
            100.00000000
            120.00000000
            USD
            2020-08-21
            XXXX
            164.55000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38141GVP6
        
          
        
        166000.00000000
        PA
        USD
        166416.66000000
        0.030765336119
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2020-09-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        13582.83000000
        0.002511048655
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            21902990.20000000
            ZAR
            1274000.00000000
            USD
            2020-07-15
            13582.83000000
          
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN INTL FIN NV
        5299004PWNHKYTR23649
        Volkswagen International Finance NV
        000000000
        
          
        
        100000.00000000
        PA
        
        109803.83000000
        0.020299360275
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-12-14
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GCY4
        
          
        
        48000.00000000
        PA
        USD
        46740.00000000
        0.008640792395
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWAP/CDSWAP/SCDS: (SOAF)
        000000000
        
          
        
        1090739.00000000
        OU
        Notional Amount
        USD
        102045.69000000
        0.018865118146
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                Republic of South Africa Government International Bond
                Republic of South Africa Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            87108.64000000
            USD
            0.00000000
            USD
            1090739.00000000
            USD
            14937.05000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRTW17119 SWAPTION AUG20 1.08 CALL
        000000000
        
          
        
        4248410.00000000
        OU
        Notional Amount
        USD
        183503.74000000
        0.033924213118
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    4248410.00000000
                    OU
                    Notional Amount
                    N/A
                    183503.74000000
                    0.03000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-08-17
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4248410.00000000
                  USD
                
              
            
            1.00000000
            1.08000000
            USD
            2020-08-13
            XXXX
            145283.70000000
          
        
        
          N
          N
          N
        
      
      
        PROLOGIS EURO FINANCE
        549300MI5D1784PRQH06
        Prologis Euro Finance LLC
        000000000
        
          
        
        100000.00000000
        PA
        
        109860.58000000
        0.020309851609
        Long
        DBT
        
        US
        N
        
        2
        
          2027-09-10
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJRK6
        
          
        
        8472.31000000
        PA
        USD
        9211.39000000
        0.001702903480
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        SWAP/CDSWAP/ICE: (CDX.NA.IG.34.V1)
        000000000
        
          
        
        183041.00000000
        OU
        Notional Amount
        USD
        -2185.14000000
        -0.00040396536
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S34.V1
                2I65BYDW2
              
            
            Y
            buy protection
            
            2025-06-21
            0.00000000
            USD
            -2213.76000000
            USD
            183041.00000000
            USD
            28.62000000
          
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 16-3 B PTT
        N/A
        American Airlines 2016-3 Class B Pass Through Trust
        023771S41
        
          
        
        140227.42000000
        PA
        USD
        99215.25000000
        0.018341856605
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030678
        
          
        
        3852647.00000000
        PA
        USD
        4057619.84000000
        0.750129453526
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        3617ALXR6
        
          
        
        20947.67000000
        PA
        USD
        23610.51000000
        0.004364859119
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RCG5
        
          
        
        397000.00000000
        PA
        USD
        470143.27000000
        0.086915070438
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-06-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Delta Air Lines Inc
        Q2CCMS6R0AS67HJMBN42
        Delta Air Lines Inc
        247361702
        
          
        
        2996.00000000
        NS
        USD
        84037.80000000
        0.015536011621
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBD2
        
          
        
        1061000.00000000
        PA
        USD
        1210534.69000000
        0.223790734788
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2030-04-16
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Broadcom Inc
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAD3
        
          
        
        170000.00000000
        PA
        USD
        184648.62000000
        0.034135866314
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATIONAL INFORM
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        000000000
        
          
        
        110000.00000000
        PA
        
        126147.86000000
        0.023320870120
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBB5
        
          
        
        107000.00000000
        PA
        USD
        107339.87000000
        0.019843849645
        Long
        DBT
        
        US
        N
        
        2
        
          2025-09-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABC SUPPLY CO INC
        549300H5GQ4C1BEKG397
        American Builders & Contractors Supply Co Inc
        024747AE7
        
          
        
        15000.00000000
        PA
        USD
        14850.00000000
        0.002745309522
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WXW52
        
          
        
        10645.35000000
        PA
        USD
        11524.15000000
        0.002130461867
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        000000000
        
          
        
        100000.00000000
        PA
        
        104590.79000000
        0.019335629073
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2022-04-21
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic Of Venezuela
        N/A
        Venezuela Government International Bond
        000000000
        
          
        
        3000.00000000
        PA
        USD
        3000.00000000
        0.000554607984
        N/A
        DBT
        
        VE
        N
        
        2
        
          2020-04-15
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF AUSTRIA
        529900QWWUI4XRVR7I03
        Republic of Austria Government Bond
        000000000
        
          
        
        97000.00000000
        PA
        
        120841.87000000
        0.022339955313
        Long
        DBT
        NUSS
        AT
        N
        
        2
        
          2120-06-30
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        HOME DEPOT INC/THE SEP20 280 CALL
        000000000
        
          
        
        -1.00000000
        NC
        USD
        -313.00000000
        -0.00005786409
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Home Depot Inc/The
                Home Depot Inc/The
                
                  
                  
                
              
            
            100.00000000
            280.00000000
            USD
            2020-09-18
            XXXX
            -33.00000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        FSWP: USD 2.275000 12-AUG-2024
        000000000
        
          
        
        2349000.00000000
        OU
        Notional Amount
        USD
        212468.89000000
        0.039278980937
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2024-08-12
            35.20000000
            USD
            0.00000000
            USD
            2349000.00000000
            USD
            212433.69000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CSG0
        
          
        
        428826.56000000
        PA
        USD
        451073.18000000
        0.083389595712
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HAA42
        
          
        
        3538.63000000
        PA
        USD
        3880.36000000
        0.000717359546
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIX FLAGS ENTERTAINMENT
        549300JYTDUAA4JQ3717
        Six Flags Entertainment Corp
        83001AAB8
        
          
        
        23000.00000000
        PA
        USD
        20585.00000000
        0.003805535119
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-31
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFH7
        
          
        
        51000.00000000
        PA
        USD
        56620.12000000
        0.010467323541
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-26
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WFBX3
        
          
        
        32871.86000000
        PA
        USD
        35731.55000000
        0.006605667640
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468N2
        
          
        
        80000.00000000
        PA
        USD
        121710.06000000
        0.022500457015
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-03-24
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGINIA ELEC & POWER CO
        CQKUMNNZVDJLRYV2PT43
        Virginia Electric and Power Co
        927804GC2
        
          
        
        12000.00000000
        PA
        USD
        13298.65000000
        0.002458512490
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-12-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M8YB3
        
          
        
        6240.65000000
        PA
        USD
        6547.81000000
        0.001210489235
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        D.R. HORTON INC
        529900ZIUEYVSB8QDD25
        DR Horton Inc
        23331ABN8
        
          
        
        772000.00000000
        PA
        USD
        811450.74000000
        0.150012353094
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PayPal Holdings Inc
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450Y103
        
          
        
        200.00000000
        NS
        USD
        34846.00000000
        0.006441956607
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FHWD5
        
          
        
        1564.36000000
        PA
        USD
        1666.12000000
        0.000308014484
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKGK5
        
          
        
        4473.85000000
        PA
        USD
        4912.11000000
        0.000908098475
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMCOR UK FINANCE PLC
        549300DEUV6BE727FP17
        Amcor UK Finance PLC
        0234EVAA9
        
          
        
        100000.00000000
        PA
        
        113257.97000000
        0.020937924816
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2027-06-23
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        FSWP: USD 1.210000 27-MAR-2022
        000000000
        
          
        
        15648334.00000000
        OU
        Notional Amount
        USD
        317570.89000000
        0.058709117060
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2022-03-28
            230.18000000
            USD
            0.00000000
            USD
            15648334.00000000
            USD
            317340.71000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MEVG3
        
          
        
        58934.41000000
        PA
        USD
        63664.26000000
        0.011769568970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J55S4
        
          
        
        60527.06000000
        PA
        USD
        67309.64000000
        0.012443487921
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Textron Inc
        3PPKBHUG1HD6BO7RNR87
        Textron Inc
        883203BX8
        
          
        
        227000.00000000
        PA
        USD
        235137.25000000
        0.043469665419
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHFZ0
        
          
        
        41153.96000000
        PA
        USD
        44738.88000000
        0.008270846685
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        R0MUWSFPU8MPRO8K5P83
        VQKBP1 RRP AT+T 2.48 RRP BNPNR OPEN
        000000000
        
          
        
        -867500.00000000
        PA
        USD
        -867500.00000000
        -0.16037414213
        Short
        RA
        CORP
        US
        N
        
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.95000000
          2049-12-31
          
            
              1000000.00000000
              USD
              978546.20000000
              USD
              CDS
            
          
        
        
          N
          N
          N
        
      
      
        Aon PLC
        VVT2B79I2Z4U3R6BY589
        Aon PLC
        00185AAG9
        
          
        
        143000.00000000
        PA
        USD
        175102.81000000
        0.032371138834
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2044-06-14
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        BRW3C24C1 SWAPTION SEP20 0.764 PUT
        000000000
        
          
        
        -994000.00000000
        OU
        Notional Amount
        USD
        -8191.31000000
        -0.00151432197
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AG
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    994000.00000000
                    OU
                    Notional Amount
                    N/A
                    -8191.31000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-09-29
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  994000.00000000
                  USD
                
              
            
            1.00000000
            0.76400000
            USD
            2020-09-25
            XXXX
            16758.09000000
          
        
        
          N
          N
          N
        
      
      
        VISA INC
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAM4
        
          
        
        141000.00000000
        PA
        USD
        147747.38000000
        0.027313958869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCB6
        
          
        
        108000.00000000
        PA
        USD
        102033.00000000
        0.018862772154
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-08-04
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Westpac Banking Corporation
        EN5TNI6CI43VEPAMHL14
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -5912.49000000
        -0.00109303805
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Westpac Banking Corporation
              EN5TNI6CI43VEPAMHL14
            
            722998.00000000
            EUR
            651583.15000000
            GBP
            2020-09-16
            -5912.49000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        EUR/CHF Instant-One-touch barrier option; Barrier price EUR 1.17000
        000000000
        
          
        
        45000.00000000
        OU
        Notional Amount
        
        338.89000000
        0.000062650366
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    EUR/CHF Instant-One-touch barrier option; Barrier price EUR 1.17000
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    338.89000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  52650.00000000
                  CHF
                  45000.00000000
                  EUR
                  2020-08-25
                
              
            
            1.00000000
            1.17000000
            EUR
            2020-08-25
            XXXX
            -5820.11000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        ICE: (ITRAXX.FINSR.28.V2)
        000000000
        
          
        
        1318000.00000000
        OU
        Notional Amount
        
        369.52000000
        0.000068312914
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Senior Financials S28.V1
                2I667DBL7
              
            
            Y
            
            sell protection
            2022-12-20
            0.00000000
            EUR
            -8903.95000000
            EUR
            1318000.00000000
            EUR
            11193.56000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/SWP: USD 0.885000 02-JUL-2050
        000000000
        
          
        
        2377000.00000000
        OU
        Notional Amount
        USD
        22383.89000000
        0.004138094704
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2050-07-05
            0.00000000
            USD
            -65.61000000
            USD
            2377000.00000000
            USD
            22449.50000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        BRW5WW3B1 USD CALL ZAR PUT JUN20 17.55 CALL
        000000000
        
          
        
        759000.00000000
        OU
        Notional Amount
        USD
        0.76000000
        0.000000140500
        N/A
        DFE
        
        US
        N
        
        N/A
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    0.76000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  13320450.00000000
                  ZAR
                  759000.00000000
                  USD
                  2020-06-30
                
              
            
            1.00000000
            17.55000000
            USD
            2020-06-30
            XXXX
            -7217.33000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) SEP20 XCBT 20200930
        000000000
        
          
        
        137.00000000
        NC
        USD
        2151.64000000
        0.000397772241
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                2 Year US Treasury Note
                TUU0 Comdty
              
            
            2020-09-30
            30251301.62000000
            USD
            2151.64000000
          
        
        
          N
          N
          N
        
      
      
        L3HARRIS TECH INC
        549300UTE50ZMDBG8A20
        L3Harris Technologies Inc
        502431AM1
        
          
        
        29000.00000000
        PA
        USD
        34303.95000000
        0.006341748187
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703DBB6
        
          
        
        132000.00000000
        PA
        USD
        151694.36000000
        0.028043634410
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        York CLO Ltd
        549300HNXZUJB12SQJ60
        York Clo-4 Ltd
        986252AQ7
        
          
        
        250000.00000000
        PA
        USD
        241250.00000000
        0.044599725405
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        3
        
          2032-04-20
          Floating
          2.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        000000000
        
          
        
        265000.00000000
        PA
        
        348800.14000000
        0.064482447524
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-11-21
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO STOXX 50     SEP20 XEUR 20200918
        000000000
        
          
        
        19.00000000
        NC
        
        30084.09000000
        0.005561625504
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                EURO STOXX 50 Index
                VGU0 Index
              
            
            2020-09-18
            585592.87000000
            EUR
            30084.09000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        SWAP/CDSWAP/SCDS: (MEX)
        000000000
        
          
        
        1625000.00000000
        OU
        Notional Amount
        USD
        43915.05000000
        0.008118545787
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            
              
                Mexico Government International Bond
                Mexico Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            134092.62000000
            USD
            0.00000000
            USD
            1625000.00000000
            USD
            -90177.57000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        XILINX INC SEP20 110 CALL
        000000000
        
          
        
        -4.00000000
        NC
        USD
        -1078.00000000
        -0.00019928913
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Xilinx Inc
                Xilinx Inc
                
                  
                  
                
              
            
            100.00000000
            110.00000000
            USD
            2020-09-18
            XXXX
            -557.98000000
          
        
        
          N
          N
          N
        
      
      
        OHIO POWER COMPANY
        06ZODLC132CY1O2Y7D77
        Ohio Power Co
        677415CS8
        
          
        
        4000.00000000
        PA
        USD
        4294.46000000
        0.000793913934
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.725080 25-MAY-2026
        000000000
        
          
        
        290000.00000000
        OU
        Notional Amount
        USD
        -23276.93000000
        -0.00430319040
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2026-05-26
            0.00000000
            USD
            0.00000000
            USD
            290000.00000000
            USD
            -23276.93000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WFAD8
        
          
        
        9202.97000000
        PA
        USD
        9772.60000000
        0.001806653995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-07-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJEZ7
        
          
        
        23092.73000000
        PA
        USD
        24010.17000000
        0.004438743995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP Capital Markets PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        000000000
        
          
        
        130000.00000000
        PA
        
        144118.26000000
        0.026643045893
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-05-08
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COVESTRO AG
        3912005AWHKLQ1CPLV11
        Covestro AG
        000000000
        
          
        
        60000.00000000
        PA
        
        67244.42000000
        0.012431430744
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-02-03
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.015000 09-SEP-2029
        000000000
        
          
        
        2957500.00000000
        OU
        Notional Amount
        USD
        -400312.80000000
        -0.07400555836
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2029-09-10
            0.00000000
            USD
            -56.25000000
            USD
            2957500.00000000
            USD
            -400256.55000000
          
        
        
          N
          N
          N
        
      
      
        GPMT Ltd.
        N/A
        GPMT 2018-FL1 Ltd
        36255CAA7
        
          
        
        76882.21000000
        PA
        USD
        75662.00000000
        0.013987583103
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-11-21
          Floating
          1.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST AUG20 320 CALL
        000000000
        
          
        
        121.00000000
        NC
        USD
        67397.00000000
        0.012459638106
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            320.00000000
            USD
            2020-08-21
            XXXX
            -12282.90000000
          
        
        
          N
          N
          N
        
      
      
        DR Horton Inc
        529900ZIUEYVSB8QDD25
        DR Horton Inc
        23331A109
        
          
        
        2980.00000000
        NS
        USD
        165241.00000000
        0.030547992645
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        90DAY EUR FUTR  DEC20 XCME 20201214
        000000000
        
          
        
        60.00000000
        NC
        USD
        51292.20000000
        0.009482354551
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                Eurodollar Time Deposit
                EDZ0 Comdty
              
            
            2020-12-14
            14905207.80000000
            USD
            51292.20000000
          
        
        
          N
          N
          N
        
      
      
        Las Vegas Sands Corp
        N/A
        Las Vegas Sands Corp
        517834107
        
          
        
        500.00000000
        NS
        USD
        22770.00000000
        0.004209474600
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -769.65000000
        -0.00014228467
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            4650000.00000000
            TWD
            159001.54000000
            USD
            2020-09-16
            -769.65000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468J1
        
          
        
        106000.00000000
        PA
        USD
        112462.97000000
        0.020790953700
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-22
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EW4R3
        
          
        
        4024.15000000
        PA
        USD
        4271.36000000
        0.000789643453
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-11-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/FSWP: USD 1.036000 16-JUL-2050
        000000000
        
          
        
        618572.00000000
        OU
        Notional Amount
        USD
        -19673.43000000
        -0.00363701378
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2050-07-18
            0.00000000
            USD
            -17.07000000
            USD
            618572.00000000
            USD
            -19656.36000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -7667.89000000
        -0.00141755767
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            530000.00000000
            EUR
            474959.50000000
            GBP
            2020-09-16
            -7667.89000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2017-500K
        36253XAQ8
        
          
        
        90000.00000000
        PA
        USD
        87070.72000000
        0.016096705504
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-07-15
          Floating
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ecopetrol SA
        254900IDGKCJICKBPA66
        Ecopetrol SA
        279158AJ8
        
          
        
        54000.00000000
        PA
        USD
        56754.00000000
        0.010492073847
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2045-05-28
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.750000 08-NOV-2029
        000000000
        
          
        
        2360000.00000000
        OU
        Notional Amount
        USD
        254150.93000000
        0.046984711666
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2029-11-08
            45.77000000
            USD
            0.00000000
            USD
            2360000.00000000
            USD
            254105.16000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GN7
        
          
        
        163000.00000000
        PA
        USD
        180057.55000000
        0.033287118288
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BQ2
        
          
        
        270000.00000000
        PA
        USD
        273117.79000000
        0.050491102330
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-09-10
          Fixed
          2.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FINANCE EUROPE
        213800WHKNIC1JQQG433
        Glencore Finance Europe Ltd
        000000000
        
          
        
        420000.00000000
        PA
        
        537087.20000000
        0.099290949797
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2026-03-26
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWP: JPY 0.401000 10-JAN-2050
        000000000
        
          
        
        20000000.00000000
        OU
        Notional Amount
        
        -5294.49000000
        -0.00097878880
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                JPY - 6M Japanese Yen LIBOR Rate BBA (JY0006M)
                JPY0006M Index
              
            
            Y
            
              
                
              
            
            
            2050-01-11
            0.00000000
            JPY
            -653.00000000
            JPY
            20000000.00000000
            JPY
            -5288.48000000
          
        
        
          N
          N
          N
        
      
      
        CODELCO INC
        549300UVMBCBCIPSUI70
        Corp Nacional del Cobre de Chile
        000000000
        
          
        
        500000.00000000
        PA
        USD
        548593.75000000
        0.101418157965
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2042-07-17
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Charter Communications Inc
        0J0XRGZE3PBRFEZ7MV65
        Charter Communications Inc
        16119P108
        
          
        
        100.00000000
        NS
        USD
        51004.00000000
        0.009429075210
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Credito Real Sab DE CV Sofom ENR
        N/A
        Credito Real Sab DE CV Sofom ENR Term Loan B
        000000000
        
          
        
        85000.00000000
        PA
        USD
        75650.00000000
        0.013985364671
        Long
        LON
        CORP
        MX
        N
        
        3
        
          2020-08-21
          Floating
          4.12000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505104
        
          
        
        3750.00000000
        NS
        USD
        89062.50000000
        0.016464924534
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BANCO DE SABADELL SA
        SI5RG2M0WQQLZCXKRM20
        Banco de Sabadell SA
        000000000
        
          
        
        100000.00000000
        PA
        
        106947.27000000
        0.019771269947
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-07-22
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRBUS SE
        MINO79WLOO247M1IL051
        Airbus SE
        000000000
        
          
        
        400000.00000000
        PA
        
        474131.20000000
        0.087652316377
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-04-07
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H022671
        
          
        
        599000.00000000
        PA
        USD
        630541.09000000
        0.116567707650
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-07-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRTLZ37Z4 SWAPTION OCT20 3.55 PUT
        000000000
        
          
        
        -20809000.00000000
        OU
        Notional Amount
        USD
        -0.21000000
        -0.00000003882
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    20809000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.21000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2022-10-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  20809000.00000000
                  USD
                
              
            
            1.00000000
            3.55000000
            USD
            2020-10-05
            XXXX
            105345.35000000
          
        
        
          N
          N
          N
        
      
      
        Mastercard Inc
        AR5L2ODV9HN37376R084
        Mastercard Inc
        57636QAJ3
        
          
        
        127000.00000000
        PA
        USD
        145874.82000000
        0.026967779960
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-26
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        SWAP/CDSWAP/SCDS: (CHILE)
        000000000
        
          
        
        307190.00000000
        OU
        Notional Amount
        USD
        -2113.13000000
        -0.00039065292
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            
              
                Chile Government International Bond
                Chile Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            7978.96000000
            USD
            0.00000000
            USD
            307190.00000000
            USD
            -10092.09000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DT9
        
          
        
        548000.00000000
        PA
        USD
        551425.00000000
        0.101941569250
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2051-05-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        CITIGROUP INC SEP20 60 CALL
        000000000
        
          
        
        -7.00000000
        NC
        USD
        -924.00000000
        -0.00017081925
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Citigroup Inc
                Citigroup Inc
                
                  
                  
                
              
            
            100.00000000
            60.00000000
            USD
            2020-09-18
            XXXX
            -380.94000000
          
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        5KYC8KF17ROCY24M3H09
        ViacomCBS Inc
        92553PAP7
        
          
        
        19000.00000000
        PA
        USD
        19868.38000000
        0.003673054061
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEXAS EASTERN TRANSMISSI
        549300SIOULUXXIDGA69
        Texas Eastern Transmission LP
        882384AC4
        
          
        
        20000.00000000
        PA
        USD
        20355.28000000
        0.003763066936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        000000000
        
          
        
        400000.00000000
        PA
        
        455809.17000000
        0.084265135002
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-04-28
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48124BAC9
        
          
        
        30000.00000000
        PA
        USD
        29175.00000000
        0.005393562647
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/SWP: IFS 1.272500 07-APR-2030
        000000000
        
          
        
        570000.00000000
        OU
        Notional Amount
        USD
        10570.54000000
        0.001954168627
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                USD - US CPI Urban Consumers NAS (CPURNSA)
                CPURNSA Index
              
            
            Y
            
              
                
              
            
            
            2030-04-08
            0.00000000
            USD
            -23.26000000
            USD
            570000.00000000
            USD
            10593.80000000
          
        
        
          N
          N
          N
        
      
      
        ONCOR ELECTRIC DELIVERY
        549300SP2X2BS1KERD24
        Oncor Electric Delivery Co LLC
        68233JBR4
        
          
        
        86000.00000000
        PA
        USD
        94811.94000000
        0.017527819644
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-09-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        13107.70000000
        0.002423211692
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1175947500.00000000
            COP
            325000.00000000
            USD
            2020-08-10
            13107.70000000
          
        
        
          N
          N
          N
        
      
      
        Atrium Hotel Portfolio Trust
        N/A
        Atrium Hotel Portfolio Trust 2017-ATRM
        04965JAG8
        
          
        
        200000.00000000
        PA
        USD
        164661.96000000
        0.030440945909
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amgen Inc
        62QBXGPJ34PQ72Z12S66
        Amgen Inc
        031162BZ2
        
          
        
        82000.00000000
        PA
        USD
        102021.67000000
        0.018860677585
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-01
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MILLICOM INTL CELLULAR
        549300CTHC1CP86P2G96
        Millicom International Cellular SA
        600814AP2
        
          
        
        409000.00000000
        PA
        USD
        434248.10000000
        0.080279154477
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-10-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5EJYM2 USD CALL ZAR PUT JUN20 17.55 CALL
        000000000
        
          
        
        -759000.00000000
        OU
        Notional Amount
        USD
        -0.76000000
        -0.00000014050
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -0.76000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  759000.00000000
                  USD
                  13320450.00000000
                  ZAR
                  2020-06-30
                
              
            
            1.00000000
            17.55000000
            USD
            2020-06-30
            XXXX
            13985.33000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -15634.23000000
        -0.00289028959
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            639000.00000000
            USD
            10832583.60000000
            ZAR
            2020-07-15
            -15634.23000000
          
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NAK5
        
          
        
        104000.00000000
        PA
        USD
        112742.50000000
        0.020842630223
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2044-03-17
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Australia and New Zealand Banking Group Limited
        JHE42UYNWWTJB8YTTU19
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        25427.55000000
        0.004700774083
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Australia and New Zealand Banking Group Limited
              JHE42UYNWWTJB8YTTU19
            
            422760000.00000000
            JPY
            3944731.21000000
            USD
            2020-09-16
            25427.55000000
          
        
        
          N
          N
          N
        
      
      
        Lockheed Martin Corp
        DPRBOZP0K5RM2YE8UU08
        Lockheed Martin Corp
        539830BH1
        
          
        
        225000.00000000
        PA
        USD
        258669.85000000
        0.047820121370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCE1
        
          
        
        39000.00000000
        PA
        USD
        39780.00000000
        0.007354101872
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.760000 10-NOV-2026
        000000000
        
          
        
        1363000.00000000
        OU
        Notional Amount
        USD
        -118503.89000000
        -0.02190773452
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2026-11-10
            0.00000000
            USD
            -17.59000000
            USD
            1363000.00000000
            USD
            -118486.30000000
          
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CW8
        
          
        
        219000.00000000
        PA
        USD
        247676.35000000
        0.045787760412
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-25
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EJP44
        
          
        
        2342.47000000
        PA
        USD
        2572.18000000
        0.000475517188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTERCARD INC
        AR5L2ODV9HN37376R084
        Mastercard Inc
        57636QAP9
        
          
        
        64000.00000000
        PA
        USD
        73983.67000000
        0.013677311363
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-26
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AA56
        
          
        
        14487.78000000
        PA
        USD
        17148.41000000
        0.003170215034
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132JAST3
        
          
        
        7508.94000000
        PA
        USD
        8342.77000000
        0.001542322284
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.790000 30-SEP-2029
        000000000
        
          
        
        1560000.00000000
        OU
        Notional Amount
        USD
        -177253.51000000
        -0.03276873729
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2029-09-28
            0.00000000
            USD
            -29.83000000
            USD
            1560000.00000000
            USD
            -177223.68000000
          
        
        
          N
          N
          N
        
      
      
        LEG IMMOBILIEN AG
        391200SO40AKONBO0Z96
        LEG Immobilien AG
        000000000
        
          
        
        100000.00000000
        PA
        
        111785.96000000
        0.020665795316
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-11-28
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Consumers Energy Co
        7NKTFWJ1G6MELP9TU740
        Consumers Energy Co
        210518DE3
        
          
        
        123000.00000000
        PA
        USD
        150006.89000000
        0.027731672965
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natwest Markets PLC
        RR3QWICWWIPCS8A4S074
        PURCHASED KZT / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2913.89000000
        -0.00053868888
        N/A
        DFE
        
        KZ
        N
        
        2
        
          
            
              Natwest Markets PLC
              RR3QWICWWIPCS8A4S074
            
            66330.00000000
            USD
            25901865.00000000
            KZT
            2020-07-24
            -2913.89000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        617474AA9
        
          
        
        21000.00000000
        PA
        USD
        19303.07000000
        0.003568545581
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2020-10-15
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERRB8
        
          
        
        8083.85000000
        PA
        USD
        8789.01000000
        0.001624818373
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COM CELULARES(COM TRUST)
        549300CTHC1CP86P2G96
        Comunicaciones Celulares SA Via Comcel Trust
        000000000
        
          
        
        329000.00000000
        PA
        USD
        336458.43000000
        0.062200843889
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-02-06
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6HL8
        
          
        
        200191.13000000
        PA
        USD
        214066.01000000
        0.039574239438
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELGIUM KINGDOM
        549300SZ25JZFHRHWD76
        Kingdom of Belgium Government Bond
        000000000
        
          
        
        855000.00000000
        PA
        
        1044198.23000000
        0.193040225188
        Long
        DBT
        NUSS
        BE
        N
        
        2
        
          2028-06-22
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61762V200
        
          
        
        221.00000000
        NS
        USD
        5865.34000000
        0.001084321464
        Long
        EP
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH AMERICAS
        KOO0397YRO83WY5MGD97
        Bausch Health Americas Inc
        91911XAV6
        
          
        
        35000.00000000
        PA
        USD
        37971.50000000
        0.007019765692
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW5ZSW33 USD PUT KRW CALL JUL20 1185 PUT
        000000000
        
          
        
        -3832000.00000000
        OU
        Notional Amount
        USD
        -7947.57000000
        -0.00146926192
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -7947.57000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  4540920000.00000000
                  KRW
                  3832000.00000000
                  USD
                  2020-07-16
                
              
            
            1.00000000
            1185.00000000
            USD
            2020-07-16
            XXXX
            2667.07000000
          
        
        
          N
          N
          N
        
      
      
        MEGLOBAL CANADA ULC
        635400MHHHT7LMKMQL03
        MEGlobal Canada ULC
        58518N2B7
        
          
        
        520000.00000000
        PA
        USD
        556887.50000000
        0.102951417955
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2025-05-18
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        261000.00000000
        PA
        
        313616.04000000
        0.057977986597
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2027-04-22
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: OIS -0.457770 07-JUN-2023
        000000000
        
          
        
        2660000.00000000
        OU
        Notional Amount
        
        2784.93000000
        0.000514848137
        N/A
        DIR
        
        XX
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                EUR - 1D Effective Overnight Index Average (EONIA)
                EONIA Index
              
            
            Y
            
            
              
                
              
            
            2023-06-07
            0.00000000
            EUR
            -160.11000000
            EUR
            2660000.00000000
            EUR
            2964.92000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.059500 15-NOV-2027
        000000000
        
          
        
        5500000.00000000
        OU
        Notional Amount
        USD
        -1057988.33000000
        -0.19558959171
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2027-11-15
            0.00000000
            USD
            -88.11000000
            USD
            5500000.00000000
            USD
            -1057900.22000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        ESTX BANKS (EUR) PR SEP20 80 CALL
        000000000
        
          
        
        -344.00000000
        NC
        
        -14010.04000000
        -0.00259002668
        N/A
        DE
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Call
            Written
            
              
                DJ Euro STOXX Banks Index
                SX7E Index
              
            
            50.00000000
            80.00000000
            EUR
            2020-09-18
            XXXX
            -543.31000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        000000000
        
          
        
        100000.00000000
        PA
        
        119380.37000000
        0.022069768790
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-04-14
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERLF5
        
          
        
        46397.92000000
        PA
        USD
        50155.13000000
        0.009272145184
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CA5
        
          
        
        25000.00000000
        PA
        USD
        29966.69000000
        0.005539921845
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.760000 02-JUL-2024
        000000000
        
          
        
        798000.00000000
        OU
        Notional Amount
        USD
        51760.46000000
        0.009568921462
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2024-07-02
            11.65000000
            USD
            0.00000000
            USD
            798000.00000000
            USD
            51748.81000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        1139.43000000
        0.000210645658
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            3982020.00000000
            RUB
            57000.00000000
            USD
            2020-07-15
            1139.43000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132WJMB4
        
          
        
        18110.17000000
        PA
        USD
        19582.40000000
        0.003620185130
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        INVESCO QQQ TRUST SERIES 1 SEP20 226 CALL
        000000000
        
          
        
        -32.00000000
        NC
        USD
        -88768.00000000
        -0.01641048051
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Invesco QQQ Trust Series 1
                Invesco QQQ Trust Series 1
                
                  
                  
                
              
            
            100.00000000
            226.00000000
            USD
            2020-09-18
            XXXX
            -44292.16000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFM6
        
          
        
        10000.00000000
        PA
        USD
        11043.55000000
        0.002041613668
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-22
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Avenue Trust
        N/A
        MAD Mortgage Trust 2017-330M
        55282MAJ3
        
          
        
        110000.00000000
        PA
        USD
        110133.73000000
        0.020360348666
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-08-15
          Variable
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        BRW5KU112 EUR CALL USD PUT SEP20 1.175 CALL
        000000000
        
          
        
        -880000.00000000
        OU
        Notional Amount
        
        -1552.23000000
        -0.00028695971
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            Call
            Written
            
              
                
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    -1552.23000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  880000.00000000
                  EUR
                  1034000.00000000
                  USD
                  2020-09-04
                
              
            
            1.00000000
            1.17500000
            EUR
            2020-09-04
            XXXX
            112.68000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2016-2 B PTT
        N/A
        United Airlines 2016-2 Class B Pass Through Trust
        90933JAA9
        
          
        
        4715.28000000
        PA
        USD
        3452.16000000
        0.000638198499
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-07
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DHH8
        
          
        
        75586.59000000
        PA
        USD
        79662.48000000
        0.014727149152
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITAU UNIBANCO HLDG SA/KY
        5493002W2IVG62O3ZJ94
        Itau Unibanco Holding SA/Cayman Island
        46556LAJ3
        
          
        
        200000.00000000
        PA
        USD
        208980.00000000
        0.038633992187
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2023-05-13
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR PRODUCTS & CHEMICALS
        7QEON6Y1RL5XR3R1W237
        Air Products and Chemicals Inc
        009158BA3
        
          
        
        15000.00000000
        PA
        USD
        15759.53000000
        0.002913453722
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138X0AU2
        
          
        
        25369.47000000
        PA
        USD
        27998.81000000
        0.005176121192
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.990000 28-JUN-2029
        000000000
        
          
        
        1654000.00000000
        OU
        Notional Amount
        USD
        207459.50000000
        0.038352898374
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2029-06-28
            30.81000000
            USD
            0.00000000
            USD
            1654000.00000000
            USD
            207428.69000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128283R9
        
          
        
        311895.00000000
        PA
        USD
        341898.91000000
        0.063206621771
        Long
        DBT
        UST
        US
        N
        
        2
        
          2028-01-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5788.41000000
        0.001070099467
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            1100000.00000000
            USD
            32183000.00000000
            TWD
            2020-09-16
            5788.41000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132HPPT5
        
          
        
        12767.03000000
        PA
        USD
        13825.13000000
        0.002555842494
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-11-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK TSY 1.75% 2022
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        200000.00000000
        PA
        
        257740.90000000
        0.047648387008
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2022-09-07
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -827.46000000
        -0.00015297197
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            298000.00000000
            USD
            1616054.00000000
            BRL
            2020-07-02
            -827.46000000
          
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBR0
        
          
        
        300000.00000000
        PA
        USD
        308969.08000000
        0.057118906224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4117.89000000
        -0.00076127155
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            1280764.12000000
            USD
            1136000.00000000
            EUR
            2020-07-15
            -4117.89000000
          
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NBY6
        
          
        
        66000.00000000
        PA
        USD
        74009.02000000
        0.013681997801
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        222000.00000000
        PA
        
        269370.26000000
        0.049798298977
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2030-05-26
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2018-IND
        056059AJ7
        
          
        
        700000.00000000
        PA
        USD
        690818.59000000
        0.127711168575
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-15
          Floating
          1.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DAT6
        
          
        
        57000.00000000
        PA
        USD
        66314.93000000
        0.012259596552
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-09-20
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513EAC5
        
          
        
        63000.00000000
        PA
        USD
        66955.54000000
        0.012378025692
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-07-01
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP /  CAYMN FI
        549300WV6GIDOZJTV909
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAM1
        
          
        
        127000.00000000
        PA
        USD
        131705.75000000
        0.024348353510
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XQM73
        
          
        
        2875.52000000
        PA
        USD
        3051.85000000
        0.000564193458
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT
        4BFD7AQU0A75QLAHK410
        Canadian Government Bond
        135087ZS6
        
          
        
        140000.00000000
        PA
        
        161497.05000000
        0.029855851124
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2045-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WESF7
        
          
        
        34809.93000000
        PA
        USD
        39365.57000000
        0.007277486476
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J6D20
        
          
        
        65479.82000000
        PA
        USD
        74286.37000000
        0.013733271309
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AV0
        
          
        
        50000.00000000
        PA
        USD
        60854.18000000
        0.011250071368
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-07-01
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XSPZ4
        
          
        
        414.01000000
        PA
        USD
        440.87000000
        0.000081503340
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBE4
        
          
        
        10000.00000000
        PA
        USD
        12062.04000000
        0.002229901230
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-05-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556CG5
        
          
        
        234000.00000000
        PA
        USD
        290028.02000000
        0.053617285189
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLN 15-2 AA PTT
        N/A
        American Airlines 2015-2 Class AA Pass Through Trust
        02377BAB2
        
          
        
        10537.11000000
        PA
        USD
        9740.47000000
        0.001800714144
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-22
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132XWEV9
        
          
        
        354728.08000000
        PA
        USD
        384161.26000000
        0.071019634020
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERBP4
        
          
        
        15818.48000000
        PA
        USD
        17198.28000000
        0.003179434468
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        44106.87000000
        0.008154007421
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            71124545.10000000
            ZAR
            4137000.00000000
            USD
            2020-07-15
            44106.87000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TNS0
        
          
        
        52854.68000000
        PA
        USD
        56618.20000000
        0.010466968592
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032674
        
          
        
        5541995.00000000
        PA
        USD
        5828836.52000000
        1.077573091087
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -11170.65000000
        -0.00206511055
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            3826000.00000000
            EUR
            4294528.52000000
            USD
            2020-09-16
            -11170.65000000
          
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBE9
        
          
        
        169000.00000000
        PA
        USD
        186910.08000000
        0.034553940905
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-11
          Fixed
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications Inc
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044CG0
        
          
        
        30000.00000000
        PA
        USD
        33174.51000000
        0.006132949373
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOTABILITY OPERATIONS GR
        AZ3NL8JCZDCNUXFWI720
        Motability Operations Group PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        111810.23000000
        0.020670282095
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-01-03
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022477
        
          
        
        1168000.00000000
        PA
        USD
        1222841.26000000
        0.226065842115
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        280 Park Avenue Mortgage Trust
        N/A
        280 Park Avenue 2017-280P Mortgage Trust
        90205FAN0
        
          
        
        350000.00000000
        PA
        USD
        330799.21000000
        0.061154627690
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-15
          Floating
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MDGH - GMTN BV
        213800L53ZH5KG593W13
        MDGH - GMTN BV
        55276VAJ1
        
          
        
        400000.00000000
        PA
        USD
        419250.00000000
        0.077506465808
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-11-07
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WD6X4
        
          
        
        1708.96000000
        PA
        USD
        1813.51000000
        0.000335262375
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        000000000
        
          
        
        285000.00000000
        PA
        
        361469.38000000
        0.066824601411
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-20
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Steele Creek CLO Ltd
        N/A
        Steele Creek Clo 2017-1 Ltd
        85816VAA4
        
          
        
        400000.00000000
        PA
        USD
        388072.88000000
        0.071742772581
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-15
          Floating
          2.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903BE2
        
          
        
        81000.00000000
        PA
        USD
        84046.83000000
        0.015537680991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417EWG2
        
          
        
        177802.33000000
        PA
        USD
        192260.53000000
        0.035543075002
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        903724AS1
        
          
        
        250000.00000000
        PA
        USD
        260625.00000000
        0.048181568637
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2025-09-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP World PLC
        549300M3U2DNF4QVSS04
        DP World PLC
        000000000
        
          
        
        400000.00000000
        PA
        USD
        486500.00000000
        0.089938928123
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2037-07-02
          Fixed
          6.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        BRW56KBP6 USD CALL ZAR PUT JUL20 19 CALL
        000000000
        
          
        
        -1214000.00000000
        OU
        Notional Amount
        USD
        -1777.30000000
        -0.00032856825
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -1777.30000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1214000.00000000
                  USD
                  23066000.00000000
                  ZAR
                  2020-07-23
                
              
            
            1.00000000
            19.00000000
            USD
            2020-07-23
            XXXX
            10143.69000000
          
        
        
          N
          N
          N
        
      
      
        DIGICEL INTL FINANCE LTD
        N/A
        Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd
        25381XAB9
        
          
        
        60593.00000000
        PA
        USD
        51352.57000000
        0.009493515112
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-12-31
          Fixed
          13.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        280000.00000000
        PA
        
        334300.89000000
        0.061801980919
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2026-07-23
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GTC96
        
          
        
        883.25000000
        PA
        USD
        955.29000000
        0.000176603820
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-05-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST SEP20 230 CALL
        000000000
        
          
        
        -25.00000000
        NC
        USD
        -200825.00000000
        -0.03712638281
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            230.00000000
            USD
            2020-09-30
            XXXX
            -146054.04000000
          
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AV8
        
          
        
        203000.00000000
        PA
        USD
        238525.00000000
        0.044095956486
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-30
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MDYY2
        
          
        
        64242.17000000
        PA
        USD
        69865.46000000
        0.012915980647
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP World Crescent Ltd
        21380096JRTWB8TL9236
        DP World Crescent Ltd
        000000000
        
          
        
        219000.00000000
        PA
        USD
        227486.25000000
        0.042055230190
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-05-31
          Fixed
          3.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IBM CORP
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp
        459200KH3
        
          
        
        156000.00000000
        PA
        USD
        159322.38000000
        0.029453821342
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OMNICOM GP/OMNICOM CAP
        HKUPACFHSSASQK8HLS17
        Omnicom Group Inc / Omnicom Capital Inc
        681919BA3
        
          
        
        10000.00000000
        PA
        USD
        11004.97000000
        0.002034481409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.080000 04-DEC-2023
        000000000
        
          
        
        2986000.00000000
        OU
        Notional Amount
        USD
        295748.20000000
        0.054674771022
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2023-12-04
            38.10000000
            USD
            0.00000000
            USD
            2986000.00000000
            USD
            295710.10000000
          
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV SA/
        5493008H3828EMEXB082
        Anheuser-Busch InBev SA/NV
        000000000
        
          
        
        230000.00000000
        PA
        
        312928.33000000
        0.057850850112
        Long
        DBT
        CORP
        BE
        N
        
        2
        
          2040-04-02
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST AUG20 245 PUT
        000000000
        
          
        
        -68.00000000
        NC
        USD
        -9112.00000000
        -0.00168452931
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            245.00000000
            USD
            2020-08-21
            XXXX
            1800.53000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWP: IFS 1.917500 12-DEC-2029
        000000000
        
          
        
        115000.00000000
        OU
        Notional Amount
        USD
        -5778.80000000
        -0.00106832287
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                USD - US CPI Urban Consumers NAS (CPURNSA)
                CPURNSA Index
              
            
            Y
            
              
                
              
            
            
            2029-12-12
            0.00000000
            USD
            -4.69000000
            USD
            115000.00000000
            USD
            -5774.11000000
          
        
        
          N
          N
          N
        
      
      
        US Bancorp
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        000000000
        
          
        
        100000.00000000
        PA
        
        113906.00000000
        0.021057725687
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-07
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AV2
        
          
        
        135000.00000000
        PA
        USD
        151798.35000000
        0.028062858971
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2030-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RBW8
        
          
        
        58740.15000000
        PA
        USD
        62522.20000000
        0.011558437105
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-04-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISTRA OPERATIONS CO LLC
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAD4
        
          
        
        191000.00000000
        PA
        USD
        197126.33000000
        0.036442612178
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ODEBRECHT DRILL VIII/IX
        549300YNW6BY570L6488
        Odebrecht Drilling Norbe VIII/IX Ltd
        675757AB4
        
          
        
        55504.52000000
        PA
        USD
        47040.08000000
        0.008696267983
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2021-12-01
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        BRW56KAT9 USD CALL ZAR PUT JUL20 18 CALL
        000000000
        
          
        
        1214000.00000000
        OU
        Notional Amount
        USD
        7582.64000000
        0.001401797562
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    7582.64000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  21852000.00000000
                  ZAR
                  1214000.00000000
                  USD
                  2020-07-23
                
              
            
            1.00000000
            18.00000000
            USD
            2020-07-23
            XXXX
            -20535.79000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TLT0
        
          
        
        107418.35000000
        PA
        USD
        115395.77000000
        0.021333138466
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        FSWP: USD 1.280000 29-NOV-2024
        000000000
        
          
        
        5130000.00000000
        OU
        Notional Amount
        USD
        228349.04000000
        0.042214733598
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2024-11-29
            82.32000000
            USD
            0.00000000
            USD
            5130000.00000000
            USD
            228266.72000000
          
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        000000000
        
          
        
        495000.00000000
        PA
        
        564702.28000000
        0.104396131083
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-24
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST SEP20 253 PUT
        000000000
        
          
        
        -15.00000000
        NC
        USD
        -5992.50000000
        -0.00110782944
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            253.00000000
            USD
            2020-09-30
            XXXX
            32491.45000000
          
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAA0
        
          
        
        500000.00000000
        PA
        USD
        516987.40000000
        0.095575113276
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-05-22
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJC97
        
          
        
        26871.68000000
        PA
        USD
        28633.51000000
        0.005293457754
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6255.67000000
        -0.00115648150
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            651000.00000000
            USD
            529425750.00000000
            CLP
            2020-07-15
            -6255.67000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRTW17135 SWAPTION AUG20 2.08 PUT
        000000000
        
          
        
        4248410.00000000
        OU
        Notional Amount
        USD
        6.08000000
        0.000001124005
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    4248410.00000000
                    OU
                    Notional Amount
                    N/A
                    6.08000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-08-17
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4248410.00000000
                  USD
                
              
            
            1.00000000
            2.08000000
            USD
            2020-08-13
            XXXX
            -36556.12000000
          
        
        
          N
          N
          N
        
      
      
        BROOKFIELD PPTY REIT INC
        N/A
        Brookfield Property REIT Inc / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL
        11284DAA3
        
          
        
        24000.00000000
        PA
        USD
        20280.00000000
        0.003749149973
        Long
        DBT
        
        US
        N
        
        2
        
          2026-05-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        BRW5JPJ32 USD CALL BRL PUT JUL20 5.35 CALL
        000000000
        
          
        
        -1518000.00000000
        OU
        Notional Amount
        USD
        -30080.69000000
        -0.00556099694
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            Call
            Written
            
              
                
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -30080.69000000
                    -0.01000000
                    DFE
                    
                    XX
                  
                  1518000.00000000
                  USD
                  8121300.00000000
                  BRL
                  2020-07-02
                
              
            
            1.00000000
            5.35000000
            USD
            2020-07-02
            XXXX
            -5261.39000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJXW3
        
          
        
        33314.74000000
        PA
        USD
        36151.08000000
        0.006683225869
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Danske Bank A/S
        MAES062Z21O4RZ2U7M96
        Danske Bank A/S
        23636AAT8
        
          
        
        205000.00000000
        PA
        USD
        228128.62000000
        0.042173984700
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2024-01-12
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638DF6
        
          
        
        25000.00000000
        PA
        USD
        26668.75000000
        0.004930233893
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2031-01-23
          Fixed
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OWENS-BROCKWAY
        V2UQUCDZJ9WY98W8QU33
        Owens-Brockway Glass Container Inc
        69073TAR4
        
          
        
        17000.00000000
        PA
        USD
        17510.00000000
        0.003237061935
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WRKU3
        
          
        
        2789.95000000
        PA
        USD
        3050.99000000
        0.000564034471
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L8HE0
        
          
        
        103892.89000000
        PA
        USD
        113505.16000000
        0.020983622665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERA91
        
          
        
        8885.21000000
        PA
        USD
        9687.42000000
        0.001790906826
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING Groep NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        000000000
        
          
        
        200000.00000000
        PA
        
        229244.24000000
        0.042380228620
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2023-09-20
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7VU6
        
          
        
        31557.50000000
        PA
        USD
        35015.09000000
        0.006473216161
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WH Group Ltd
        254900A4AYEDRWYSE928
        WH Group Ltd
        000000000
        
          
        
        52000.00000000
        NS
        
        44938.08000000
        0.008307672655
        Long
        EC
        CORP
        KY
        
        N
        
        2
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BA2
        
          
        
        101000.00000000
        PA
        USD
        113685.09000000
        0.021016886203
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SLR6
        
          
        
        248222.41000000
        PA
        USD
        263946.91000000
        0.048795687907
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-09-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KeyCorp
        RKPI3RZGV1V1FJTH5T61
        KeyCorp
        49326EEH2
        
          
        
        6000.00000000
        PA
        USD
        6879.26000000
        0.001271764174
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-29
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132WJUD1
        
          
        
        6833.54000000
        PA
        USD
        7431.82000000
        0.001373915569
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J6DG9
        
          
        
        25922.56000000
        PA
        USD
        28432.72000000
        0.005256337842
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -4333.75000000
        -0.00080117745
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            27870000.00000000
            CNY
            3921706.58000000
            USD
            2020-09-16
            -4333.75000000
          
        
        
          N
          N
          N
        
      
      
        SUEZ
        549300JQIZM6CL7POC81
        Suez SA
        000000000
        
          
        
        300000.00000000
        PA
        
        342011.24000000
        0.063227388143
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2035-05-14
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intel Corp
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140100
        
          
        
        500.00000000
        NS
        USD
        29915.00000000
        0.005530365950
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.390000 31-OCT-2027
        000000000
        
          
        
        1300000.00000000
        OU
        Notional Amount
        USD
        -191267.52000000
        -0.03535949791
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2027-10-29
            0.00000000
            USD
            -3509.23000000
            USD
            1300000.00000000
            USD
            -187758.29000000
          
        
        
          N
          N
          N
        
      
      
        MDGH - GMTN BV
        213800L53ZH5KG593W13
        MDGH - GMTN BV
        55276VAH5
        
          
        
        1175000.00000000
        PA
        USD
        1210250.00000000
        0.223738104339
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-11-07
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLIED MATERIALS INC
        41BNNE1AFPNAZELZ6K07
        Applied Materials Inc
        038222AN5
        
          
        
        194000.00000000
        PA
        USD
        198273.11000000
        0.036654616627
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENGIE SA
        LAXUQCHT4FH58LRZDY46
        Engie SA
        000000000
        
          
        
        35000.00000000
        PA
        
        41299.15000000
        0.007634946111
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2022-07-20
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WKK95
        
          
        
        15662.48000000
        PA
        USD
        16603.14000000
        0.003069411336
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic Services Inc
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759AR1
        
          
        
        144000.00000000
        PA
        USD
        157324.27000000
        0.029084432089
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED AUD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        N/A
        21278.72000000
        0.003933782669
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            139174487.00000000
            JPY
            1900000.00000000
            AUD
            2020-09-16
            21278.72000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L7ZS1
        
          
        
        13729.47000000
        PA
        USD
        15003.04000000
        0.002773601924
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PUMA INTERNATIONAL FINAN
        222100YFBPO7IDRUBR17
        Puma International Financing SA
        000000000
        
          
        
        697000.00000000
        PA
        USD
        597677.50000000
        0.110492237848
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-10-06
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: MXN 5.960000 02-MAY-2030
        000000000
        
          
        
        15164000.00000000
        OU
        Notional Amount
        
        16006.73000000
        0.002959153420
        N/A
        DIR
        
        MX
        
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                MXN - 28D Mexican Interbank Rate (TIIE)
                MXIBTIIE Index
              
            
            Y
            
            
              
                
              
            
            2030-05-06
            311.20000000
            MXN
            0.00000000
            MXN
            15164000.00000000
            MXN
            15993.51000000
          
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556BZ4
        
          
        
        85000.00000000
        PA
        USD
        91785.93000000
        0.016968403208
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tenet Healthcare Corp
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GCX6
        
          
        
        35000.00000000
        PA
        USD
        34737.50000000
        0.006421898285
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2351.28000000
        -0.00043467955
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            167000.00000000
            USD
            3790816.83000000
            MXN
            2020-07-15
            -2351.28000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: CHF -0.623750 07-JUN-2023
        000000000
        
          
        
        2770768.00000000
        OU
        Notional Amount
        
        -1470.66000000
        -0.00027187992
        N/A
        DIR
        
        CH
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CHF - 6M Swiss Franc LIBOR Rate BBA (SF0006M)
                SF0006M Index
              
            
            Y
            
            
              
                
              
            
            2023-06-07
            47.79000000
            CHF
            0.00000000
            CHF
            2770768.00000000
            CHF
            -1520.31000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        1922.84000000
        0.000355474138
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            522477.20000000
            BRL
            98000.00000000
            USD
            2020-07-02
            1922.84000000
          
        
        
          N
          N
          N
        
      
      
        INTERPUBLIC GROUP COS
        5493008IUOJ5VWTRC333
        Interpublic Group of Cos Inc/The
        460690BH2
        
          
        
        287000.00000000
        PA
        USD
        299263.73000000
        0.055324684691
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Transcanada Trust
        N/A
        Transcanada Trust
        89356BAB4
        
          
        
        2000.00000000
        PA
        USD
        2114.51000000
        0.000390908042
        Long
        SN
        CORP
        CA
        N
        
        2
        
          2076-08-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWP: IFS 3.480500 15-JAN-2030
        000000000
        
          
        
        270000.00000000
        OU
        Notional Amount
        
        9593.24000000
        0.001773495833
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
            
              
                
              
            
            2030-01-15
            11.02000000
            GBP
            0.00000000
            GBP
            270000.00000000
            GBP
            9578.88000000
          
        
        
          N
          N
          N
        
      
      
        Berry Global Inc
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        085770AB1
        
          
        
        11000.00000000
        PA
        USD
        11275.00000000
        0.002084401674
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.270000 20-NOV-2048
        000000000
        
          
        
        575000.00000000
        OU
        Notional Amount
        USD
        354977.52000000
        0.065624455614
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2048-11-20
            15.25000000
            USD
            0.00000000
            USD
            575000.00000000
            USD
            354962.27000000
          
        
        
          N
          N
          N
        
      
      
        York CLO Ltd
        5493009C48K5WG4EX118
        York CLO-2 Ltd
        98625TAJ4
        
          
        
        600000.00000000
        PA
        USD
        585655.80000000
        0.108269794246
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-22
          Floating
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.700000 13-MAR-2029
        000000000
        
          
        
        3842500.00000000
        OU
        Notional Amount
        USD
        738114.64000000
        0.136454757561
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2029-03-13
            69.03000000
            USD
            0.00000000
            USD
            3842500.00000000
            USD
            738045.61000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J5WH8
        
          
        
        12600.58000000
        PA
        USD
        13494.75000000
        0.002494765365
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLP CAPITAL LP / FIN II
        5493006GWRDBCZYWTM57
        GLP Capital LP / GLP Financing II Inc
        361841AK5
        
          
        
        216000.00000000
        PA
        USD
        237967.20000000
        0.043992836375
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        BRW690QF1 GBP CALL USD PUT SEP20 1.2955 CALL
        000000000
        
          
        
        3260000.00000000
        OU
        Notional Amount
        
        15131.85000000
        0.002797414942
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              DEUTSCHE BANK AG
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AG
                    7LTWFZYICNSX8D621K86
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    15131.85000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  4223330.00000000
                  USD
                  3260000.00000000
                  GBP
                  2020-09-25
                
              
            
            1.00000000
            1.29550000
            GBP
            2020-09-25
            XXXX
            -6480.73000000
          
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BN5
        
          
        
        11000.00000000
        PA
        USD
        12354.02000000
        0.002283879376
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST DEC20 290 CALL
        000000000
        
          
        
        45.00000000
        NC
        USD
        152302.50000000
        0.028156060843
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            290.00000000
            USD
            2020-12-18
            XXXX
            97418.45000000
          
        
        
          N
          N
          N
        
      
      
        SKANDINAVISKA ENSKILDA
        F3JS33DEI6XQ4ZBPTN86
        Skandinaviska Enskilda Banken AB
        000000000
        
          
        
        300000.00000000
        PA
        
        334723.55000000
        0.061880117789
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2029-11-12
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BN8
        
          
        
        39000.00000000
        PA
        USD
        43348.55000000
        0.008013817312
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Avenue Trust
        N/A
        MAD Mortgage Trust 2017-330M
        55282MAL8
        
          
        
        130000.00000000
        PA
        USD
        128029.66000000
        0.023668757221
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-08-15
          Variable
          4.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        iShares JP Morgan USD Emerging Markets Bond ETF
        549300LRIF3NWCU26A80
        iShares JP Morgan USD Emerging Markets Bond ETF
        464288281
        
          
        
        17451.00000000
        NS
        USD
        1905998.22000000
        0.352360610300
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Analog Devices Inc
        GYVOE5EZ4GDAVTU4CQ61
        Analog Devices Inc
        032654AJ4
        
          
        
        109000.00000000
        PA
        USD
        124084.08000000
        0.022939340498
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KIMBERLY-CLARK CORP
        MP3J6QPYPGN75NVW2S34
        Kimberly-Clark Corp
        494368CB7
        
          
        
        128000.00000000
        PA
        USD
        145751.31000000
        0.026944946750
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-26
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.720000 05-JUL-2024
        000000000
        
          
        
        2320000.00000000
        OU
        Notional Amount
        USD
        146649.51000000
        0.027110996380
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2024-07-05
            34.05000000
            USD
            0.00000000
            USD
            2320000.00000000
            USD
            146615.46000000
          
        
        
          N
          N
          N
        
      
      
        BALTIMORE GAS & ELECTRIC
        88V8C2WYSOD1SPSSLH72
        Baltimore Gas and Electric Co
        059165EL0
        
          
        
        21000.00000000
        PA
        USD
        22350.92000000
        0.004131999562
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-09-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJC71
        
          
        
        35570.88000000
        PA
        USD
        37777.03000000
        0.006983814153
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-10-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.010000 06-SEP-2029
        000000000
        
          
        
        2957500.00000000
        OU
        Notional Amount
        USD
        -399076.07000000
        -0.07377692492
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2029-09-06
            0.00000000
            USD
            -56.22000000
            USD
            2957500.00000000
            USD
            -399019.85000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        JOHNSON + JOHNSON SEP20 165 CALL
        000000000
        
          
        
        -2.00000000
        NC
        USD
        -84.00000000
        -0.00001552902
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Johnson & Johnson
                Johnson & Johnson
                
                  
                  
                
              
            
            100.00000000
            165.00000000
            USD
            2020-09-18
            XXXX
            182.01000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        34.19000000
        0.000006320682
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            50000.00000000
            USD
            47298.52000000
            CHF
            2020-09-16
            34.19000000
          
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBJ8
        
          
        
        13000.00000000
        PA
        USD
        14738.79000000
        0.002724750204
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-05-30
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828YL8
        
          
        
        3516281.77000000
        PA
        USD
        3682665.37000000
        0.680811872587
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-10-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAIMLER FINANCE NA LLC
        549300423Z16BB673J12
        Daimler Finance North America LLC
        233851DB7
        
          
        
        850000.00000000
        PA
        USD
        860220.45000000
        0.159028376613
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2021-02-22
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022683
        
          
        
        10038000.00000000
        PA
        USD
        10448341.90000000
        1.931577946865
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417AYD5
        
          
        
        67876.93000000
        PA
        USD
        74569.53000000
        0.013785618908
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        FSWP: IFS 3.505000 15-DEC-2024
        000000000
        
          
        
        550000.00000000
        OU
        Notional Amount
        
        -23383.86000000
        -0.00432295848
        N/A
        DO
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                GBP - UK Retail Price Index All Items Monthly (UKRPI)
                UKRPI Index
              
            
            Y
            
              
                
              
            
            
            2024-12-16
            0.00000000
            GBP
            -19.84000000
            GBP
            550000.00000000
            GBP
            -23357.69000000
          
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        90000.00000000
        PA
        
        69395.24000000
        0.012829051392
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2028-05-21
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VanEck Vectors Gold Miners ETF
        54930031TORTKAM9TJ98
        VanEck Vectors Gold Miners ETF
        92189F106
        
          
        
        3001.00000000
        NS
        USD
        110076.68000000
        0.020349801871
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HRS1
        
          
        
        83000.00000000
        PA
        USD
        92126.25000000
        0.017031317938
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST SEP20 265 PUT
        000000000
        
          
        
        -20.00000000
        NC
        USD
        -9670.00000000
        -0.00178768640
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            265.00000000
            USD
            2020-09-18
            XXXX
            2284.95000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TAL9
        
          
        
        95549.90000000
        PA
        USD
        102644.34000000
        0.018975790169
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        220000.00000000
        PA
        
        193922.57000000
        0.035850335220
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2027-04-21
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHD4
        
          
        
        63000.00000000
        PA
        USD
        70172.68000000
        0.012972776202
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-20
          Fixed
          3.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        4160.97000000
        0.000769235728
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            34250846.00000000
            RUB
            481389.26000000
            USD
            2020-09-16
            4160.97000000
          
        
        
          N
          N
          N
        
      
      
        Aon Corp
        LTS3U8DGK38SETRUWX71
        Aon Corp
        037389BC6
        
          
        
        356000.00000000
        PA
        USD
        407608.39000000
        0.075354289189
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-02
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILTON DOMESTIC OPERATIN
        5493003EG7H0N1E4XV50
        Hilton Domestic Operating Co Inc
        432833AF8
        
          
        
        24000.00000000
        PA
        USD
        23640.00000000
        0.004370310916
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST JUL20 265 PUT
        000000000
        
          
        
        -102.00000000
        NC
        USD
        -5253.00000000
        -0.00097111858
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            265.00000000
            USD
            2020-07-17
            XXXX
            21974.37000000
          
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        08576PAA9
        
          
        
        11000.00000000
        PA
        USD
        10836.87000000
        0.002003404875
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMKY6
        
          
        
        1160.56000000
        PA
        USD
        1256.36000000
        0.000232262429
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWAP/CDSWAP/SCDS: (SOAF)
        000000000
        
          
        
        772155.00000000
        OU
        Notional Amount
        USD
        72240.09000000
        0.013354976900
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                Republic of South Africa Government International Bond
                Republic of South Africa Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            67231.91000000
            USD
            0.00000000
            USD
            772155.00000000
            USD
            5008.18000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J8FD0
        
          
        
        14339.41000000
        PA
        USD
        16049.85000000
        0.002967124985
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWISSCOM FINANCE
        549300L41E8X8K71RV25
        Swisscom Finance BV
        000000000
        
          
        
        180000.00000000
        PA
        
        203023.47000000
        0.037532812488
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-11-14
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DAS8
        
          
        
        119000.00000000
        PA
        USD
        140845.77000000
        0.026038062866
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-09-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT SEP20 XCBT 20200921
        000000000
        
          
        
        201.00000000
        NC
        USD
        207284.12000000
        0.038320475991
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US 10 Year Ultra Bond
                UXYU0 Comdty
              
            
            2020-09-21
            31447075.26000000
            USD
            207284.12000000
          
        
        
          N
          N
          N
        
      
      
        Arab Republic of Egypt
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        697000.00000000
        PA
        
        705260.71000000
        0.130381073596
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2030-04-16
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCK FIN SERVICES GMBH
        549300OELEN3ZS5RB682
        Merck Financial Services GmbH
        000000000
        
          
        
        100000.00000000
        PA
        
        111729.78000000
        0.020655409357
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-07-16
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBQ1
        
          
        
        137000.00000000
        PA
        USD
        145440.80000000
        0.026887542975
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-21
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MFF94
        
          
        
        153465.10000000
        PA
        USD
        165796.65000000
        0.030650715287
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAL7
        
          
        
        264000.00000000
        PA
        USD
        308526.65000000
        0.057037114488
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-12-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VMF4
        
          
        
        154091.21000000
        PA
        USD
        164233.67000000
        0.030361768225
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132WJTW1
        
          
        
        15957.43000000
        PA
        USD
        17062.29000000
        0.003154294088
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140F9V93
        
          
        
        22748.60000000
        PA
        USD
        25715.90000000
        0.004754081154
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ELECTRICITE DE FRANCE SA
        549300X3UK4GG3FNMO06
        Electricite de France SA
        000000000
        
          
        
        300000.00000000
        PA
        
        330014.98000000
        0.061009647617
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2049-12-09
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        000000000
        
          
        
        300000.00000000
        PA
        
        334736.17000000
        0.061882450840
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2022-12-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMGEN INC
        62QBXGPJ34PQ72Z12S66
        Amgen Inc
        031162CT5
        
          
        
        141000.00000000
        PA
        USD
        148693.97000000
        0.027488954327
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-21
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SLS4
        
          
        
        152208.75000000
        PA
        USD
        163066.62000000
        0.030146016475
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-09-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank and Trust Company
        571474TGEMMWANRLN572
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3382.73000000
        -0.00062536302
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              State Street Bank and Trust Company
              571474TGEMMWANRLN572
            
            340000.00000000
            EUR
            305930.30000000
            GBP
            2020-09-16
            -3382.73000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        200875.00000000
        0.037135626283
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2032-09-25
          Fixed
          7.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCK KGAA
        529900OAREIS0MOPTW25
        Merck KGaA
        000000000
        
          
        
        200000.00000000
        PA
        
        233687.91000000
        0.043201726907
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2079-06-25
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERC73
        
          
        
        53704.08000000
        PA
        USD
        58102.04000000
        0.010741285096
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NBCUniversal Media LLC
        VTBDOQJ6KOGQ6K786R46
        NBCUniversal Media LLC
        63946BAF7
        
          
        
        2000.00000000
        PA
        USD
        3021.31000000
        0.000558547549
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-30
          Fixed
          6.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AM8
        
          
        
        267000.00000000
        PA
        USD
        305162.03000000
        0.056415099449
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WFB54
        
          
        
        29310.02000000
        PA
        USD
        32537.79000000
        0.006015239375
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Florida LLC
        7MOHLM3DKE63RX2ZCN83
        Duke Energy Florida LLC
        26444HAA9
        
          
        
        57000.00000000
        PA
        USD
        63446.22000000
        0.011729260062
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-10-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M7RW7
        
          
        
        15949.83000000
        PA
        USD
        17256.05000000
        0.003190114369
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLARIOS GLOBAL LP/US FIN
        N/A
        Clarios Global LP / Clarios US Finance Co
        69867DAA6
        
          
        
        13000.00000000
        PA
        USD
        13406.25000000
        0.002478404429
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-05-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        2020 CASH EXCH TRUST
        N/A
        2020 Cash Mandatory Exchangeable Trust
        901375105
        
          
        
        290.00000000
        NS
        USD
        299751.25000000
        0.055414812186
        Long
        EP
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        BRW4R83F4 SEP20 AAPL US CALL SEP20 370 CALL
        000000000
        
          
        
        -2500.00000000
        NC
        USD
        -47168.28000000
        -0.00871996823
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Call
            Written
            
              
                Apple Inc
                Apple Inc
                
                  
                  
                
              
            
            1.00000000
            370.00000000
            USD
            2020-09-18
            XXXX
            -39793.28000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ASWB4
        
          
        
        29319.35000000
        PA
        USD
        32167.46000000
        0.005946776717
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bausch Health Cos Inc
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        91831AAC5
        
          
        
        76000.00000000
        PA
        USD
        77084.52000000
        0.014250563419
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2025-04-15
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY PROGRESS INC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        144141DD7
        
          
        
        173000.00000000
        PA
        USD
        208277.26000000
        0.038504077115
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIEMENS FINANCIERINGSMAT
        TAFO772JB70PDRN5VS48
        Siemens Financieringsmaatschappij NV
        000000000
        
          
        
        615000.00000000
        PA
        
        739077.06000000
        0.136632679500
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2031-02-28
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: AUD 0.442500 16-MAY-2024
        000000000
        
          
        
        1434283.00000000
        OU
        Notional Amount
        
        1001.85000000
        0.000185211336
        N/A
        DIR
        
        AU
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                AUD - 3M Australian Bank Bill Rate (BBSW)
                AU1303M Index
              
            
            Y
            
            
              
                
              
            
            2024-05-16
            27.32000000
            AUD
            0.00000000
            AUD
            1434283.00000000
            AUD
            983.68000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        BRW61WNT2 EUR CALL USD PUT JUL20 1.135 CALL
        000000000
        
          
        
        9544329.00000000
        OU
        Notional Amount
        
        25059.77000000
        0.004632782842
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            Call
            Purchased
            
              
                
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS SA
                    R0MUWSFPU8MPRO8K5P83
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    25059.77000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  10832813.42000000
                  USD
                  9544329.00000000
                  EUR
                  2020-07-16
                
              
            
            1.00000000
            1.13500000
            EUR
            2020-07-16
            XXXX
            -26790.22000000
          
        
        
          N
          N
          N
        
      
      
        Sempra Energy
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BD0
        
          
        
        134000.00000000
        PA
        USD
        134022.91000000
        0.024776725322
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-01-15
          Floating
          1.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aon PLC
        635400FALWQYX5E6QC64
        Aon PLC
        00185AAH7
        
          
        
        2000.00000000
        PA
        USD
        2502.47000000
        0.000462629947
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2045-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        000000000
        
          
        
        750000.00000000
        PA
        
        836067.37000000
        0.154563212942
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-26
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ET5N2
        
          
        
        21665.99000000
        PA
        USD
        23658.94000000
        0.004373812341
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        254900HROIFWPRGM1V77
        Freddie Mac Gold Pool
        3132QTHA7
        
          
        
        6568.73000000
        PA
        USD
        7158.33000000
        0.001323355657
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        000000000
        
          
        
        100000.00000000
        PA
        
        109375.91000000
        0.020220250992
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-12
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        2939.51000000
        0.000543425238
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            15779886.50000000
            ZAR
            911000.00000000
            USD
            2020-07-15
            2939.51000000
          
        
        
          N
          N
          N
        
      
      
        Rockford Tower CLO Ltd
        N/A
        Rockford Tower CLO 2017-1 Ltd
        77340FAA1
        
          
        
        400000.00000000
        PA
        USD
        296048.32000000
        0.054730254005
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-15
          Floating
          6.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        MARVELL TECHNOLOGY GROUP LTD AUG20 35 CALL
        000000000
        
          
        
        -11.00000000
        NC
        USD
        -2469.50000000
        -0.00045653480
        N/A
        DE
        
        BM
        
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                Marvell Technology Group Ltd
                Marvell Technology Group Ltd
                
                  
                
              
            
            100.00000000
            35.00000000
            USD
            2020-08-21
            XXXX
            -1710.40000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED USD / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        
        577.96000000
        0.000106847076
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            200000.00000000
            PLN
            51142.19000000
            USD
            2020-09-16
            577.96000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.130000 04-JAN-2029
        000000000
        
          
        
        8275000.00000000
        OU
        Notional Amount
        USD
        1896486.27000000
        0.350602142495
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2029-01-04
            146.06000000
            USD
            0.00000000
            USD
            8275000.00000000
            USD
            1896340.21000000
          
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348AX4
        
          
        
        64000.00000000
        PA
        USD
        77911.88000000
        0.014403516907
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sirius XM Radio Inc
        WP5O65E6BMU84LNO4227
        Sirius XM Radio Inc
        82967NBA5
        
          
        
        35000.00000000
        PA
        USD
        35772.45000000
        0.006613228796
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SERVICE PROPERTIES TRUST
        N/A
        Service Properties Trust
        44106MAQ5
        
          
        
        320000.00000000
        PA
        USD
        314247.09000000
        0.058094648387
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)
        000000000
        
          
        
        70000.00000000
        OU
        Notional Amount
        USD
        -13573.44000000
        -0.00250931273
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            
            sell protection
            2058-09-18
            0.00000000
            USD
            -355.85000000
            USD
            70000.00000000
            USD
            -13217.59000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2018-IND
        056059AG3
        
          
        
        700000.00000000
        PA
        USD
        691239.99000000
        0.127789072510
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-15
          Floating
          1.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARSH & MCLENNAN COS INC
        549300XMP3KDCKJXIU47
        Marsh & McLennan Cos Inc
        571748AV4
        
          
        
        336000.00000000
        PA
        USD
        368215.77000000
        0.068071801997
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-03
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW4QNC88 USD PUT MXN CALL AUG20 23 PUT
        000000000
        
          
        
        -1191000.00000000
        OU
        Notional Amount
        USD
        -25233.72000000
        -0.00466494086
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -25233.72000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  1191000.00000000
                  USD
                  27393000.00000000
                  MXN
                  2020-08-06
                
              
            
            1.00000000
            23.00000000
            USD
            2020-08-06
            XXXX
            -11240.66000000
          
        
        
          N
          N
          N
        
      
      
        INDUSTRIAS PENOLES SAB D
        549300WA2HB7776CB324
        Industrias Penoles SAB de CV
        456472AB5
        
          
        
        504000.00000000
        PA
        USD
        524947.50000000
        0.097046691615
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2029-09-12
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        BRW2PX449 SWAPTION SEP20 0.675 CALL
        000000000
        
          
        
        -783499.00000000
        OU
        Notional Amount
        USD
        -9844.65000000
        -0.00181997383
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Call
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    MORGAN STANLEY & CO. INTERNATIONAL
                    4PQUHN3JPFGFNF3BB653
                    IRS Swap
                    N/A
                    
                      
                    
                    783499.00000000
                    OU
                    Notional Amount
                    N/A
                    -9844.65000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-09-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  783499.00000000
                  USD
                
              
            
            1.00000000
            0.67500000
            USD
            2020-09-10
            XXXX
            10330.45000000
          
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW5U20R7 NZD PUT JPY CALL SEP20 68 PUT
        000000000
        
          
        
        2851271.00000000
        OU
        Notional Amount
        
        23396.48000000
        0.004325291537
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    23396.48000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  2851271.00000000
                  NZD
                  193886428.00000000
                  JPY
                  2020-09-10
                
              
            
            1.00000000
            68.00000000
            NZD
            2020-09-10
            XXXX
            -9380.47000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 3.037000 16-FEB-2029
        000000000
        
          
        
        1435000.00000000
        OU
        Notional Amount
        USD
        -319201.58000000
        -0.05901058162
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              LCZ7XYGSLJUHFXXNXD88
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2029-02-16
            0.00000000
            USD
            -26.10000000
            USD
            1435000.00000000
            USD
            -319175.48000000
          
        
        
          N
          N
          N
        
      
      
        MATTAMY GROUP CORP
        5493008TNY7A82WCXU31
        Mattamy Group Corp
        57701RAJ1
        
          
        
        11000.00000000
        PA
        USD
        10945.00000000
        0.002023394796
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-12-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AL1
        
          
        
        25000.00000000
        PA
        USD
        26094.33000000
        0.004824041254
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTODESK INC
        FRKKVKAIQEF3FCSTPG55
        Autodesk Inc
        052769AG1
        
          
        
        247000.00000000
        PA
        USD
        271969.95000000
        0.050278901921
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHERN TRUST CORP
        549300GLF98S992BC502
        Northern Trust Corp
        665859AV6
        
          
        
        148000.00000000
        PA
        USD
        152729.75000000
        0.028235046264
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        US BANCORP SEP20 42.5 CALL
        000000000
        
          
        
        -10.00000000
        NC
        USD
        -1020.00000000
        -0.00018856671
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Written
            
              
                US Bancorp
                US Bancorp
                
                  
                  
                
              
            
            100.00000000
            42.50000000
            USD
            2020-09-18
            XXXX
            -539.91000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1870.34000000
        -0.00034576849
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            191194.11000000
            USD
            2790000000.00000000
            IDR
            2020-09-16
            -1870.34000000
          
        
        
          N
          N
          N
        
      
      
        Park Avenue Trust
        N/A
        245 Park Avenue Trust 2017-245P
        90187LAN9
        
          
        
        250000.00000000
        PA
        USD
        234160.53000000
        0.043289099849
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-05
          Variable
          3.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCD6
        
          
        
        35000.00000000
        PA
        USD
        35467.92000000
        0.006556930539
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-07
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Norfolk Southern Corp
        54930036C8MWP850MI84
        Norfolk Southern Corp
        655844BV9
        
          
        
        14000.00000000
        PA
        USD
        16740.94000000
        0.003094886329
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-08-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6JK8
        
          
        
        265783.18000000
        PA
        USD
        284204.06000000
        0.052540613616
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513EAZ4
        
          
        
        43000.00000000
        PA
        USD
        49148.98000000
        0.009086138909
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-12-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCT7
        
          
        
        194000.00000000
        PA
        USD
        169962.20000000
        0.031420797717
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-01-23
          Fixed
          6.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11087.81000000
        -0.00204979598
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            455000.00000000
            USD
            2414038.90000000
            BRL
            2020-07-02
            -11087.81000000
          
        
        
          N
          N
          N
        
      
      
        Italian Derivatives Market
        N/A
        FTSE/MIB IDX FUT  SEP20 XDMI 20200918
        000000000
        
          
        
        9.00000000
        NC
        
        29112.32000000
        0.005381975037
        N/A
        DE
        
        IT
        N
        
        1
        
          
            
              Italian Derivatives Market
              N/A
            
            Long
            
              
                FTSE/MIB Index
                STZ7 Index
              
            
            2020-09-18
            842092.82000000
            EUR
            29112.32000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132QUZX4
        
          
        
        2105.49000000
        PA
        USD
        2298.41000000
        0.000424905512
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179SEG8
        
          
        
        52345.46000000
        PA
        USD
        55672.06000000
        0.010292056326
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-06-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSUMERS ENERGY CO
        7NKTFWJ1G6MELP9TU740
        Consumers Energy Co
        210518DF0
        
          
        
        135000.00000000
        PA
        USD
        150206.59000000
        0.027768591370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        000000000
        
          
        
        230000.00000000
        PA
        
        260094.87000000
        0.048083563860
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-21
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132XVN74
        
          
        
        7170.49000000
        PA
        USD
        7908.42000000
        0.001462024291
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAWAG P.S.K.
        529900ICA8XQYGIKR372
        BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse AG
        000000000
        
          
        
        500000.00000000
        PA
        
        513050.57000000
        0.094847314159
        Long
        DBT
        CORP
        AT
        N
        
        2
        
          2027-09-03
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Grupo KUO SAB De CV
        549300WIYIAVCFZI6Z04
        Grupo KUO SAB De CV
        40052CAC0
        
          
        
        541000.00000000
        PA
        USD
        495292.26000000
        0.091564347321
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2027-07-07
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rockford Tower CLO Ltd
        549300V5ZF7112UGSH89
        Rockford Tower CLO 2017-3 Ltd
        77341DAA5
        
          
        
        400000.00000000
        PA
        USD
        392424.28000000
        0.072547212975
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-20
          Floating
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 17-1B PTT
        N/A
        American Airlines 2017-1 Class B Pass Through Trust
        02378WAA7
        
          
        
        18543.75000000
        PA
        USD
        14018.14000000
        0.002591524123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368RAL6
        
          
        
        200000.00000000
        PA
        USD
        215312.27000000
        0.039804634687
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-09-14
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW56CTR1 USD CALL TWD PUT AUG20 30.25 CALL
        000000000
        
          
        
        -770000.00000000
        OU
        Notional Amount
        USD
        -575.19000000
        -0.00010633498
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -575.19000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  770000.00000000
                  USD
                  23292500.00000000
                  TWD
                  2020-08-24
                
              
            
            1.00000000
            30.25000000
            USD
            2020-08-24
            XXXX
            3332.56000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFD1
        
          
        
        120000.00000000
        PA
        USD
        153487.00000000
        0.028375038562
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-22
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Corp
        54930067J0ZNOEBRW338
        Navient Corp
        63938CAH1
        
          
        
        12000.00000000
        PA
        USD
        11445.00000000
        0.002115829460
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-25
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LVMH MOET HENNESSY VUITT
        IOG4E947OATN0KJYSD45
        LVMH Moet Hennessy Louis Vuitton SE
        000000000
        
          
        
        700000.00000000
        PA
        
        775227.22000000
        0.143315735290
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-02-11
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW5MZ7M7 SWAPTION JUN21 1 CALL
        000000000
        
          
        
        6263964.00000000
        OU
        Notional Amount
        USD
        561973.10000000
        0.103891589410
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    6263964.00000000
                    OU
                    Notional Amount
                    N/A
                    561973.10000000
                    0.10000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2051-06-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6263964.00000000
                  USD
                
              
            
            1.00000000
            1.00000000
            USD
            2021-06-04
            XXXX
            171414.94000000
          
        
        
          N
          N
          N
        
      
      
        Adobe Inc
        FU4LY2G4933NH2E1CP29
        Adobe Inc
        00724F101
        
          
        
        100.00000000
        NS
        USD
        43531.00000000
        0.008047546721
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hellenic Republic
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        1010000.00000000
        PA
        
        1387986.89000000
        0.256596203773
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2029-03-12
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITAU UNIBANCO HLDG SA/KY
        5493002W2IVG62O3ZJ94
        Itau Unibanco Holding SA/Cayman Island
        46556UAB0
        
          
        
        633000.00000000
        PA
        USD
        591855.00000000
        0.109415836185
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2022-12-12
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        000000000
        
          
        
        225000.00000000
        PA
        
        266955.13000000
        0.049351815517
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-05-19
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CF5
        
          
        
        18000.00000000
        PA
        USD
        19606.67000000
        0.003624671909
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-12
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GEORGIA-PACIFIC LLC
        L2EVHWFHVAQK72TMH265
        Georgia-Pacific LLC
        37331NAJ0
        
          
        
        131000.00000000
        PA
        USD
        135143.69000000
        0.024983923167
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-30
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W6SV9
        
          
        
        86519.08000000
        PA
        USD
        93555.62000000
        0.017295564609
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONWEALTH BANK AUST
        MSFSBD3QN1GSN7Q6C537
        Commonwealth Bank of Australia
        2027A0JR1
        
          
        
        12000.00000000
        PA
        USD
        12517.29000000
        0.002314062991
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2022-09-18
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Synchrony Financial
        549300RS7EWPM9MA6C78
        Synchrony Financial
        87165BAN3
        
          
        
        30000.00000000
        PA
        USD
        31401.22000000
        0.005805122443
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-19
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWEDISH GOVERNMENT
        ERE94C0BSULG2RM19605
        Sweden Government Bond
        000000000
        
          
        
        250000.00000000
        PA
        
        41961.91000000
        0.007757470107
        Long
        DBT
        NUSS
        SE
        N
        
        2
        
          2039-03-30
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        603000.00000000
        PA
        
        696939.37000000
        0.128842713061
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2022-09-15
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCK & CO INC
        4YV9Y5M8S0BRK1RP0397
        Merck & Co Inc
        58933YBB0
        
          
        
        39000.00000000
        PA
        USD
        39198.89000000
        0.007246672456
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-24
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        UBS AG
        000000000
        
          
        
        235000.00000000
        PA
        
        268558.83000000
        0.049648290458
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-02-12
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Telefonica SA
        549300EEJH4FEPDBBR25
        Telefonica SA
        000000000
        
          
        
        5454.00000000
        NS
        
        1072.94000000
        0.000198353696
        Long
        
        CORP
        ES
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        FSWP: USD 1.862760 30-NOV-2023
        000000000
        
          
        
        21500000.00000000
        OU
        Notional Amount
        USD
        1211905.30000000
        0.224044118538
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2023-11-30
            320.39000000
            USD
            0.00000000
            USD
            21500000.00000000
            USD
            1211584.91000000
          
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        40000.00000000
        PA
        
        48533.47000000
        0.008972349989
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2023-01-30
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGS2
        
          
        
        65000.00000000
        PA
        USD
        65264.48000000
        0.012065400566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-10-01
          Fixed
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CBA1
        
          
        
        285000.00000000
        PA
        USD
        306072.56000000
        0.056583428518
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-01
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONCOR ELECTRIC DELIVERY
        549300SP2X2BS1KERD24
        Oncor Electric Delivery Co LLC
        68233JBK9
        
          
        
        6000.00000000
        PA
        USD
        7865.73000000
        0.001454132220
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122BN7
        
          
        
        10000.00000000
        PA
        USD
        11375.91000000
        0.002103056838
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
        61765TAF0
        
          
        
        400000.00000000
        PA
        USD
        438284.28000000
        0.081025320362
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-15
          Fixed
          3.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38148LAE6
        
          
        
        196000.00000000
        PA
        USD
        217163.20000000
        0.040146814873
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-22
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AF7
        
          
        
        145000.00000000
        PA
        USD
        157395.47000000
        0.029097594785
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL
        4PQUHN3JPFGFNF3BB653
        BRW2KCLG4 JUN21 SPY US CALL JUN21 360 CALL
        000000000
        
          
        
        8400.00000000
        NC
        USD
        42876.04000000
        0.007926464706
        N/A
        DE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL
              4PQUHN3JPFGFNF3BB653
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            1.00000000
            360.00000000
            USD
            2021-06-18
            XXXX
            8016.04000000
          
        
        
          N
          N
          N
        
      
      
        CSX Corp
        549300JVQR4N1MMP3Q88
        CSX Corp
        126408HK2
        
          
        
        26000.00000000
        PA
        USD
        32443.42000000
        0.005997793256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST SEP20 290 CALL
        000000000
        
          
        
        22.00000000
        NC
        USD
        60907.00000000
        0.011259836166
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            290.00000000
            USD
            2020-09-18
            XXXX
            42487.75000000
          
        
        
          N
          N
          N
        
      
      
        UnitedHealth Group Inc
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PCX8
        
          
        
        22000.00000000
        PA
        USD
        27907.94000000
        0.005159322116
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-01-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRTM5LCB2 SWAPTION OCT20 3.75 PUT
        000000000
        
          
        
        -36833000.00000000
        OU
        Notional Amount
        USD
        -0.37000000
        -0.00000006840
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    IRS Swap
                    N/A
                    
                      
                    
                    36833000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.37000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2022-10-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  36833000.00000000
                  USD
                
              
            
            1.00000000
            3.75000000
            USD
            2020-10-13
            XXXX
            133519.26000000
          
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        000000000
        
          
        
        700000.00000000
        PA
        
        776730.75000000
        0.143593691871
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2024-06-17
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOCKHEED MARTIN CORP
        DPRBOZP0K5RM2YE8UU08
        Lockheed Martin Corp
        539830BQ1
        
          
        
        466000.00000000
        PA
        USD
        490389.99000000
        0.090658067960
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140FG5Z8
        
          
        
        6045.53000000
        PA
        USD
        6560.92000000
        0.001212912872
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-11-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKU29
        
          
        
        12805.63000000
        PA
        USD
        14165.38000000
        0.002618744282
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBU8
        
          
        
        54000.00000000
        PA
        USD
        58973.66000000
        0.010902420900
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F050676
        
          
        
        59000.00000000
        PA
        USD
        64475.94000000
        0.011919623706
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        VANECK VECTORS SEMICONDUCTOR E JAN21 145 CALL
        000000000
        
          
        
        55.00000000
        NC
        USD
        110275.00000000
        0.020386465156
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Call
            Purchased
            
              
                VanEck Vectors Semiconductor ETF
                VanEck Vectors Semiconductor ETF
                
                  
                  
                
              
            
            100.00000000
            145.00000000
            USD
            2021-01-15
            XXXX
            71720.62000000
          
        
        
          N
          N
          N
        
      
      
        ECOPETROL SA
        254900IDGKCJICKBPA66
        Ecopetrol SA
        279158AN9
        
          
        
        872000.00000000
        PA
        USD
        999530.00000000
        0.184782439520
        Long
        DBT
        CORP
        CO
        N
        
        2
        
          2030-04-29
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        CDS: (CMBX.NA.9.BBB-)
        000000000
        
          
        
        190000.00000000
        OU
        Notional Amount
        USD
        -36842.18000000
        -0.00681098906
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            
            sell protection
            2058-09-18
            0.00000000
            USD
            -588.56000000
            USD
            190000.00000000
            USD
            -36253.62000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36196FZE7
        
          
        
        4232.49000000
        PA
        USD
        4595.09000000
        0.000849491200
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        0J0XRGZE3PBRFEZ7MV65
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPBT9
        
          
        
        76000.00000000
        PA
        USD
        78629.60000000
        0.014536201321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government International Bond
        46513JB42
        
          
        
        225000.00000000
        PA
        USD
        266765.63000000
        0.049316782779
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2050-07-03
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Progress LLC
        0NIFZ782LS46WOC9QK20
        Duke Energy Progress LLC
        26442UAC8
        
          
        
        7000.00000000
        PA
        USD
        8169.64000000
        0.001510315857
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-10-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: AUD 0.437500 16-MAY-2024
        000000000
        
          
        
        1423972.00000000
        OU
        Notional Amount
        
        896.84000000
        0.000165798208
        N/A
        DIR
        
        AU
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                AUD - 3M Australian Bank Bill Rate (BBSW)
                AU1303M Index
              
            
            Y
            
            
              
                
              
            
            2024-05-16
            27.13000000
            AUD
            0.00000000
            AUD
            1423972.00000000
            AUD
            878.80000000
          
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        320000.00000000
        PA
        
        245457.35000000
        0.045377535372
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2022-07-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P 500 ETF TRUST SEP20 275 PUT
        000000000
        
          
        
        -60.00000000
        NC
        USD
        -38520.00000000
        -0.00712116651
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P 500 ETF Trust
                SPDR S&P 500 ETF Trust
                
                  
                  
                
              
            
            100.00000000
            275.00000000
            USD
            2020-09-18
            XXXX
            11812.26000000
          
        
        
          N
          N
          N
        
      
      
        COLBUN SA
        5493003VQJLE2QB8IF36
        Colbun SA
        192714AD5
        
          
        
        200000.00000000
        PA
        USD
        200937.50000000
        0.037147180616
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2030-03-06
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITEDHEALTH GROUP INC
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDX7
        
          
        
        129000.00000000
        PA
        USD
        135053.77000000
        0.024967299717
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        000000000
        
          
        
        100000.00000000
        PA
        USD
        151781.25000000
        0.028059697706
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2040-01-20
          Fixed
          6.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Union Pacific Corp
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818ES3
        
          
        
        1046000.00000000
        PA
        USD
        1183552.18000000
        0.218802496293
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        254900OVGEI8FTD7PT85
        OCP CLO 2013-4 Ltd
        67105HBC8
        
          
        
        250000.00000000
        PA
        USD
        239215.53000000
        0.044223614303
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-24
          Floating
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONWEALTH BANK AUST
        MSFSBD3QN1GSN7Q6C537
        Commonwealth Bank of Australia
        2027A0JX8
        
          
        
        209000.00000000
        PA
        USD
        224720.91000000
        0.041544003642
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2023-03-16
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WYNN LAS VEGAS LLC/CORP
        N/A
        Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
        983130AV7
        
          
        
        41000.00000000
        PA
        USD
        37515.00000000
        0.006935372843
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        13053.72000000
        0.002413232445
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            1157299200.00000000
            COP
            320000.00000000
            USD
            2020-08-10
            13053.72000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA NA
        B4TYDEB6GKMZO031MB27
        BRW5JRW82 USD PUT KRW CALL JUL20 1220 PUT
        000000000
        
          
        
        2125000.00000000
        OU
        Notional Amount
        USD
        35740.38000000
        0.006607300036
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BANK OF AMERICA NA
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA NA
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    35740.38000000
                    0.01000000
                    DFE
                    
                    XX
                  
                  2125000.00000000
                  USD
                  2592500000.00000000
                  KRW
                  2020-07-02
                
              
            
            1.00000000
            1220.00000000
            USD
            2020-07-02
            XXXX
            16135.13000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWP: JPY 0.379500 10-JAN-2050
        000000000
        
          
        
        20000000.00000000
        OU
        Notional Amount
        
        -4120.11000000
        -0.00076168196
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                JPY - 6M Japanese Yen LIBOR Rate BBA (JY0006M)
                JPY0006M Index
              
            
            Y
            
              
                
              
            
            
            2050-01-11
            0.00000000
            JPY
            -653.00000000
            JPY
            20000000.00000000
            JPY
            -4114.10000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EPTL8
        
          
        
        76790.77000000
        PA
        USD
        82045.18000000
        0.015167637300
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XDTP5
        
          
        
        67074.13000000
        PA
        USD
        75160.15000000
        0.013894806430
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALM Loan Funding
        N/A
        ALM 2020 Ltd
        00166FAG1
        
          
        
        250000.00000000
        PA
        USD
        244371.43000000
        0.045176782072
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-15
          Floating
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2L7
        
          
        
        200000.00000000
        PA
        USD
        204803.23000000
        0.037861835523
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Corp
        54930067J0ZNOEBRW338
        Navient Corp
        63938CAE8
        
          
        
        12000.00000000
        PA
        USD
        11728.68000000
        0.002168273191
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-25
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MMS USA INVESTMENTS INC
        5493000A5BDOPUSW1Z29
        MMS USA Investments Inc
        000000000
        
          
        
        700000.00000000
        PA
        
        751266.32000000
        0.138886099806
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-06-13
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WQK92
        
          
        
        1366.35000000
        PA
        USD
        1479.14000000
        0.000273447617
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404121AF2
        
          
        
        159000.00000000
        PA
        USD
        172516.23000000
        0.031892959527
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAS0
        
          
        
        12000.00000000
        PA
        USD
        12085.52000000
        0.002234241962
        Long
        DBT
        
        US
        N
        
        2
        
          2025-07-15
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAC7
        
          
        
        210000.00000000
        PA
        USD
        222885.89000000
        0.041204764728
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E9J31
        
          
        
        6965.12000000
        PA
        USD
        7775.38000000
        0.001437429276
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: OIS -0.584770 10-MAY-2023
        000000000
        
          
        
        1395680.00000000
        OU
        Notional Amount
        
        -541.53000000
        -0.00010011228
        N/A
        DIR
        
        XX
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                EUR - 1D Effective Overnight Index Average (EONIA)
                EONIA Index
              
            
            Y
            
            
              
                
              
            
            2023-05-10
            0.00000000
            EUR
            -490.29000000
            EUR
            1395680.00000000
            EUR
            -11.55000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        BRW5D1AK2 EUR CALL USD PUT AUG20 1.1625 CALL
        000000000
        
          
        
        -880000.00000000
        OU
        Notional Amount
        
        -2369.87000000
        -0.00043811627
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK NA
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    -2369.87000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  880000.00000000
                  EUR
                  1023000.00000000
                  USD
                  2020-08-31
                
              
            
            1.00000000
            1.16250000
            EUR
            2020-08-31
            XXXX
            -531.50000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MABR9
        
          
        
        29482.38000000
        PA
        USD
        32532.91000000
        0.006014337213
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EQM90
        
          
        
        246402.82000000
        PA
        USD
        261886.52000000
        0.048414784992
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-10-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDF6
        
          
        
        45000.00000000
        PA
        USD
        61045.23000000
        0.011285390654
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-08-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Invesco QQQ Trust Series 1
        549300VY6FEJBCIMET58
        Invesco QQQ Trust Series 1
        46090E103
        
          
        
        7448.00000000
        NS
        USD
        1844124.80000000
        0.340922112718
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ATLAS COPCO AB
        213800T8PC8Q4FYJZR07
        Atlas Copco AB
        000000000
        
          
        
        780000.00000000
        PA
        
        932200.24000000
        0.172335232028
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2023-02-28
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLVO TREASURY AB
        549300PD69T87IGZG395
        Volvo Treasury AB
        000000000
        
          
        
        100000.00000000
        PA
        
        109746.81000000
        0.020288819026
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2023-02-11
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        313400624
        
          
        
        1900.00000000
        NS
        USD
        15086.00000000
        0.002788938683
        Long
        EP
        USGSE
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5371.74000000
        -0.00099306996
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            371000.00000000
            USD
            1988323.04000000
            BRL
            2020-07-02
            -5371.74000000
          
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBH7
        
          
        
        25000.00000000
        PA
        USD
        20375.00000000
        0.003766712560
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2020-09-01
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2421.45000000
        -0.00044765183
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            200488.11000000
            USD
            176000.00000000
            EUR
            2020-09-16
            -2421.45000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABJ3
        
          
        
        235000.00000000
        PA
        USD
        235827.20000000
        0.043597216012
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 1.718000 27-JUN-2024
        000000000
        
          
        
        7468000.00000000
        OU
        Notional Amount
        USD
        433242.09000000
        0.080093174085
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
            
              
                
              
            
            2024-06-27
            109.02000000
            USD
            0.00000000
            USD
            7468000.00000000
            USD
            433133.07000000
          
        
        
          N
          N
          N
        
      
      
        PETRONAS CAPITAL LTD
        549300G7YFX3540OYR85
        Petronas Capital Ltd
        716743AR0
        
          
        
        383000.00000000
        PA
        USD
        486750.87000000
        0.089985306291
        Long
        DBT
        CORP
        MY
        N
        
        2
        
          2050-04-21
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292LYR0
        
          
        
        34800.49000000
        PA
        USD
        37639.54000000
        0.006958396469
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Erste Group Bank AG
        PQOH26KWDF7CG10L6792
        Erste Group Bank AG
        000000000
        
          
        
        200000.00000000
        PA
        
        218659.98000000
        0.040423523586
        Long
        DBT
        CORP
        AT
        N
        
        2
        
          2025-10-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        000000000
        
          
        
        500000.00000000
        PA
        USD
        582500.00000000
        0.107686383621
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2047-10-04
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWAP/SWAP/SWP: USD 1.900000 29-APR-2022
        000000000
        
          
        
        17926000.00000000
        OU
        Notional Amount
        USD
        -575142.54000000
        -0.10632621493
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2022-04-29
            0.00000000
            USD
            -275.42000000
            USD
            17926000.00000000
            USD
            -574867.12000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        SWP: USD 2.210000 26-JUN-2029
        000000000
        
          
        
        8155000.00000000
        OU
        Notional Amount
        USD
        -1184555.72000000
        -0.21898802005
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                USD - 3M US Dollar LIBOR BBA
                US0003M Index
              
            
            Y
            
              
                
              
            
            
            2029-06-26
            0.00000000
            USD
            -151.79000000
            USD
            8155000.00000000
            USD
            -1184403.93000000
          
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        CHEWY INC OCT20 45 PUT
        000000000
        
          
        
        17.00000000
        NC
        USD
        10455.00000000
        0.001932808825
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Purchased
            
              
                Chewy Inc
                Chewy Inc
                
                  
                  
                
              
            
            100.00000000
            45.00000000
            USD
            2020-10-16
            XXXX
            1215.89000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-SCHATZ FUT   SEP20 XEUR 20200908
        000000000
        
          
        
        36.00000000
        NC
        
        4412.66000000
        0.000815765489
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-Schatz Futures (FGBS)
                DUU0 Comdty
              
            
            2020-09-08
            4033112.40000000
            EUR
            4412.66000000
          
        
        
          N
          N
          N
        
      
      
        BLACKSTONE HOLDINGS FINA
        549300D2L6J4NC1QVZ22
        Blackstone Holdings Finance Co LLC
        000000000
        
          
        
        100000.00000000
        PA
        
        118408.32000000
        0.021890066560
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-19
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FedEx Corp
        549300E707U7WNPZN687
        FedEx Corp
        31428XBQ8
        
          
        
        116000.00000000
        PA
        USD
        119215.71000000
        0.022039328207
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-02-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        ICE: (CDX.NA.HY.32.V1)
        000000000
        
          
        
        1623940.50000000
        OU
        Notional Amount
        USD
        -181780.56000000
        -0.03360564998
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.HY.S32.V1
                2I65BRRT9
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -93798.76000000
            USD
            1623940.50000000
            USD
            -87981.80000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        54930090HK5C8QSKLK76
        Wells Fargo Commercial Mortgage Trust 2018-BXI
        95001PAN3
        
          
        
        92874.77000000
        PA
        USD
        87757.10000000
        0.016223596113
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          2.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMPRESA DE TRANSPORTE ME
        959800T4M5QUPYMSCH69
        Empresa de Transporte de Pasajeros Metro SA
        29246QAD7
        
          
        
        200000.00000000
        PA
        USD
        215150.00000000
        0.039774635941
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2030-05-07
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCN9
        
          
        
        110000.00000000
        PA
        USD
        156450.53000000
        0.028922904362
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2058-10-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW ZEALAND GOVERNMENT
        549300237GPHG2AI7C34
        New Zealand Government Bond
        000000000
        
          
        
        100000.00000000
        PA
        
        71588.93000000
        0.013234597388
        Long
        DBT
        NUSS
        NZ
        N
        
        2
        
          2025-04-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8E84
        
          
        
        59778.05000000
        PA
        USD
        66308.73000000
        0.012258450362
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANE TECHNOLOGIES LUX
        549300GHBOWCVY92IS29
        Trane Technologies Luxembourg Finance SA
        456873AE8
        
          
        
        20000.00000000
        PA
        USD
        21861.98000000
        0.004041609553
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-03-21
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAU8
        
          
        
        9000.00000000
        PA
        USD
        11084.06000000
        0.002049102724
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7LM5
        
          
        
        73267.60000000
        PA
        USD
        79869.87000000
        0.014765489202
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        90352JAE3
        
          
        
        988000.00000000
        PA
        USD
        1023330.56000000
        0.189182433056
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-08-15
          Fixed
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        SWAP/SWAP/FSWP: CHF -0.680000 23-MAY-2023
        000000000
        
          
        
        2756984.00000000
        OU
        Notional Amount
        
        -3040.29000000
        -0.00056205636
        N/A
        DIR
        
        CH
        
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                CHF - 6M Swiss Franc LIBOR Rate BBA (SF0006M)
                SF0006M Index
              
            
            Y
            
            
              
                
              
            
            2023-05-23
            47.55000000
            CHF
            0.00000000
            CHF
            2756984.00000000
            CHF
            -3089.18000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WJNC8
        
          
        
        75063.78000000
        PA
        USD
        81462.91000000
        0.015059993437
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        1029.05000000
        0.000190239782
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2876392.04000000
            SEK
            310000.00000000
            USD
            2020-09-16
            1029.05000000
          
        
        
          N
          N
          N
        
      
      
        Netflix Inc
        549300Y7VHGU0I7CE873
        Netflix Inc
        64110LAN6
        
          
        
        24000.00000000
        PA
        USD
        24964.08000000
        0.004615092696
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAK7
        
          
        
        10000.00000000
        PA
        USD
        11239.97000000
        0.002077925701
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCJ8
        
          
        
        115000.00000000
        PA
        USD
        136553.43000000
        0.025244540854
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-03-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Options Clearing Corp.
        549300CII6SLYGKNHA04
        SPDR S+P RETAIL ETF SEP20 37 PUT
        000000000
        
          
        
        -43.00000000
        NC
        USD
        -5181.50000000
        -0.00095790042
        N/A
        DE
        
        US
        N
        
        1
        
          
            
              Options Clearing Corp.
              549300CII6SLYGKNHA04
            
            Put
            Written
            
              
                SPDR S&P Retail ETF
                SPDR S&P Retail ETF
                
                  
                  
                
              
            
            100.00000000
            37.00000000
            USD
            2020-09-18
            XXXX
            -934.87000000
          
        
        
          N
          N
          N
        
      
      
        ALLIANZ FINANCE II B.V.
        529900C9NVPTCPDI1D65
        Allianz Finance II BV
        000000000
        
          
        
        100000.00000000
        PA
        
        112402.09000000
        0.020779698855
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-01-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138LQ2K9
        
          
        
        3390.18000000
        PA
        USD
        3668.31000000
        0.000678158004
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GR/DIAMON
        N/A
        Diamond Sports Group LLC / Diamond Sports Finance Co
        25277LAA4
        
          
        
        41000.00000000
        PA
        USD
        29673.75000000
        0.005485766224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AS5
        
          
        
        117000.00000000
        PA
        USD
        130910.48000000
        0.024201332479
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE TELEKOM INT FIN
        529900ERDFHS6C1M4U58
        Deutsche Telekom International Finance BV
        25156PAV5
        
          
        
        150000.00000000
        PA
        USD
        156399.39000000
        0.028913450145
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-09-19
          Fixed
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BBVA BANCOMER SA TEXAS
        549300WIWQK5Q9MCUN92
        BBVA Bancomer SA/Texas
        05533UAC2
        
          
        
        697000.00000000
        PA
        USD
        743176.25000000
        0.137390494001
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2022-09-30
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        BRW3C24D9 SWAPTION SEP20 0.764 CALL
        000000000
        
          
        
        -994000.00000000
        OU
        Notional Amount
        USD
        -18668.03000000
        -0.00345114616
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    DEUTSCHE BANK AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    994000.00000000
                    OU
                    Notional Amount
                    N/A
                    -18668.03000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-09-29
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  994000.00000000
                  USD
                
              
            
            1.00000000
            0.76400000
            USD
            2020-09-25
            XXXX
            6281.37000000
          
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911365BE3
        
          
        
        24000.00000000
        PA
        USD
        25152.00000000
        0.004649833340
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAA8
        
          
        
        20000.00000000
        PA
        USD
        21372.89000000
        0.003951191813
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP MORGAN CHASE BANK
        7H6GLXDRUGQFU57RNE97
        BRW3QE687 SWAPTION OCT20 0.75 PUT
        000000000
        
          
        
        4232875.00000000
        OU
        Notional Amount
        USD
        39509.32000000
        0.007304061442
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JP MORGAN CHASE BANK
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JP MORGAN CHASE BANK
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    4232875.00000000
                    OU
                    Notional Amount
                    N/A
                    39509.32000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      USD - 3M US Dollar LIBOR BBA
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4232875.00000000
                  USD
                
              
            
            1.00000000
            0.75000000
            USD
            2020-10-02
            XXXX
            -41732.96000000
          
        
        
          N
          N
          N
        
      
      
        CAPGEMINI SE
        96950077L0TN7BAROX36
        Capgemini SE
        000000000
        
          
        
        100000.00000000
        PA
        
        111123.99000000
        0.020543417367
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2030-06-23
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        130000.00000000
        PA
        
        97971.85000000
        0.018111990082
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2024-04-21
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        BRW46APC5 SWAPTION APR22 0.15 PUT
        000000000
        
          
        
        -2860981.00000000
        OU
        Notional Amount
        
        -27349.00000000
        -0.00505599125
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Written
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    IRS Swap
                    N/A
                    
                      
                    
                    2860981.00000000
                    OU
                    Notional Amount
                    N/A
                    -27349.00000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      EUR - 6M Euro Interbank Offer Rate (EURIBOR)
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2860981.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2022-04-19
            XXXX
            8100.43000000
          
        
        
          N
          N
          N
        
      
      
        STARBUCKS CORP
        OQSJ1DU9TAOC51A47K68
        Starbucks Corp
        855244BA6
        
          
        
        130000.00000000
        PA
        USD
        136967.67000000
        0.025321121125
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-11-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHXT4
        
          
        
        47876.58000000
        PA
        USD
        52198.78000000
        0.009649953386
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H042679
        
          
        
        251000.00000000
        PA
        USD
        268079.76000000
        0.049559725109
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-07-21
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3255.40000000
        0.000601823610
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            222000.00000000
            USD
            1576745.01000000
            TRY
            2020-09-16
            3255.40000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        SWAP/CDSWAP/SCDS: (SOAF)
        000000000
        
          
        
        2750153.00000000
        OU
        Notional Amount
        USD
        257294.60000000
        0.047565879827
        N/A
        DCR
        
        US
        
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Republic of South Africa Government International Bond
                Republic of South Africa Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2025-06-21
            370047.00000000
            USD
            0.00000000
            USD
            2750153.00000000
            USD
            -112752.40000000
          
        
        
          N
          N
          N
        
      
      
        VIRGINIA ELEC & POWER CO
        CQKUMNNZVDJLRYV2PT43
        Virginia Electric and Power Co
        927804FL3
        
          
        
        111000.00000000
        PA
        USD
        132064.10000000
        0.024414601433
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        CDS: (CMBX.NA.9.BBB-)
        000000000
        
          
        
        1350000.00000000
        OU
        Notional Amount
        USD
        -261773.40000000
        -0.04839387257
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AG
              7LTWFZYICNSX8D621K86
            
            
              
                Markit CMBX.NA.BBB-.9
                137BERAI8
              
            
            Y
            
            sell protection
            2058-09-17
            0.00000000
            USD
            -137197.34000000
            USD
            1350000.00000000
            USD
            -124576.06000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        2435.43000000
        0.000450236307
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            1901074.00000000
            NOK
            200000.00000000
            USD
            2020-09-16
            2435.43000000
          
        
        
          N
          N
          N
        
      
      
        DOW CHEMICAL CO/THE
        ZQUIP1CSZO8LXRBSOU78
        Dow Chemical Co/The
        000000000
        
          
        
        100000.00000000
        PA
        
        106284.18000000
        0.019648684944
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GDC1
        
          
        
        15000.00000000
        PA
        USD
        14662.50000000
        0.002710646523
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BT0
        
          
        
        100000.00000000
        PA
        USD
        110682.19000000
        0.020461742098
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
      
      
    
    
      2020-07-30
      BlackRock Strategic Global Bond Fund, Inc.
      Ann Frechette
      Ann Frechette
      Assistant Treasurer
StreetInsider

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Form NPORT-P BlackRock Strategic Glob For: Jun 30

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