0001752724-20-043207.txt : 20200228
0001752724-20-043207.hdr.sgml : 20200228
20200228154038
ACCESSION NUMBER: 0001752724-20-043207
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200228
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Natixis Funds Trust II
CENTRAL INDEX KEY: 0000052136
IRS NUMBER: 041990692
STATE OF INCORPORATION: MA
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-00242
FILM NUMBER: 20669503
BUSINESS ADDRESS:
STREET 1: 888 BOYLSTON STREET
STREET 2: 8TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
BUSINESS PHONE: 800-283-1155
MAIL ADDRESS:
STREET 1: 888 BOYLSTON STREET
STREET 2: 8TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
FORMER COMPANY:
FORMER CONFORMED NAME: IXIS Advisor Funds Trust II
DATE OF NAME CHANGE: 20050502
FORMER COMPANY:
FORMER CONFORMED NAME: CDC NVEST FUNDS TRUST II
DATE OF NAME CHANGE: 20010503
FORMER COMPANY:
FORMER CONFORMED NAME: NVEST FUNDS TRUST II
DATE OF NAME CHANGE: 20000202
0000052136
S000023548
ASG Global Alternatives Fund
C000069269
Class A
GAFAX
C000069270
Class C
GAFCX
C000069271
Class Y
GAFYX
C000128763
Class N
GAFNX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000052136
XXXXXXXX
S000023548
C000069269
C000069270
C000128763
C000069271
Natixis Funds Trust II
811-00242
0000052136
R4B5ZXLI2IMIOWT67V76
888 BOYLSTON STREET
Suite 800
BOSTON
02199-8197
617-449-2822
ASG Global Alternatives Fund
S000023548
549300O2NJFJ5NLVRI47
2019-12-31
2019-12-31
N
827532163.17
5003171.83
822528991.34
0
24993940.39
0
0
0
0
0
0
0
0
0
0
0
38070904.47
EUR
AUD
USD
GBP
CAD
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
18573.27000000
0.002258068736
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3875993.03000000
USD
3750000.00000000
CHF
2020-03-18
18573.27
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
190222.02000000
0.023126482106
N/A
DFE
SE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
12882110.32000000
USD
122000000.00000000
SEK
2020-03-18
190222.02
N
N
N
Brown & Brown Inc
549300PC8KTJ71XKFY89
Brown & Brown Inc
115236101
25822.00000000
NS
USD
1019452.56000000
0.123941231340
Long
EC
CORP
US
N
1
N
N
N
UDR Inc
P3CH2EG5X6Z1XWU1OO74
UDR Inc
902653104
9278.00000000
NS
USD
433282.60000000
0.052676878816
Long
EC
US
N
1
N
N
N
Callaway Golf Co
5493005UB0KFRKBPCU72
Callaway Golf Co
131193104
47555.00000000
NS
USD
1008166.00000000
0.122569053567
Long
EC
CORP
US
N
1
N
N
N
Fair Isaac Corp
RI6HET5SJUEY30V1PS26
Fair Isaac Corp
303250104
598.00000000
NS
USD
224058.64000000
0.027240211878
Long
EC
CORP
US
N
1
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
580135101
5259.00000000
NS
USD
1039230.99000000
0.126345818924
Long
EC
CORP
US
N
1
N
N
N
Cheniere Energy Inc
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411R208
19973.00000000
NS
USD
1219751.11000000
0.148292780296
Long
EC
CORP
US
N
1
N
N
N
White Mountains Insurance Group Ltd
549300N3FL068JERBG02
White Mountains Insurance Group Ltd
000000000
956.00000000
NS
USD
1066427.56000000
0.129652276239
Long
EC
CORP
BM
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CENTURYLINK INC
000000000
211748.74000000
OU
Notional Amount
USD
19479.10000000
0.002368196161
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CenturyLink Inc
CenturyLink Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
211748.74
USD
19479.1
N
N
N
COFCO CAPITAL CORP.
N/A
COFCO CAPITAL CORP.
19213WA85
15000000.00000000
PA
USD
14994153.30000000
1.822933107266
Long
STIV
CORP
US
N
2
2020-01-08
None
0.00000000
N
N
N
N
N
N
NextEra Energy Inc
N/A
NextEra Energy Inc
65339F101
1876.00000000
NS
USD
454292.16000000
0.055231142583
Long
EC
CORP
US
N
1
N
N
N
STORE Capital Corp
5493004EA6C9IHDZ7N66
STORE Capital Corp
862121100
11140.00000000
NS
USD
414853.60000000
0.050436349887
Long
EC
US
N
1
N
N
N
Magellan Midstream Partners LP
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners LP
559080106
17282.00000000
NS
USD
1086519.34000000
0.132094959744
Long
EC
CORP
US
N
1
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-99832.29000000
-0.01213723662
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
7750000.00000000
CHF
7948938.07000000
USD
2020-03-18
-99832.29
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ALKERMES PLC
000000000
246507.07000000
OU
Notional Amount
USD
6004.13000000
0.000729959680
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Alkermes PLC
Alkermes PLC
Y
equity-performance leg
2020-05-19
0
USD
0
USD
246507.07
USD
6004.13
N
N
N
KLA Corp
549300H0BF5JCG96TJ81
KLA Corp
482480100
1601.00000000
NS
USD
285250.17000000
0.034679649350
Long
EC
CORP
US
N
1
N
N
N
FIXED INC CLEARING CORP.REPO
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
289846.72000000
PA
USD
289846.72000000
0.035238480716
Long
RA
CORP
US
N
2
Repurchase
N
0.90000000
2020-01-02
290000.00000000
USD
297841.02000000
USD
UST
N
N
N
Peabody Energy Corp
EJCO258LNNVSKAR2JX59
Peabody Energy Corp
704551100
32601.00000000
NS
USD
297321.12000000
0.036147190327
Long
EC
CORP
US
N
1
N
N
N
Southern Co/The
549300FC3G3YU2FBZD92
Southern Co/The
842587107
7234.00000000
NS
USD
460805.80000000
0.056023046585
Long
EC
CORP
US
N
1
N
N
N
Barrick Gold Corp
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
067901108
12568.00000000
NS
USD
233639.12000000
0.028404970822
Long
EC
CORP
CA
N
1
N
N
N
Chubb Ltd
E0JAN6VLUDI1HITHT809
Chubb Ltd
000000000
6737.00000000
NS
USD
1048681.42000000
0.127494766876
Long
EC
CORP
CH
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
TAYLOR MORRISON HOME CORP
000000000
1816505.00000000
OU
Notional Amount
USD
120509.60000000
0.014651106680
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Taylor Morrison Home Corp
Taylor Morrison Home Corp
Y
equity-performance leg
2020-05-19
0
USD
0
USD
1816505
USD
120509.6
N
N
N
AvalonBay Communities Inc
K9G90K85RBWD2LAGQX17
AvalonBay Communities Inc
053484101
2097.00000000
NS
USD
439740.90000000
0.053462054788
Long
EC
US
N
1
N
N
N
Meff Financial Derivatives
N/A
IBEX 35 INDX FUTR JAN20 XMRV 20200117
000000000
17.00000000
NC
-4927.33000000
-0.00059904636
N/A
DE
ES
N
2
Meff Financial Derivatives
N/A
Long
IBEX 35 Index
IBF0 Index
2020-01-17
1627962.5
EUR
-4927.33
N
N
N
DexCom Inc
549300YSK3QDSFR5EU59
DexCom Inc
252131107
999.00000000
NS
USD
218521.26000000
0.026566997917
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MATADOR RESOURCES CO
000000000
364318.76000000
OU
Notional Amount
USD
-64830.74000000
-0.00788187901
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Matador Resources Co
Matador Resources Co
Y
equity-performance leg
2020-05-19
0
USD
0
USD
364318.76
USD
-64830.74
N
N
N
CBRE Group Inc
52990016II9MJ2OSWA10
CBRE Group Inc
12504L109
25516.00000000
NS
USD
1563875.64000000
0.190130154251
Long
EC
CORP
US
N
1
N
N
N
Xilinx Inc
6EY4K7ZMF9UX1CU6KC79
Xilinx Inc
983919101
2223.00000000
NS
USD
217342.71000000
0.026423714214
Long
EC
CORP
US
N
1
N
N
N
Blackstone Group Inc/The
5299004LW4QWGZUB8Y96
Blackstone Group Inc/The
09260D107
3830.00000000
NS
USD
214250.20000000
0.026047738408
Long
EC
CORP
US
N
1
N
N
N
GoDaddy Inc
N/A
GoDaddy Inc
380237107
13361.00000000
NS
USD
907479.12000000
0.110327919083
Long
EC
CORP
US
N
1
N
N
N
ICE Futures U.S.
5493004R83R1LVX2IL36
DOLLAR INDEX MAR20 IFUS 20200316
000000000
127.00000000
NC
USD
-124168.00000000
-0.01509588127
N/A
DFE
US
N
1
ICE Futures U.S.
5493004R83R1LVX2IL36
Long
Dollar Index
DXH0 Curncy
2020-03-16
12323534
USD
-124168
N
N
N
Investors Bancorp Inc
N/A
Investors Bancorp Inc
46146L101
107629.00000000
NS
USD
1282399.54000000
0.155909342224
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PARSLEY ENERGY INC-CLASS A
000000000
362098.63000000
OU
Notional Amount
USD
-58952.42000000
-0.00716721484
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Parsley Energy Inc
Parsley Energy Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
362098.63
USD
-58952.42
N
N
N
Equity Commonwealth
549300YPGVU9PR4L0606
Equity Commonwealth
294628102
13719.00000000
NS
USD
450394.77000000
0.054757312476
Long
EC
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
THOR INDUSTRIES INC
000000000
271731.24000000
OU
Notional Amount
USD
-33706.08000000
-0.00409785920
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Thor Industries Inc
Thor Industries Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
271731.24
USD
-33706.08
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ABBVIE INC
000000000
1029580.05000000
OU
Notional Amount
USD
-9333.63000000
-0.00113474784
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
AbbVie Inc
AbbVie Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
1029580.05
USD
-9333.63
N
N
N
DG BANK NY BRANCH
N/A
DG BANK NY BRANCH
23328AK94
16000000.00000000
PA
USD
15999610.40000000
1.945172822897
Long
STIV
CORP
DE
N
2
2020-03-27
Variable
1.87000000
N
N
N
N
N
N
Federal Realty Investment Trust
549300LI6XZ51GOCJ427
Federal Realty Investment Trust
313747206
3300.00000000
NS
USD
424809.00000000
0.051646690204
Long
EC
US
N
1
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
20750.75000000
0.002522798614
N/A
DFE
SE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2765156.14000000
USD
26000000.00000000
SEK
2020-03-18
20750.75
N
N
N
Allstate Corp/The
OBT0W1ED8G0NWVOLOJ77
Allstate Corp/The
020002101
9444.00000000
NS
USD
1061977.80000000
0.129111291052
Long
EC
CORP
US
N
1
N
N
N
IBERIABANK Corp
WQ4U3ADCR5WID15LA317
IBERIABANK Corp
450828108
33208.00000000
NS
USD
2484954.64000000
0.302111495906
Long
EC
CORP
US
N
1
N
N
N
WEC Energy Group Inc
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939U106
4849.00000000
NS
USD
447223.27000000
0.054371733362
Long
EC
CORP
US
N
1
N
N
N
Jack in the Box Inc
5493002OJW26P0SUUP68
Jack in the Box Inc
466367109
13104.00000000
NS
USD
1022505.12000000
0.124312350174
Long
EC
CORP
US
N
1
N
N
N
SUMITOMO MITSUI BKG CORP
5U0XI89JRFVHWIBS4F54
SUMITOMO MITSUI BKG CORP
86565BU58
30000000.00000000
PA
USD
30010398.90000000
3.648552113781
Long
STIV
CORP
JP
N
2
2020-02-10
Fixed
2.01000000
N
N
N
N
N
N
Square Inc
549300OHIIUWSTIZME52
Square Inc
852234103
3968.00000000
NS
USD
248238.08000000
0.030179857806
Long
EC
CORP
US
N
1
N
N
N
TiVo Corp
529900HSQ8AE0RC8VD16
TiVo Corp
88870P106
197078.00000000
NS
USD
1671221.44000000
0.203180855337
Long
EC
CORP
US
N
1
N
N
N
AGNC Investment Corp
5TRACI5HRMELWV32OF39
AGNC Investment Corp
00123Q104
57802.00000000
NS
USD
1021939.36000000
0.124243567188
Long
EC
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
NATIONAL OILWELL VARCO INC
000000000
257509.85000000
OU
Notional Amount
USD
-23367.50000000
-0.00284093329
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
National Oilwell Varco Inc
National Oilwell Varco Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
257509.85
USD
-23367.5
N
N
N
AG Mortgage Investment Trust Inc
549300SNP0PBR2XTFR48
AG Mortgage Investment Trust Inc
001228105
51121.00000000
NS
USD
788285.82000000
0.095836843235
Long
EC
US
N
1
N
N
N
Nasdaq Nordic
N/A
OMXS30 IND FUTURE JAN20 XSTO 20200117
000000000
52.00000000
NC
-9130.78000000
-0.00111008609
N/A
DE
SE
N
2
Nasdaq Nordic
N/A
Long
OMXS30 Index
QCF0 Index
2020-01-17
9285265
SEK
-9130.78
N
N
N
London Metal Exchange
213800NB8G5VRT1DXC91
LME PRI ALUM FUTR MAR20 XLME 20200316
000000000
364.00000000
NC
USD
643825.00000000
0.078273836761
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
Primary Aluminum
LAH20 Comdty
2020-03-16
15827175
USD
643825
N
N
N
NORINCHUKIN BK
5493007VSMFZCPV1NB83
NORINCHUKIN BK
65602VUZ7
30000000.00000000
PA
USD
30001113.60000000
3.647423241717
Long
STIV
CORP
JP
N
2
2020-02-20
Fixed
1.87000000
N
N
N
N
N
N
Pinnacle West Capital Corp
TWSEY0NEDUDCKS27AH81
Pinnacle West Capital Corp
723484101
4665.00000000
NS
USD
419523.45000000
0.051004092793
Long
EC
CORP
US
N
1
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
902973304
20493.00000000
NS
USD
1215029.97000000
0.147718801743
Long
EC
CORP
US
N
1
N
N
N
CVR Energy Inc
529900SOYZIXZBTXB558
CVR Energy Inc
12662P108
21014.00000000
NS
USD
849596.02000000
0.103290708162
Long
EC
CORP
US
N
1
N
N
N
OneSpaWorld Holdings Ltd
5493007W8PZ8W6UC2X76
OneSpaWorld Holdings Ltd
000000000
66557.00000000
NS
USD
1120819.88000000
0.136265091176
Long
EC
CORP
BS
N
1
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369604103
74555.00000000
NS
USD
832033.80000000
0.101155559106
Long
EC
CORP
US
N
1
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
COTTON NO.2 FUTR MAR20 IFUS 20200309
000000000
-377.00000000
NC
USD
-546745.00000000
-0.06647121326
N/A
DCO
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Short
Cotton
CTH0 Comdty
2020-03-09
-12469180
USD
-546745
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR MAR20 XOSE 20200312
000000000
170.00000000
NC
-130299.29000000
-0.01584130059
N/A
DE
JP
N
2
Osaka Exchange
3538001249AILNPRUX57
Long
TOPIX Index
TPH0 Index
2020-03-12
2917455000
JPY
-130299.29
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, N.A.
06053P5Q6
30000000.00000000
PA
USD
29998516.50000000
3.647107496007
Long
STIV
CORP
US
N
2
2020-06-15
Variable
1.84000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHLUMBERGER LTD
000000000
260293.80000000
OU
Notional Amount
USD
-23556.00000000
-0.00286385042
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Schlumberger Ltd
Schlumberger Ltd
Y
equity-performance leg
2020-05-19
0
USD
0
USD
260293.8
USD
-23556
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
AERIE PHARMACEUTICALS INC
000000000
281866.06000000
OU
Notional Amount
USD
-44226.62000000
-0.00537690713
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Aerie Pharmaceuticals Inc
Aerie Pharmaceuticals Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
281866.06
USD
-44226.62
N
N
N
Gladstone Commercial Corp
529900EVVV534W8R0T32
Gladstone Commercial Corp
376536108
19456.00000000
NS
USD
425308.16000000
0.051707376211
Long
EC
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CNX RESOURCES CORP
000000000
309791.69000000
OU
Notional Amount
USD
-55699.34000000
-0.00677171754
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CNX Resources Corp
CNX Resources Corp
Y
equity-performance leg
2020-05-19
0
USD
0
USD
309791.69
USD
-55699.34
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
INTERNATIONAL GAME TECHNOLOG
000000000
286341.28000000
OU
Notional Amount
USD
-4141.81000000
-0.00050354577
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
International Game Technology PLC
International Game Technology PLC
Y
equity-performance leg
2020-05-19
0
USD
0
USD
286341.28
USD
-4141.81
N
N
N
NATIONAL AUSTRALIA BK/NY
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd/New York
63253TS41
30000000.00000000
PA
USD
29995162.50000000
3.646699729225
Long
DBT
CORP
AU
N
2
2020-05-20
Floating
1.91000000
N
N
N
N
N
N
Veeva Systems Inc
549300YZEXPDB92M2F02
Veeva Systems Inc
922475108
1717.00000000
NS
USD
241513.22000000
0.029362274466
Long
EC
CORP
US
N
1
N
N
N
ROYAL BANK OF CANADA NY
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada/New York NY
78012UQF5
20000000.00000000
PA
USD
19997740.00000000
2.431250473909
Long
DBT
CORP
CA
N
2
2020-07-10
Floating
1.93000000
N
N
N
N
N
N
New York Mercantile Exchange
5493008GFNDTXFPHWI47
NY HARB ULSD FUT FEB20 XNYM 20200131
000000000
54.00000000
NC
USD
-97393.80000000
-0.01184077412
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
NY Harb Ultra Low Sulfur Diesel
HOG0 Comdty
2020-01-31
4685104.2
USD
-97393.8
N
N
N
World Wrestling Entertainment Inc
549300WZVLSCS3L4L698
World Wrestling Entertainment Inc
98156Q108
11230.00000000
NS
USD
728490.10000000
0.088567103125
Long
EC
CORP
US
N
1
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748102
9388.00000000
NS
USD
1045917.08000000
0.127158688752
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
NU SKIN ENTERPRISES INC - A
000000000
231934.60000000
OU
Notional Amount
USD
-14535.70000000
-0.00176719606
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Nu Skin Enterprises Inc
Nu Skin Enterprises Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
231934.6
USD
-14535.7
N
N
N
Markel Corp
549300SCNO12JLWIK605
Markel Corp
570535104
878.00000000
NS
USD
1003703.26000000
0.122026490320
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
TTM TECHNOLOGIES
000000000
270478.14000000
OU
Notional Amount
USD
-26577.84000000
-0.00323123443
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
TTM Technologies Inc
TTM Technologies Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
270478.14
USD
-26577.84
N
N
N
Kilroy Realty Corp
549300CXXI18B214UN80
Kilroy Realty Corp
49427F108
4931.00000000
NS
USD
413710.90000000
0.050297424693
Long
EC
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FREEPORT-MCMORAN INC
000000000
346624.36000000
OU
Notional Amount
USD
-40587.24000000
-0.00493444491
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Freeport-McMoRan Inc
Freeport-McMoRan Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
346624.36
USD
-40587.24
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MACERICH CO/THE
000000000
262697.50000000
OU
Notional Amount
USD
-2192.66000000
-0.00026657540
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Macerich Co/The
Macerich Co/The
Y
equity-performance leg
2020-05-19
0
USD
0
USD
262697.5
USD
-2192.66
N
N
N
Capstead Mortgage Corp
549300W6CQE2GR8QBV24
Capstead Mortgage Corp
14067E506
126137.00000000
NS
USD
999005.04000000
0.121455298295
Long
EC
US
N
1
N
N
N
Exact Sciences Corp
549300VM3X1FYD4N9Z14
Exact Sciences Corp
30063P105
3016.00000000
NS
USD
278919.68000000
0.033910012040
Long
EC
CORP
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
SOYBEAN OIL FUTR MAR20 XCBT 20200313
000000000
86.00000000
NC
USD
27126.00000000
0.003297877677
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Soybean Oil
BOH0 Comdty
2020-03-13
1767006
USD
27126
N
N
N
AptarGroup Inc
VNPEQDQFAA7IY1T2PX43
AptarGroup Inc
038336103
9040.00000000
NS
USD
1045204.80000000
0.127072092413
Long
EC
CORP
US
N
1
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
INR/USD JAN20 XSIM 20200129
000000000
195.00000000
NC
USD
-52260.00000000
-0.00635357544
N/A
DFE
SG
N
1
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Long
INR USD Currency Future
XIDF0 Curncy
2020-01-29
5506410
USD
-52260
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
10375.99000000
0.001261474076
N/A
DFE
NZ
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3022183.35000000
USD
4500000.00000000
NZD
2020-03-18
10375.99
N
N
N
ITT Inc
549300KDSERHTJOXUS80
ITT Inc
45073V108
14563.00000000
NS
USD
1076351.33000000
0.130858771098
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SUPERNUS PHARMACEUTICALS INC
000000000
226909.86000000
OU
Notional Amount
USD
-3206.54000000
-0.00038983914
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Supernus Pharmaceuticals Inc
Supernus Pharmaceuticals Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
226909.86
USD
-3206.54
N
N
N
Jack Henry & Associates Inc
529900X1QS8C54W0JB21
Jack Henry & Associates Inc
426281101
7070.00000000
NS
USD
1029886.90000000
0.125209799392
Long
EC
CORP
US
N
1
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-85149.98000000
-0.01035221626
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
5100000.00000000
NZD
3351750.60000000
USD
2020-03-18
-85149.98
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MYLAN NV
000000000
252027.72000000
OU
Notional Amount
USD
-15531.12000000
-0.00188821551
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Mylan NV
Mylan NV
Y
equity-performance leg
2020-05-19
0
USD
0
USD
252027.72
USD
-15531.12
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GREENBRIER COMPANIES INC
000000000
262070.64000000
OU
Notional Amount
USD
-30617.73000000
-0.00372238915
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Greenbrier Cos Inc/The
Greenbrier Cos Inc/The
Y
equity-performance leg
2020-05-19
0
USD
0
USD
262070.64
USD
-30617.73
N
N
N
Sonoco Products Co
GKOMIK4RDJGHEF0VNP11
Sonoco Products Co
835495102
16879.00000000
NS
USD
1041771.88000000
0.126654730832
Long
EC
CORP
US
N
1
N
N
N
eBay Inc
OML71K8X303XQONU6T67
eBay Inc
278642103
32526.00000000
NS
USD
1174513.86000000
0.142793004546
Long
EC
CORP
US
N
1
N
N
N
ServiceNow Inc
549300HJTQM36M0E1G39
ServiceNow Inc
81762P102
801.00000000
NS
USD
226138.32000000
0.027493051598
Long
EC
CORP
US
N
1
N
N
N
salesforce.com Inc
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466L302
6241.00000000
NS
USD
1015036.24000000
0.123404311664
Long
EC
CORP
US
N
1
N
N
N
Ameren Corp
XRZQ5S7HYJFPHJ78L959
Ameren Corp
023608102
5755.00000000
NS
USD
441984.00000000
0.053734762501
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
BOISE CASCADE CO
000000000
243992.41000000
OU
Notional Amount
USD
8576.01000000
0.001042639237
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Boise Cascade Co
Boise Cascade Co
Y
equity-performance leg
2020-05-19
0
USD
0
USD
243992.41
USD
8576.01
N
N
N
SLM Corp
4K8SLPBF5DXXGPW03H93
SLM Corp
78442P106
124111.00000000
NS
USD
1105829.01000000
0.134442557240
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SPECTRUM PHARMACEUTICALS INC
000000000
-67975.83000000
OU
Notional Amount
USD
216516.95000000
0.026323321400
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Spectrum Pharmaceuticals Inc
Spectrum Pharmaceuticals Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
-67975.83
USD
216516.95
N
N
N
CIBC TIME DEPOSIT
549300TDJKVQJ41VN031
CIBC TIME DEPOSIT
000000000
27700000.00000000
PA
USD
27700000.00000000
3.367662452222
Long
STIV
CORP
US
N
2
2020-01-02
Fixed
1.54000000
N
N
N
N
N
N
Ecolab Inc
82DYEISM090VG8LTLS26
Ecolab Inc
278865100
5592.00000000
NS
USD
1079200.08000000
0.131205111474
Long
EC
CORP
US
N
1
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
COCOA FUTURE MAR20 IFUS 20200316
000000000
-192.00000000
NC
USD
3840.00000000
0.000466852845
N/A
DCO
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Short
Cocoa
CCH0 Comdty
2020-03-16
-4880640
USD
3840
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SINA CORP
000000000
281961.90000000
OU
Notional Amount
USD
-31600.80000000
-0.00384190713
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SINA Corp/China
SINA Corp/China
Y
equity-performance leg
2020-05-19
0
USD
0
USD
281961.9
USD
-31600.8
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
WESTROCK CO
000000000
237048.39000000
OU
Notional Amount
USD
-13444.38000000
-0.00163451746
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
WestRock Co
WestRock Co
Y
equity-performance leg
2020-05-19
0
USD
0
USD
237048.39
USD
-13444.38
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
NORTHERN OIL AND GAS INC
000000000
520019.83000000
OU
Notional Amount
USD
-103286.89000000
-0.01255723398
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Northern Oil and Gas Inc
Northern Oil and Gas Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
520019.83
USD
-103286.89
N
N
N
BANK OF MONTREAL-
NQQ6HPCNCCU6TUTQYE16
BANK OF MONTREAL-
06367BDB2
15600000.00000000
PA
USD
15601235.05000000
1.896739837046
Long
STIV
CORP
CA
N
2
2020-02-28
Fixed
1.95000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
TANDEM DIABETES CARE INC
000000000
255725.32000000
OU
Notional Amount
USD
39403.79000000
0.004790565489
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Tandem Diabetes Care Inc
Tandem Diabetes Care Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
255725.32
USD
39403.79
N
N
N
Baxter International Inc
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813109
18063.00000000
NS
USD
1510428.06000000
0.183632197272
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
JPN YEN CURR FUT MAR20 XCME 20200316
000000000
-178.00000000
NC
USD
46681.25000000
0.005675331871
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
JPN Yen Currency Future
JYH0 Curncy
2020-03-16
-20617918.75
USD
46681.25
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-SCHATZ FUT MAR20 XEUR 20200306
000000000
220.00000000
NC
-17274.18000000
-0.00210013023
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Schatz Futures (FGBS)
DUH0 Comdty
2020-03-06
24634500
EUR
-17274.18
N
N
N
CMS Energy Corp
549300IA9XFBAGNIBW29
CMS Energy Corp
125896100
7195.00000000
NS
USD
452133.80000000
0.054968737243
Long
EC
CORP
US
N
1
N
N
N
New York Mercantile Exchange
5493008GFNDTXFPHWI47
NATURAL GAS FUTR FEB20 XNYM 20200129
000000000
194.00000000
NC
USD
-104760.00000000
-0.01273632918
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
Natural Gas
NGG20 Comdty
2020-01-29
4351420
USD
-104760
N
N
N
Douglas Emmett Inc
N/A
Douglas Emmett Inc
25960P109
10468.00000000
NS
USD
459545.20000000
0.055869787550
Long
EC
US
N
1
N
N
N
Camden Property Trust
5493002MYX22OHYJBD89
Camden Property Trust
133131102
4136.00000000
NS
USD
438829.60000000
0.053351262340
Long
EC
US
N
1
N
N
N
ICE Futures U.S.
5493004R83R1LVX2IL36
MSCI EMGMKT MAR20 IFUS 20200320
000000000
246.00000000
NC
USD
838305.00000000
0.101917988159
N/A
DE
US
N
1
ICE Futures U.S.
5493004R83R1LVX2IL36
Long
MSCI Emerging Markets
MESH0 Index
2020-03-20
12940155
USD
838305
N
N
N
Terreno Realty Corp
N/A
Terreno Realty Corp
88146M101
7816.00000000
NS
USD
423158.24000000
0.051445996974
Long
EC
US
N
1
N
N
N
Commodities Exchange Center
N/A
SILVER FUTURE MAR20 XCEC 20200327
000000000
-35.00000000
NC
USD
-159250.00000000
-0.01936101969
N/A
DCO
US
N
1
Commodities Exchange Center
N/A
Short
Silver
SIH0 Comdty
2020-03-27
-2976925
USD
-159250
N
N
N
LANDESBANK BADEN-WUR
B81CK4ESI35472RHJ606
LANDESBANK BADEN-WUR
51501GNV9
25000000.00000000
PA
USD
25001364.50000000
3.039572436136
Long
STIV
CORP
DE
N
2
2020-01-21
Fixed
1.90000000
N
N
N
N
N
N
BANK OF MONTREAL CHICAGO
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal/Chicago IL
06370RXN4
5000000.00000000
PA
USD
5001136.40000000
0.608019468329
Long
DBT
CORP
CA
N
2
2020-04-03
Floating
1.94000000
N
N
N
N
N
N
Granite Point Mortgage Trust Inc
529900VX2HQZ76AYIE02
Granite Point Mortgage Trust Inc
38741L107
55490.00000000
NS
USD
1019906.20000000
0.123996383195
Long
EC
CORP
US
N
1
N
N
N
Mid-America Apartment Communities Inc
549300FQZKFR5YNSHZ21
Mid-America Apartment Communities Inc
59522J103
3252.00000000
NS
USD
428808.72000000
0.052132961210
Long
EC
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR JUN20 XCME 20200615
000000000
426.00000000
NC
USD
-72762.50000000
-0.00884619275
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Eurodollar Time Deposit
EDM0 Comdty
2020-06-15
104772912.5
USD
-72762.5
N
N
N
Madison Square Garden Co/The
N/A
Madison Square Garden Co/The
55825T103
5202.00000000
NS
USD
1530376.38000000
0.186057439447
Long
EC
CORP
US
N
1
N
N
N
Conagra Brands Inc
54930035UDEIH090K650
Conagra Brands Inc
205887102
27350.00000000
NS
USD
936464.00000000
0.113851792442
Long
EC
CORP
US
N
1
N
N
N
Terex Corp
YAWJZJYEQ7M1SYMOS462
Terex Corp
880779103
26912.00000000
NS
USD
801439.36000000
0.097436001458
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
UNITED BANKSHARES INC
000000000
768998.85000000
OU
Notional Amount
USD
-15399.47000000
-0.00187220999
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
United Bankshares Inc/WV
United Bankshares Inc/WV
Y
equity-performance leg
2020-05-19
0
USD
0
USD
768998.85
USD
-15399.47
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
LIVE CATTLE FUTR APR20 XCME 20200430
000000000
79.00000000
NC
USD
41410.00000000
0.005034473001
N/A
DCO
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Live Cattle
LCJ0 Comdty
2020-04-30
3977320
USD
41410
N
N
N
Keysight Technologies Inc
549300GLKVIO8YRCYN02
Keysight Technologies Inc
49338L103
2410.00000000
NS
USD
247338.30000000
0.030070465917
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
MEXICAN PESO FUT MAR20 XCME 20200316
000000000
141.00000000
NC
USD
76740.00000000
0.009329762331
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Mexican Peso Future
PEH0 Curncy
2020-03-16
3616755
USD
76740
N
N
N
NATIONAL BANK OF KUWAIT SAKP
N/A
NATIONAL BANK OF KUWAIT SAKP
63375P6Y0
25000000.00000000
PA
USD
25000024.25000000
3.039409493551
Long
STIV
CORP
KW
N
2
2020-01-02
Fixed
1.81000000
N
N
N
N
N
N
Westlake Chemical Partners LP
5493001UJXZP4TJUQM76
Westlake Chemical Partners LP
960417103
20765.00000000
NS
USD
548611.30000000
0.066698111042
Long
EC
CORP
US
N
1
N
N
N
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
HANG SENG IDX FUT JAN20 XHKF 20200130
000000000
57.00000000
NC
98226.93000000
0.011942062958
N/A
DE
HK
N
2
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
Long
Hang Seng Index
HIF0 Index
2020-01-30
79851300
HKD
98226.93
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
E-MINI RUSS 2000 MAR20 XCME 20200320
000000000
243.00000000
NC
USD
319797.50000000
0.038879784587
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Russell 2000 Index
RTYH0 Index
2020-03-20
19977992.5
USD
319797.5
N
N
N
Commodities Exchange Center
N/A
COPPER FUTURE MAR20 XCEC 20200327
000000000
-22.00000000
NC
USD
7612.50000000
0.000925499293
N/A
DCO
US
N
1
Commodities Exchange Center
N/A
Short
Copper
HGH0 Comdty
2020-03-27
-1545962.5
USD
7612.5
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GOODYEAR TIRE & RUBBER CO
000000000
254889.12000000
OU
Notional Amount
USD
4039.41000000
0.000491096367
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Goodyear Tire & Rubber Co/The
Goodyear Tire & Rubber Co/The
Y
equity-performance leg
2020-05-19
0
USD
0
USD
254889.12
USD
4039.41
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PROLOGIS INC
000000000
2573712.75000000
OU
Notional Amount
USD
71516.75000000
0.008694739122
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Prologis Inc
Prologis Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
2573712.75
USD
71516.75
N
N
N
Xcel Energy Inc
LGJNMI9GH8XIDG5RCM61
Xcel Energy Inc
98389B100
7128.00000000
NS
USD
452556.72000000
0.055020154275
Long
EC
CORP
US
N
1
N
N
N
Columbia Financial Inc
N/A
Columbia Financial Inc
197641103
63565.00000000
NS
USD
1076791.10000000
0.130912236691
Long
EC
CORP
US
N
1
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
COFFEE 'C' FUTURE MAR20 IFUS 20200319
000000000
-82.00000000
NC
USD
-568125.00000000
-0.06907051374
N/A
DCO
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Short
Coffee
KCH0 Comdty
2020-03-19
-3420150
USD
-568125
N
N
N
Ubiquiti Inc
N/A
Ubiquiti Inc
90353W103
1359.00000000
NS
USD
256823.82000000
0.031223679980
Long
EC
CORP
US
N
1
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE MAR20 XEUR 20200306
000000000
362.00000000
NC
156679.05000000
0.019048453203
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Long-Term Euro-BTP (FBTP)
IKH0 Comdty
2020-03-06
51430840
EUR
156679.05
N
N
N
WR Berkley Corp
SQOAGCLKBDWNVYV1OV80
WR Berkley Corp
084423102
14384.00000000
NS
USD
993934.40000000
0.120838828839
Long
EC
CORP
US
N
1
N
N
N
Agnico Eagle Mines Ltd
YGE0EUBRF7IJOB3QRX76
Agnico Eagle Mines Ltd
008474108
3552.00000000
NS
USD
218838.72000000
0.026605593517
Long
EC
CORP
CA
N
1
N
N
N
New York Mercantile Exchange
5493008GFNDTXFPHWI47
GASOLINE RBOB FUT FEB20 XNYM 20200131
000000000
69.00000000
NC
USD
97456.80000000
0.011848433432
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
Gasoline
XBG0 Comdty
2020-01-31
4801612.2
USD
97456.8
N
N
N
Devon Energy Corp
54930042348RKR3ZPN35
Devon Energy Corp
25179M103
31058.00000000
NS
USD
806576.26000000
0.098060526557
Long
EC
CORP
US
N
1
N
N
N
Arconic Inc
549300HO5WFZUT5N2T22
Arconic Inc
03965L100
34637.00000000
NS
USD
1065780.49000000
0.129573607887
Long
EC
CORP
US
N
1
N
N
N
Easterly Government Properties Inc
549300ERMCEFC6S8HL77
Easterly Government Properties Inc
27616P103
19718.00000000
NS
USD
467908.14000000
0.056886522533
Long
EC
US
N
1
N
N
N
MIZUHO BANK LTD/NY
RB0PEZSDGCO3JS6CEU02
Mizuho Bank Ltd/New York NY
60710AHC9
25000000.00000000
PA
USD
24996507.25000000
3.038981909838
Long
DBT
CORP
JP
N
2
2020-04-20
Floating
1.96000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR20 XEUR 20200306
000000000
615.00000000
NC
-1064594.21000000
-0.12942938439
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Bund (FGBL)
RXH0 Comdty
2020-03-06
105800440
EUR
-1064594.21
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SANGAMO THERAPEUTICS INC
000000000
51636.42000000
OU
Notional Amount
USD
21123.99000000
0.002568175738
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Sangamo Therapeutics Inc
Sangamo Therapeutics Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
51636.42
USD
21123.99
N
N
N
Equity LifeStyle Properties Inc
529900PEQG66LENB6798
Equity LifeStyle Properties Inc
29472R108
6022.00000000
NS
USD
423888.58000000
0.051534788981
Long
EC
US
N
1
N
N
N
MarketAxess Holdings Inc
5493002U1CA1XJOVID83
MarketAxess Holdings Inc
57060D108
676.00000000
NS
USD
256278.36000000
0.031157364992
Long
EC
CORP
US
N
1
N
N
N
Graham Holdings Co
529900BOSCEEEMAFQJ29
Graham Holdings Co
384637104
1630.00000000
NS
USD
1041553.70000000
0.126628205323
Long
EC
CORP
US
N
1
N
N
N
South African Futures Exchange
N/A
FTSE/JSE TOP 40 MAR20 XSAF 20200319
000000000
39.00000000
NC
2944.71000000
0.000358006833
N/A
DE
ZA
N
2
South African Futures Exchange
N/A
Long
FTSE/JSE TOP 40
AIH0 Index
2020-03-19
20000760
ZAR
2944.71
N
N
N
London Metal Exchange
213800NB8G5VRT1DXC91
LME ZINC FUTURE MAR20 XLME 20200316
000000000
198.00000000
NC
USD
-51482.50000000
-0.00625904989
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
Zinc
LXH0 Comdty
2020-03-16
11311495
USD
-51482.5
N
N
N
Northwest Bancshares Inc
N/A
Northwest Bancshares Inc
667340103
61843.00000000
NS
USD
1028449.09000000
0.125034995827
Long
EC
CORP
US
N
1
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
157243.72000000
0.019117103671
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
7891526.64000000
USD
7750000.00000000
CHF
2020-03-18
157243.72
N
N
N
NorthWestern Corp
3BPWMBHR1R9SHUN7J795
NorthWestern Corp
668074305
6116.00000000
NS
USD
438333.72000000
0.053290975104
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HERON THERAPEUTICS INC
000000000
206896.00000000
OU
Notional Amount
USD
19879.00000000
0.002416814508
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Heron Therapeutics Inc
Heron Therapeutics Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
206896
USD
19879
N
N
N
Ready Capital Corp
549300MYWGZUG7ZUYO87
Ready Capital Corp
75574U101
47375.00000000
NS
USD
730522.50000000
0.088814194720
Long
EC
US
N
1
N
N
N
MercadoLibre Inc
549300DKPDN9M5S8GB14
MercadoLibre Inc
58733R102
378.00000000
NS
USD
216193.32000000
0.026283975674
Long
EC
CORP
US
N
1
N
N
N
ONE Gas Inc
549300HXDWI0LATTX840
ONE Gas Inc
68235P108
5084.00000000
NS
USD
475709.88000000
0.057835028917
Long
EC
CORP
US
N
1
N
N
N
MITSUBISHI TST&BNK C
JBONEPAGQXF4QP29B387
MITSUBISHI TST&BNK C
60683BVK6
25000000.00000000
PA
USD
25002339.75000000
3.039691003385
Long
STIV
CORP
US
N
2
2020-02-06
Fixed
2.00000000
N
N
N
N
N
N
Medifast Inc
5299000YHQJ21T5KKI80
Medifast Inc
58470H101
5243.00000000
NS
USD
574527.94000000
0.069848959252
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ALNYLAM PHARMACEUTICALS INC
000000000
261152.40000000
OU
Notional Amount
USD
4544.79000000
0.000552538578
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Alnylam Pharmaceuticals Inc
Alnylam Pharmaceuticals Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
261152.4
USD
4544.79
N
N
N
VMware Inc
549300BUDHS3LRWBE814
VMware Inc
928563402
1551.00000000
NS
USD
235426.29000000
0.028622248270
Long
EC
CORP
US
N
1
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460D109
1741.00000000
NS
USD
370763.36000000
0.045076023326
Long
EC
US
N
1
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
BRENT CRUDE FUTR MAR20 IFEU 20200131
000000000
649.00000000
NC
USD
1818380.00000000
0.221071842955
N/A
DCO
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Long
Brent Crude Oil
COH0 Comdty
2020-01-31
41015620
USD
1818380
N
N
N
Lowe's Cos Inc
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661107
10480.00000000
NS
USD
1255084.80000000
0.152588518242
Long
EC
CORP
US
N
1
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953101
36140.00000000
NS
USD
1202377.80000000
0.146180598211
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SOUTHERN COPPER CORP
000000000
259100.53000000
OU
Notional Amount
USD
-24568.45000000
-0.00298694030
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Southern Copper Corp
Southern Copper Corp
Y
equity-performance leg
2020-05-19
0
USD
0
USD
259100.53
USD
-24568.45
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
SOYBEAN FUTURE MAR20 XCBT 20200313
000000000
-168.00000000
NC
USD
-96962.50000000
-0.01178833828
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Soybean
S H0 Comdty
2020-03-13
-7929237.5
USD
-96962.5
N
N
N
IAC/InterActiveCorp
15OMOPB0A8K0EFUVD031
IAC/InterActiveCorp
44919P508
4445.00000000
NS
USD
1107293.95000000
0.134620659169
Long
EC
CORP
US
N
1
N
N
N
Sysco Corp
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829107
29105.00000000
NS
USD
2489641.70000000
0.302681331139
Long
EC
CORP
US
N
1
N
N
N
London Metal Exchange
213800NB8G5VRT1DXC91
LME COPPER FUTURE MAR20 XLME 20200316
000000000
144.00000000
NC
USD
628297.25000000
0.076386030962
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
Copper
LPH20 Comdty
2020-03-16
21601702.75
USD
628297.25
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HALLIBURTON CO
000000000
324787.01000000
OU
Notional Amount
USD
-38047.55000000
-0.00462567890
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Halliburton Co
Halliburton Co
Y
equity-performance leg
2020-05-19
0
USD
0
USD
324787.01
USD
-38047.55
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796TE9
10750000.00000000
PA
USD
10734427.44000000
1.305051560858
Long
STIV
UST
US
N
2
2020-02-06
None
0.00000000
N
N
N
N
N
N
New York Mortgage Trust Inc
549300JFGR0M7ULHWG48
New York Mortgage Trust Inc
649604501
150240.00000000
NS
USD
935995.20000000
0.113794797490
Long
EC
US
N
1
N
N
N
Avangrid Inc
549300OX0Q38NLSKPB49
Avangrid Inc
05351W103
8027.00000000
NS
USD
410661.32000000
0.049926668156
Long
EC
CORP
US
N
1
N
N
N
InterXion Holding NV
724500JX3LUPNMOBTY38
InterXion Holding NV
000000000
30322.00000000
NS
USD
2541286.82000000
0.308960151770
Long
EC
CORP
NL
N
1
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
DAX INDEX FUTURE MAR20 XEUR 20200320
000000000
141.00000000
NC
-553905.09000000
-0.06734171024
N/A
DE
DE
N
2
Eurex Deutschland
529900LN3S50JPU47S06
Long
DAX Index
GXH0 Index
2020-03-20
47099287.5
EUR
-553905.09
N
N
N
Invesco Mortgage Capital Inc
PV3BDP2HFZL2FNXQBL39
Invesco Mortgage Capital Inc
46131B100
28041.00000000
NS
USD
466882.65000000
0.056761847292
Long
EC
US
N
1
N
N
N
NortonLifeLock Inc
YF6ZV0M6AU4FY94MK914
NortonLifeLock Inc
668771108
37003.00000000
NS
USD
944316.56000000
0.114806477332
Long
EC
CORP
US
N
1
N
N
N
First Industrial Realty Trust Inc
N/A
First Industrial Realty Trust Inc
32054K103
10476.00000000
NS
USD
434858.76000000
0.052868502457
Long
EC
US
N
1
N
N
N
United Technologies Corp
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017109
10294.00000000
NS
USD
1541629.44000000
0.187425544416
Long
EC
CORP
US
N
1
N
N
N
Waterstone Financial Inc
5493002KM21XRC2DCQ02
Waterstone Financial Inc
94188P101
29266.00000000
NS
USD
556931.98000000
0.067709708212
Long
EC
CORP
US
N
1
N
N
N
Diamondback Energy Inc
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278X109
9705.00000000
NS
USD
901206.30000000
0.109565293076
Long
EC
CORP
US
N
1
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967424
17440.00000000
NS
USD
1393281.60000000
0.169389968580
Long
EC
CORP
US
N
1
N
N
N
Alliance Data Systems Corp
549300G8S4PO686J7H97
Alliance Data Systems Corp
018581108
6849.00000000
NS
USD
768457.80000000
0.093426226685
Long
EC
CORP
US
N
1
N
N
N
HD Supply Holdings Inc
549300B7Z7O7RWEXS689
HD Supply Holdings Inc
40416M105
38960.00000000
NS
USD
1566971.20000000
0.190506500864
Long
EC
CORP
US
N
1
N
N
N
Aflac Inc
549300N0B7DOGLXWPP39
Aflac Inc
001055102
19558.00000000
NS
USD
1034618.20000000
0.125785013159
Long
EC
CORP
US
N
1
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
Walmart Inc
931142103
8771.00000000
NS
USD
1042345.64000000
0.126724486428
Long
EC
CORP
US
N
1
N
N
N
Fortinet Inc
549300O0QJWDBAS0QX03
Fortinet Inc
34959E109
8678.00000000
NS
USD
926463.28000000
0.112635942289
Long
EC
CORP
US
N
1
N
N
N
Euronext Eqf, Equities And Indices Derivatives
N/A
AMSTERDAM IDX FUT JAN20 XEUE 20200117
000000000
9.00000000
NC
-5089.59000000
-0.00061877332
N/A
DE
NL
N
2
Euronext Eqf, Equities And Indices Derivatives
N/A
Long
Amsterdam Index
EOF0 Index
2020-01-17
1094706
EUR
-5089.59
N
N
N
Regency Centers Corp
529900053A7X7FJ97S58
Regency Centers Corp
758849103
7274.00000000
NS
USD
458916.66000000
0.055793372006
Long
EC
US
N
1
N
N
N
PennyMac Mortgage Investment Trust
549300BSSOQO1ZWDUJ97
PennyMac Mortgage Investment Trust
70931T103
46153.00000000
NS
USD
1028750.37000000
0.125071624323
Long
EC
US
N
1
N
N
N
T-Mobile US Inc
549300QHIJYOHPACPG31
T-Mobile US Inc
872590104
18491.00000000
NS
USD
1450064.22000000
0.176293387256
Long
EC
CORP
US
N
1
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
90DAY STERLING FU MAR20 IFLL 20200318
000000000
167.00000000
NC
-16590.61000000
-0.00201702434
N/A
DIR
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Long
90 Day Sterling (LIBOR)
L H0 Comdty
2020-03-18
20730962.5
GBP
-16590.61
N
N
N
American Financial Group Inc/OH
549300AFOM7IVKIU1G39
American Financial Group Inc/OH
025932104
9464.00000000
NS
USD
1037727.60000000
0.126163042388
Long
EC
CORP
US
N
1
N
N
N
ALLETE Inc
549300NNLSIMY6Z8OT86
ALLETE Inc
018522300
5230.00000000
NS
USD
424519.10000000
0.051611445246
Long
EC
CORP
US
N
1
N
N
N
Commodities Exchange Center
N/A
GOLD 100 OZ FUTR FEB20 XCEC 20200226
000000000
177.00000000
NC
USD
872550.00000000
0.106081367245
N/A
DCO
US
N
1
Commodities Exchange Center
N/A
Long
Gold (100 oz)
GCG0 Comdty
2020-02-26
26086320
USD
872550
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
WYNN RESORTS LTD
000000000
277538.41000000
OU
Notional Amount
USD
-31877.38000000
-0.00387553269
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Wynn Resorts Ltd
Wynn Resorts Ltd
Y
equity-performance leg
2020-05-19
0
USD
0
USD
277538.41
USD
-31877.38
N
N
N
AutoZone Inc
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332102
211.00000000
NS
USD
251366.41000000
0.030560188473
Long
EC
CORP
US
N
1
N
N
N
Carolina Financial Corp
549300J88S3H0BJR4L76
Carolina Financial Corp
143873107
17380.00000000
NS
USD
751337.40000000
0.091344792452
Long
EC
CORP
US
N
1
N
N
N
American Water Works Co Inc
549300DXHIJQMD5WFW18
American Water Works Co Inc
030420103
3573.00000000
NS
USD
438943.05000000
0.053365055167
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
WESTLAKE CHEMICAL CORP
000000000
270333.19000000
OU
Notional Amount
USD
-5236.34000000
-0.00063661464
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Westlake Chemical Corp
Westlake Chemical Corp
Y
equity-performance leg
2020-05-19
0
USD
0
USD
270333.19
USD
-5236.34
N
N
N
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
FTSE 100 IDX FUT MAR20 IFLL 20200320
000000000
559.00000000
NC
396568.66000000
0.048213335235
N/A
DE
GB
N
2
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
Long
FTSE 100 Index
Z H0 Index
2020-03-20
41572205
GBP
396568.66
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
XPERI CORP
000000000
1069530.79000000
OU
Notional Amount
USD
-193.79000000
-0.00002356026
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Xperi Corp
Xperi Corp
Y
equity-performance leg
2020-05-19
0
USD
0
USD
1069530.79
USD
-193.79
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OIL STATES INTERNATIONAL INC
000000000
272117.52000000
OU
Notional Amount
USD
-6036.18000000
-0.00073385620
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Oil States International Inc
Oil States International Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
272117.52
USD
-6036.18
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CAPRI HOLDINGS LTD
000000000
263781.76000000
OU
Notional Amount
USD
-6803.36000000
-0.00082712707
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Capri Holdings Ltd
Capri Holdings Ltd
Y
equity-performance leg
2020-05-19
0
USD
0
USD
263781.76
USD
-6803.36
N
N
N
Western Asset Mortgage Capital Corp
549300JOQRROR5SZYY83
Western Asset Mortgage Capital Corp
95790D105
91844.00000000
NS
USD
948748.52000000
0.115345298462
Long
EC
US
N
1
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718109
13101.00000000
NS
USD
1636314.90000000
0.198937048691
Long
EC
CORP
US
N
1
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161N101
10618.00000000
NS
USD
484074.62000000
0.058851982738
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
GOLAR LNG LTD
000000000
343334.50000000
OU
Notional Amount
USD
-26967.94000000
-0.00327866133
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Golar LNG Ltd
Golar LNG Ltd
Y
equity-performance leg
2020-05-19
0
USD
0
USD
343334.5
USD
-26967.94
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PATTERSON-UTI ENERGY INC
000000000
286702.38000000
OU
Notional Amount
USD
-37085.88000000
-0.00450876265
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Patterson-UTI Energy Inc
Patterson-UTI Energy Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
286702.38
USD
-37085.88
N
N
N
Lululemon Athletica Inc
549300D9GZ4BMLDW5T40
Lululemon Athletica Inc
550021109
964.00000000
NS
USD
223329.88000000
0.027151611961
Long
EC
CORP
US
N
1
N
N
N
US Foods Holding Corp
549300UGOZSO64CFPR97
US Foods Holding Corp
912008109
33681.00000000
NS
USD
1410897.09000000
0.171531594005
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ENCANA CORP
000000000
308796.16000000
OU
Notional Amount
USD
-42573.00000000
-0.00517586619
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Encana Corp
Encana Corp
Y
equity-performance leg
2020-05-19
0
USD
0
USD
308796.16
USD
-42573
N
N
N
Citrix Systems Inc
HCTKJGUQOPZ5NBK7NP58
Citrix Systems Inc
177376100
22266.00000000
NS
USD
2469299.40000000
0.300208190349
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
EURO FX CURR FUT MAR20 XCME 20200316
000000000
-471.00000000
NC
USD
-898432.50000000
-0.10922806484
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Euro FX Currency Future
ECH0 Curncy
2020-03-16
-65524342.5
USD
-898432.5
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO STOXX 50 MAR20 XEUR 20200320
000000000
485.00000000
NC
-55982.01000000
-0.00680608350
N/A
DE
DE
N
2
Eurex Deutschland
529900LN3S50JPU47S06
Long
EURO STOXX 50 Index
VGH0 Index
2020-03-20
18153170
EUR
-55982.01
N
N
N
American Homes 4 Rent
549300ZJUO7A58PNUW40
American Homes 4 Rent
02665T306
16294.00000000
NS
USD
427065.74000000
0.051921056217
Long
EC
US
N
1
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
6736.84000000
0.000819039823
N/A
DFE
NZ
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3025822.50000000
USD
4500000.00000000
NZD
2020-03-18
6736.84
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
58553.13000000
0.007118670662
N/A
DFE
SG
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
5521888.40000000
USD
7500000.00000000
SGD
2020-03-18
58553.13
N
N
N
ICE Futures Europe - Financial Products Division
5R6J7JCQRIPQR1EEP713
LONG GILT FUTURE MAR20 IFLL 20200327
000000000
-388.00000000
NC
264535.83000000
0.032161277327
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
5R6J7JCQRIPQR1EEP713
Short
United Kingdom Gilt
G H0 Comdty
2020-03-27
-51175150
GBP
264535.83
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
STEEL DYNAMICS INC
000000000
224786.40000000
OU
Notional Amount
USD
-2028.64000000
-0.00024663446
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Steel Dynamics Inc
Steel Dynamics Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
224786.4
USD
-2028.64
N
N
N
Hawaiian Electric Industries Inc
JJ8FWOCWCV22X7GUPJ23
Hawaiian Electric Industries Inc
419870100
9917.00000000
NS
USD
464710.62000000
0.056497780004
Long
EC
CORP
US
N
1
N
N
N
Yum! Brands Inc
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498101
9773.00000000
NS
USD
984434.29000000
0.119683840978
Long
EC
CORP
US
N
1
N
N
N
DG BANK NY BRANCH
N/A
DG BANK NY BRANCH
23328AJ70
15000000.00000000
PA
USD
15002553.15000000
1.823954329629
Long
STIV
CORP
DE
N
2
2020-01-24
Fixed
2.09000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
APACHE CORP
000000000
299143.90000000
OU
Notional Amount
USD
-34261.81000000
-0.00416542278
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Apache Corp
Apache Corp
Y
equity-performance leg
2020-05-19
0
USD
0
USD
299143.9
USD
-34261.81
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746U109
5330.00000000
NS
USD
441430.60000000
0.053667482197
Long
EC
CORP
US
N
1
N
N
N
Two Harbors Investment Corp
549300ZUIBT6KH4HU823
Two Harbors Investment Corp
90187B408
69865.00000000
NS
USD
1021426.30000000
0.124181191271
Long
EC
US
N
1
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM
00766T100
32263.00000000
NS
USD
1391503.19000000
0.169173756141
Long
EC
CORP
US
N
1
N
N
N
WESCO International Inc
529900TXOGREY3WNJ434
WESCO International Inc
95082P105
19447.00000000
NS
USD
1154957.33000000
0.140415394735
Long
EC
CORP
US
N
1
N
N
N
ASX - Trade24
549300USWUR0S7VMM868
AUST 10Y BOND FUT MAR20 XSFE 20200316
000000000
-10.00000000
NC
4856.04000000
0.000590379190
N/A
DIR
AU
N
1
ASX - Trade24
549300USWUR0S7VMM868
Short
10 Year Commonwealth Treasury Bond
XMH0 Comdty
2020-03-16
-1436501.3
AUD
4856.04
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CORE LABORATORIES N.V.
000000000
175270.54000000
OU
Notional Amount
USD
35342.43000000
0.004296800522
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Core Laboratories NV
Core Laboratories NV
Y
equity-performance leg
2020-05-19
0
USD
0
USD
175270.54
USD
35342.43
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
SOYBEAN MEAL FUTR MAR20 XCBT 20200313
000000000
135.00000000
NC
USD
27590.00000000
0.003354289063
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Soybean Meal
SMH0 Comdty
2020-03-13
4085860
USD
27590
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-2221.89000000
-0.00027012908
N/A
DFE
ZA
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1274774.06000000
USD
18000000.00000000
ZAR
2020-03-18
-2221.89
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CORN FUTURE MAR20 XCBT 20200313
000000000
-642.00000000
NC
USD
194175.00000000
0.023607070637
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Corn
C H0 Comdty
2020-03-13
-12640950
USD
194175
N
N
N
Open Text Corp
549300HP7ONDQODZJV16
Open Text Corp
683715106
34036.00000000
NS
USD
1499966.52000000
0.182360322346
Long
EC
CORP
CA
N
1
N
N
N
Workday Inc
549300J0DYC0N31V7G13
Workday Inc
98138H101
1580.00000000
NS
USD
259831.00000000
0.031589281683
Long
EC
CORP
US
N
1
N
N
N
HarborOne Bancorp Inc
N/A
HARBORONE BANCORP INC
41165Y100
96054.00000000
NS
USD
1055633.46000000
0.128339969911
Long
EC
CORP
US
N
1
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160104
8707.00000000
NS
USD
1270090.09000000
0.154412805308
Long
EC
CORP
US
N
1
N
N
N
Molina Healthcare Inc
549300NQQCEQ46YHZ591
Molina Healthcare Inc
60855R100
1605.00000000
NS
USD
217782.45000000
0.026477176159
Long
EC
CORP
US
N
1
N
N
N
Campbell Soup Co
5493007JDSMX8Z5Z1902
Campbell Soup Co
134429109
22997.00000000
NS
USD
1136511.74000000
0.138172848855
Long
EC
CORP
US
N
1
N
N
N
UGI Corp
DX6GCWD4Q1JO9CRE5I40
UGI Corp
902681105
9874.00000000
NS
USD
445909.84000000
0.054212051452
Long
EC
CORP
US
N
1
N
N
N
New York Mercantile Exchange
5493008GFNDTXFPHWI47
WTI CRUDE FUTURE FEB20 XNYM 20200121
000000000
37.00000000
NC
USD
32270.00000000
0.003923265968
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
Light Sweet Crude Oil
CLG0 Comdty
2020-01-21
2226950
USD
32270
N
N
N
EastGroup Properties Inc
31TIGQQZC4P6JMHKSW85
EastGroup Properties Inc
277276101
3314.00000000
NS
USD
439668.38000000
0.053453238077
Long
EC
US
N
1
N
N
N
KKR Real Estate Finance Trust Inc
549300K23AYZDZ2REL62
KKR Real Estate Finance Trust Inc
48251K100
49912.00000000
NS
USD
1019203.04000000
0.123910895631
Long
EC
US
N
1
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932107
9179.00000000
NS
USD
446099.40000000
0.054235097449
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
AGIOS PHARMACEUTICALS INC
000000000
392577.60000000
OU
Notional Amount
USD
-61383.60000000
-0.00746278862
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Agios Pharmaceuticals Inc
Agios Pharmaceuticals Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
392577.6
USD
-61383.6
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P MID 400 EMINI MAR20 XCME 20200320
000000000
8.00000000
NC
USD
34580.00000000
0.004204107133
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
S&P MID 400 EMINI Index
FAH0 Index
2020-03-20
1617260
USD
34580
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
TEXAS CAPITAL BANCSHARES INC
000000000
246096.31000000
OU
Notional Amount
USD
3691.69000000
0.000448821869
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Texas Capital Bancshares Inc
Texas Capital Bancshares Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
246096.31
USD
3691.69
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-205473.32000000
-0.02498067814
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
12200000.00000000
NZD
8016132.00000000
USD
2020-03-18
-205473.32
N
N
N
Five Below Inc
529900AAXP5Z6BGI7418
Five Below Inc
33829M101
1740.00000000
NS
USD
222476.40000000
0.027047849053
Long
EC
CORP
US
N
1
N
N
N
Life Storage Inc
W9EE01AFDDF9DQCQZC68
Life Storage Inc
53223X107
4008.00000000
NS
USD
433986.24000000
0.052762424737
Long
EC
US
N
1
N
N
N
Travelers Cos Inc/The
549300Y650407RU8B149
Travelers Cos Inc/The
89417E109
7810.00000000
NS
USD
1069579.50000000
0.130035477321
Long
EC
CORP
US
N
1
N
N
N
Liberty Property Trust
N/A
Liberty Property Trust
531172104
43964.00000000
NS
USD
2640038.20000000
0.320965975399
Long
EC
US
N
1
N
N
N
Suburban Propane Partners LP
JJAX4X60DE65EYFOTY73
Suburban Propane Partners LP
864482104
42315.00000000
NS
USD
924582.75000000
0.112407314481
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
WESTERN DIGITAL CORP
000000000
316935.57000000
OU
Notional Amount
USD
-54360.18000000
-0.00660890747
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Western Digital Corp
Western Digital Corp
Y
equity-performance leg
2020-05-19
0
USD
0
USD
316935.57
USD
-54360.18
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
LOW SU GASOIL G FEB20 IFEU 20200212
000000000
-306.00000000
NC
USD
-901950.00000000
-0.10965570934
N/A
DCO
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Short
Low Sulfur Gas Oil
QSG0 Comdty
2020-02-12
-17878800
USD
-901950
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040W108
5610.00000000
NS
USD
477242.70000000
0.058021383443
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
COHERENT INC
000000000
242938.24000000
OU
Notional Amount
USD
-20694.64000000
-0.00251597697
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Coherent Inc
Coherent Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
242938.24
USD
-20694.64
N
N
N
Atmos Energy Corp
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560105
3995.00000000
NS
USD
446880.70000000
0.054330084982
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PBF ENERGY INC-CLASS A
000000000
244897.41000000
OU
Notional Amount
USD
-1779.91000000
-0.00021639480
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PBF Energy Inc
PBF Energy Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
244897.41
USD
-1779.91
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
NUTANIX INC - A
000000000
63780.78000000
OU
Notional Amount
USD
15432.06000000
0.001876172166
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Nutanix, Inc. Class A
Nutanix, Inc. Class A
Y
equity-performance leg
2020-05-19
0
USD
0
USD
63780.78
USD
15432.06
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
VERICEL CORP
000000000
315506.61000000
OU
Notional Amount
USD
20991.99000000
0.002552127672
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Vericel Corp
Vericel Corp
Y
equity-performance leg
2020-05-19
0
USD
0
USD
315506.61
USD
20991.99
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
AUDUSD CRNCY FUT MAR20 XCME 20200316
000000000
430.00000000
NC
USD
791200.00000000
0.096191138346
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Australian Dollar Currency Future
ADH0 Curncy
2020-03-16
29472200
USD
791200
N
N
N
Entergy Corp
4XM3TW50JULSLG8BNC79
Entergy Corp
29364G103
3761.00000000
NS
USD
450567.80000000
0.054778348817
Long
EC
CORP
US
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796TA7
9100000.00000000
PA
USD
9097511.70000000
1.106041464286
Long
STIV
UST
US
N
2
2020-01-09
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CIMAREX ENERGY CO
000000000
311631.81000000
OU
Notional Amount
USD
-34432.12000000
-0.00418612843
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Cimarex Energy Co
Cimarex Energy Co
Y
equity-performance leg
2020-05-19
0
USD
0
USD
311631.81
USD
-34432.12
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585A102
14085.00000000
NS
USD
848621.25000000
0.103172199270
Long
EC
CORP
US
N
1
N
N
N
Danaher Corp
S4BKK9OTCEWQ3YHPFM11
Danaher Corp
235851102
10191.00000000
NS
USD
1564114.68000000
0.190159215841
Long
EC
CORP
US
N
1
N
N
N
Coca-Cola European Partners PLC
549300LTH67W4GWMRF57
Coca-Cola European Partners PLC
000000000
20534.00000000
NS
USD
1044769.92000000
0.127019221328
Long
EC
CORP
GB
N
1
N
N
N
LKQ Corp
DS830JTTZQN6GK0I2E41
LKQ Corp
501889208
29705.00000000
NS
USD
1060468.50000000
0.128927796000
Long
EC
CORP
US
N
1
N
N
N
Apollo Commercial Real Estate Finance Inc
549300E0AN7M2AQHSY29
Apollo Commercial Real Estate Finance Inc
03762U105
49567.00000000
NS
USD
906580.43000000
0.110218659712
Long
EC
US
N
1
N
N
N
ON Semiconductor Corp
ZV20P4CNJVT8V1ZGJ064
ON Semiconductor Corp
682189105
32552.00000000
NS
USD
793617.76000000
0.096485080569
Long
EC
CORP
US
N
1
N
N
N
Chipotle Mexican Grill Inc
N/A
Chipotle Mexican Grill Inc
169656105
1329.00000000
NS
USD
1112519.19000000
0.135255924315
Long
EC
CORP
US
N
1
N
N
N
Trinity Industries Inc
R1JB4KXN77XFCXOQKV49
Trinity Industries Inc
896522109
40938.00000000
NS
USD
906776.70000000
0.110242521485
Long
EC
CORP
US
N
1
N
N
N
ASX - Trade24
549300USWUR0S7VMM868
SPI 200 FUTURES MAR20 XSFE 20200319
000000000
16.00000000
NC
-21322.95000000
-0.00259236455
N/A
DE
AU
N
2
ASX - Trade24
549300USWUR0S7VMM868
Long
S&P/ASX 200
XPH0 Index
2020-03-19
2674075
AUD
-21322.95
N
N
N
BANK OF NOVA SCOTIA
N/A
BANK OF NOVA SCOTIA
06417MBP9
15000000.00000000
PA
USD
15004609.80000000
1.824204369447
Long
STIV
CORP
CA
N
2
2020-03-10
Variable
2.00000000
N
N
N
N
N
N
TPG RE Finance Trust Inc
N/A
TPG RE Finance Trust Inc
87266M107
50737.00000000
NS
USD
1028438.99000000
0.125033767907
Long
EC
CORP
US
N
1
N
N
N
London Metal Exchange
213800NB8G5VRT1DXC91
LME PRI ALUM FUTR MAR20 XLME 20200316
000000000
-394.00000000
NC
USD
-436138.75000000
-0.05302411885
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Short
Primary Aluminum
LAH20 Comdty
2020-03-16
-17392361.25
USD
-436138.75
N
N
N
Alliant Energy Corp
5493009ML300G373MZ12
Alliant Energy Corp
018802108
8522.00000000
NS
USD
466323.84000000
0.056693909261
Long
EC
CORP
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR20 XCBT 20200331
000000000
1883.00000000
NC
USD
-303984.16000000
-0.03695725782
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUH0 Comdty
2020-03-31
406090484.16
USD
-303984.16
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
BP CURRENCY FUT MAR20 XCME 20200316
000000000
-86.00000000
NC
USD
8325.00000000
0.001012122379
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
British Pound Currency Future
BPH0 Curncy
2020-03-16
-7152775
USD
8325
N
N
N
ASX - Trade24
549300USWUR0S7VMM868
AUST 3YR BOND FUT MAR20 XSFE 20200316
000000000
123.00000000
NC
-67459.72000000
-0.00820150058
N/A
DIR
AU
N
1
ASX - Trade24
549300USWUR0S7VMM868
Long
3 Year Commonwealth Treasury Bond
YMH0 Comdty
2020-03-16
14242812.12
AUD
-67459.72
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR20 XCBT 20200320
000000000
-237.00000000
NC
USD
680976.56000000
0.082790584547
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USH0 Comdty
2020-03-20
-37630757.81
USD
680976.56
N
N
N
Rent-A-Center Inc/TX
529900QUHE15UQNCCJ63
Rent-A-Center Inc/TX
76009N100
33487.00000000
NS
USD
965765.08000000
0.117414108216
Long
EC
CORP
US
N
1
N
N
N
Wendy's Co/The
529900M0JIUCMWVKHG76
Wendy's Co/The
95058W100
52165.00000000
NS
USD
1158584.65000000
0.140856390741
Long
EC
CORP
US
N
1
N
N
N
CREDIT IND ET CM NY
N/A
CREDIT IND ET CM NY
22536UXX3
15000000.00000000
PA
USD
15001405.05000000
1.823814747922
Long
STIV
CORP
FR
N
2
2020-02-14
Fixed
1.80000000
N
N
N
N
N
N
Eagle Materials Inc
529900KRXRGXL61SG039
Eagle Materials Inc
26969P108
9556.00000000
NS
USD
866346.96000000
0.105327224829
Long
EC
CORP
US
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR20 XCBT 20200331
000000000
401.00000000
NC
USD
-170492.13000000
-0.02072779583
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
47732851.51
USD
-170492.13
N
N
N
Apple Hospitality REIT Inc
549300EVZAR0FBZO4F16
Apple Hospitality REIT Inc
03784Y200
65594.00000000
NS
USD
1065902.50000000
0.129588441407
Long
EC
US
N
1
N
N
N
MGM Growth Properties LLC
549300E2UGIBHWE12262
MGM Growth Properties LLC
55303A105
34183.00000000
NS
USD
1058647.51000000
0.128706406843
Long
EC
US
N
1
N
N
N
Evergy Inc
549300PGTHDQY6PSUI61
Evergy Inc
30034W106
6808.00000000
NS
USD
443132.72000000
0.053874419584
Long
EC
CORP
US
N
1
N
N
N
ROYAL BANK OF CANADA NY
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada/New York NY
78012UPX7
20000000.00000000
PA
USD
19997406.00000000
2.431209867438
Long
DBT
CORP
CA
N
2
2020-06-12
Floating
1.92000000
N
N
N
N
N
N
Cerner Corp
549300L4UJ40IEVVI304
Cerner Corp
156782104
20488.00000000
NS
USD
1503614.32000000
0.182803808234
Long
EC
CORP
US
N
1
N
N
N
ICE Futures U.S.
5493004R83R1LVX2IL36
MSCI EAFE MAR20 IFUS 20200320
000000000
22.00000000
NC
USD
52085.00000000
0.006332299596
N/A
DE
US
N
1
ICE Futures U.S.
5493004R83R1LVX2IL36
Long
MSCI EAFE
MFSH0 Index
2020-03-20
2188065
USD
52085
N
N
N
TD Ameritrade Holding Corp
ZI85ER3E6RXD4HPHW309
TD Ameritrade Holding Corp
87236Y108
45961.00000000
NS
USD
2284261.70000000
0.277711998488
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
SCHWAB (CHARLES) CORP
000000000
2255111.46000000
OU
Notional Amount
USD
114327.74000000
0.013899539250
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Charles Schwab Corp/The
Charles Schwab Corp/The
Y
equity-performance leg
2020-05-19
0
USD
0
USD
2255111.46
USD
114327.74
N
N
N
Berkshire Hathaway Inc
5493000C01ZX7D35SD85
Berkshire Hathaway Inc
084670108
3.00000000
NS
USD
1018770.00000000
0.123858248247
Long
EC
CORP
US
N
1
N
N
N
Twitter Inc
549300I8RX485XMK6836
Twitter Inc
90184L102
7119.00000000
NS
USD
228163.95000000
0.027739320121
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
NASDAQ 100 E-MINI MAR20 XCME 20200320
000000000
6.00000000
NC
USD
37371.00000000
0.004543426480
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
NASDAQ 100 Stock Index
NQH0 Index
2020-03-20
1012899
USD
37371
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
SUGAR 11 (WORLD) MAR20 IFUS 20200228
000000000
-562.00000000
NC
USD
-363854.40000000
-0.04423605779
N/A
DCO
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Short
Sugar
SBH0 Comdty
2020-02-28
-8083230.4
USD
-363854.4
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PENN NATIONAL GAMING INC
000000000
316714.75000000
OU
Notional Amount
USD
-28525.75000000
-0.00346805405
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Penn National Gaming Inc
Penn National Gaming Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
316714.75
USD
-28525.75
N
N
N
SUMITOMO MITSUI TRUST NY
5493006GGLR4BTEL8O61
Sumitomo Mitsui Trust Bank Limited/ New York
86564FZ48
25000000.00000000
PA
USD
25005748.75000000
3.040105456862
Long
DBT
CORP
JP
N
2
2020-02-13
Floating
1.97000000
N
N
N
N
N
N
Okta Inc
549300N8J06I8MRHU620
Okta Inc
679295105
2181.00000000
NS
USD
251621.97000000
0.030591258502
Long
EC
CORP
US
N
1
N
N
N
Zendesk Inc
549300SLI6BN94BKKO36
Zendesk Inc
98936J101
3445.00000000
NS
USD
263990.35000000
0.032094959907
Long
EC
CORP
US
N
1
N
N
N
TORONTO DOMINION BANK NY
PT3QB789TSUIDF371261
Toronto-Dominion Bank/NY
89114N4L6
25000000.00000000
PA
USD
25006586.50000000
3.040207307375
Long
DBT
CORP
CA
N
2
2020-10-20
Floating
2.07000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT MAR20 XCME 20200320
000000000
212.00000000
NC
USD
979210.00000000
0.119048691329
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
E-mini S&P 500 Index
ESH0 Index
2020-03-20
33270450
USD
979210
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE MAR20 XEUR 20200306
000000000
636.00000000
NC
-991436.94000000
-0.12053519698
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-OAT
OATH0 Comdty
2020-03-06
104405590
EUR
-991436.94
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT MAR20 XMOD 20200320
000000000
-1082.00000000
NC
977436.37000000
0.118833060024
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
Canadian Government Bond
CNH0 Comdty
2020-03-20
-150022610
CAD
977436.37
N
N
N
Verisk Analytics Inc
549300I1YSWNIRKBWP67
Verisk Analytics Inc
92345Y106
7053.00000000
NS
USD
1053295.02000000
0.128055671117
Long
EC
CORP
US
N
1
N
N
N
William Lyon Homes
54930001WYSBMHJC4N02
William Lyon Homes
552074700
110650.00000000
NS
USD
2210787.00000000
0.268779219124
Long
EC
CORP
US
N
1
N
N
N
Gaming and Leisure Properties Inc
5493006GWRDBCZYWTM57
Gaming and Leisure Properties Inc
36467J108
10838.00000000
NS
USD
466575.90000000
0.056724553774
Long
EC
US
N
1
N
N
N
National Health Investors Inc
549300ZPKZIG6DKDEC02
National Health Investors Inc
63633D104
5428.00000000
NS
USD
442273.44000000
0.053769951534
Long
EC
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
CONTINENTAL RESOURCES INC/OK
000000000
249744.12000000
OU
Notional Amount
USD
-22643.82000000
-0.00275295098
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Continental Resources Inc/OK
Continental Resources Inc/OK
Y
equity-performance leg
2020-05-19
0
USD
0
USD
249744.12
USD
-22643.82
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
WHEAT FUTURE(CBT) MAR20 XCBT 20200313
000000000
538.00000000
NC
USD
870037.50000000
0.105775906887
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Wheat
W H0 Comdty
2020-03-13
14160337.5
USD
870037.5
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ALCOA CORP
000000000
225997.23000000
OU
Notional Amount
USD
-11564.04000000
-0.00140591275
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Alcoa Corp
Alcoa Corp
Y
equity-performance leg
2020-05-19
0
USD
0
USD
225997.23
USD
-11564.04
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244109
16144.00000000
NS
USD
1419380.48000000
0.172562972848
Long
EC
CORP
US
N
1
N
N
N
Advance Auto Parts Inc
529900UCNQ5H9FSL0Y70
Advance Auto Parts Inc
00751Y106
7637.00000000
NS
USD
1223141.92000000
0.148705022300
Long
EC
CORP
US
N
1
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND MAR20 XEUR 20200306
000000000
5.00000000
NC
-25417.72000000
-0.00309019138
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Buxl (FGBX)
UBH0 Comdty
2020-03-06
1014560
EUR
-25417.72
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441C204
4886.00000000
NS
USD
445652.06000000
0.054180711524
Long
EC
CORP
US
N
1
N
N
N
Invitation Homes Inc
N/A
Invitation Homes Inc
46187W107
14725.00000000
NS
USD
441308.25000000
0.053652607342
Long
EC
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MEDNAX INC
000000000
229846.92000000
OU
Notional Amount
USD
-13029.34000000
-0.00158405845
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MEDNAX Inc
MEDNAX Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
229846.92
USD
-13029.34
N
N
N
American Campus Communities Inc
529900MR3ZXRO3W6UX26
American Campus Communities Inc
024835100
9559.00000000
NS
USD
449559.77000000
0.054655796298
Long
EC
US
N
1
N
N
N
KNOT Offshore Partners LP
549300RM8O2QLS7ZQN07
KNOT Offshore Partners LP
000000000
23750.00000000
NS
USD
470487.50000000
0.057200111479
Long
EC
CORP
MH
N
1
N
N
N
Carter Bank & Trust
549300SO0M022D8D8358
Carter Bank & Trust
146102108
43434.00000000
NS
USD
1030254.48000000
0.125254488394
Long
EC
CORP
US
N
1
N
N
N
Zimmer Biomet Holdings Inc
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956P102
8883.00000000
NS
USD
1329607.44000000
0.161648702234
Long
EC
CORP
US
N
1
N
N
N
CREDIT AGRICOLE
N/A
CREDIT AGRICOLE
22535CKF7
35000000.00000000
PA
USD
34999323.10000000
4.255086868486
Long
STIV
CORP
FR
N
2
2020-01-06
Fixed
1.53000000
N
N
N
N
N
N
TFS Financial Corp
N/A
TFS Financial Corp
87240R107
50969.00000000
NS
USD
1003069.92000000
0.121949491210
Long
EC
CORP
US
N
1
N
N
N
Universal Display Corp
N/A
Universal Display Corp
91347P105
1279.00000000
NS
USD
263563.53000000
0.032043068727
Long
EC
CORP
US
N
1
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE MAR20 XEUR 20200306
000000000
47.00000000
NC
-26090.74000000
-0.00317201463
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Bobl (FGBM)
OEH0 Comdty
2020-03-06
6303870
EUR
-26090.74
N
N
N
OGE Energy Corp
CE5OG6JPOZMDSA0LAQ19
OGE Energy Corp
670837103
10264.00000000
NS
USD
456440.08000000
0.055492278668
Long
EC
CORP
US
N
1
N
N
N
Essex Property Trust Inc
549300TR2H2VEFX0NC60
Essex Property Trust Inc
297178105
1151.00000000
NS
USD
346289.86000000
0.042100626682
Long
EC
US
N
1
N
N
N
Hilton Worldwide Holdings Inc
549300HVGPK36ICB0B89
Hilton Worldwide Holdings Inc
43300A203
14365.00000000
NS
USD
1593222.15000000
0.193697993234
Long
EC
CORP
US
N
1
N
N
N
Equity Residential
5493008RACSH5EP3PI59
Equity Residential
29476L107
5352.00000000
NS
USD
433083.84000000
0.052652714318
Long
EC
US
N
1
N
N
N
Loral Space & Communications Inc
5299008CJ8NPI54F8D37
Loral Space & Communications Inc
543881106
14028.00000000
NS
USD
453384.96000000
0.055120848599
Long
EC
CORP
US
N
1
N
N
N
Brookfield Infrastructure Partners LP
549300WEH5R2OODI7Y90
Brookfield Infrastructure Partners LP
000000000
19849.00000000
NS
USD
992251.51000000
0.120634229364
Long
EC
CORP
BM
N
1
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448108
3362.00000000
NS
USD
459484.54000000
0.055862412734
Long
EC
CORP
US
N
1
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599105
17670.00000000
NS
USD
728180.70000000
0.088529487430
Long
EC
CORP
US
N
1
N
N
N
O'Reilly Automotive Inc
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103H107
585.00000000
NS
USD
256382.10000000
0.031169977313
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OWENS CORNING
000000000
284513.01000000
OU
Notional Amount
USD
6312.91000000
0.000767499998
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Owens Corning
Owens Corning
Y
equity-performance leg
2020-05-19
0
USD
0
USD
284513.01
USD
6312.91
N
N
N
Portland General Electric Co
GJOUP9M7C39GLSK9R870
Portland General Electric Co
736508847
7883.00000000
NS
USD
439792.57000000
0.053468336633
Long
EC
CORP
US
N
1
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-1299934.42000000
-0.15804116738
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
292000000.00000000
NOK
31967604.99000000
USD
2020-03-18
-1299934.42
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR20 XCBT 20200320
000000000
685.00000000
NC
USD
130374.98000000
0.015850502702
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
87838609.4
USD
130374.98
N
N
N
Apogee Enterprises Inc
549300579S7QW8V4IJ60
Apogee Enterprises Inc
037598109
26024.00000000
NS
USD
845780.00000000
0.102826770716
Long
EC
CORP
US
N
1
N
N
N
IDACORP Inc
N134NUJDWN8UEFA8B673
IDACORP Inc
451107106
4092.00000000
NS
USD
437025.60000000
0.053131938764
Long
EC
CORP
US
N
1
N
N
N
Atlassian Corp PLC
549300AGBII4MWBVJY22
Atlassian Corp PLC
000000000
2016.00000000
NS
USD
242605.44000000
0.029495062490
Long
EC
CORP
GB
N
1
N
N
N
Hain Celestial Group Inc/The
5493000S8QXWHLIXDP75
Hain Celestial Group Inc/The
405217100
20530.00000000
NS
USD
532856.15000000
0.064782658801
Long
EC
CORP
US
N
1
N
N
N
Brookfield Asset Management Inc
C6J3FGIWG6MBDGTE8F80
Brookfield Asset Management Inc
112585104
18343.00000000
NS
USD
1060225.40000000
0.128898240811
Long
EC
CORP
CA
N
1
N
N
N
Arthur J Gallagher & Co
54930049QLLMPART6V29
Arthur J Gallagher & Co
363576109
10942.00000000
NS
USD
1042006.66000000
0.126683274507
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
CAD CURRENCY FUT MAR20 XCME 20200317
000000000
-56.00000000
NC
USD
-29075.00000000
-0.00353482981
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Canadian Dollar FX Currency Future
CDH0 Curncy
2020-03-17
-4287685
USD
-29075
N
N
N
Ionis Pharmaceuticals Inc
549300SI4ZGLG0BLUZ92
Ionis Pharmaceuticals Inc
462222100
4037.00000000
NS
USD
243875.17000000
0.029649431517
Long
EC
CORP
US
N
1
N
N
N
SUMITOMO MITSUI TRUST NY
N/A
SUMITOMO MITSUI TRUST NY
86564F3B7
5000000.00000000
PA
USD
4999871.20000000
0.607865650042
Long
STIV
CORP
JP
N
2
2020-03-09
Fixed
1.89000000
N
N
N
N
N
N
REPAY HOLDINGS CORP COMMON STOCK
N/A
REPAY HOLDINGS CORP
76029L100
68431.00000000
NS
USD
1002514.15000000
0.121881922771
Long
EC
CORP
US
N
1
N
N
N
Allergan PLC
635400FWJZQC1IPYUH69
Allergan PLC
000000000
13176.00000000
NS
USD
2518855.92000000
0.306233086799
Long
EC
CORP
IE
N
1
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
MSCI TAIWAN INDEX JAN20 XSIM 20200130
000000000
50.00000000
NC
USD
948.28000000
0.000115288337
N/A
DE
SG
N
2
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Long
MSCI Taiwan Index
TWF0 Index
2020-01-30
2300140
USD
948.28
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
KOSMOS ENERGY LTD
000000000
192026.52000000
OU
Notional Amount
USD
9548.28000000
0.001160844189
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Kosmos Energy Ltd
Kosmos Energy Ltd
Y
equity-performance leg
2020-05-19
0
USD
0
USD
192026.52
USD
9548.28
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
AFFILIATED MANAGERS GROUP
000000000
206069.50000000
OU
Notional Amount
USD
1543.50000000
0.000187652960
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Affiliated Managers Group Inc
Affiliated Managers Group Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
206069.5
USD
1543.5
N
N
N
Zebra Technologies Corp
PO0I32GKZ3HZMMDPZZ08
Zebra Technologies Corp
989207105
876.00000000
NS
USD
223765.44000000
0.027204565718
Long
EC
CORP
US
N
1
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936U109
5451.00000000
NS
USD
436298.04000000
0.053043484739
Long
EC
US
N
1
N
N
N
Hanover Insurance Group Inc/The
JJYR6MFKFF6CF8DBZ078
Hanover Insurance Group Inc/The
410867105
7434.00000000
NS
USD
1016004.78000000
0.123522063136
Long
EC
CORP
US
N
1
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
MSCI SING IX ETS JAN20 XSIM 20200130
000000000
73.00000000
NC
4467.93000000
0.000543194227
N/A
DE
SG
N
2
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Long
MSCI Singapore Index
QZF0 Index
2020-01-30
2708812
SGD
4467.93
N
N
N
CenterPoint Energy Inc
21TPXMRRHFKOBHDC8J74
CenterPoint Energy Inc
15189T107
18459.00000000
NS
USD
503376.93000000
0.061198685432
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
NEWELL BRANDS INC
000000000
240961.14000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Newell Brands Inc
Newell Brands Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
240961.14
USD
0
N
N
N
Magellan Health Inc
N/A
Magellan Health Inc
559079207
14133.00000000
NS
USD
1105907.25000000
0.134452069366
Long
EC
CORP
US
N
1
N
N
N
COFCO CAPITAL CORP.
N/A
COFCO CAPITAL CORP.
19213WAF9
15000000.00000000
PA
USD
14988874.95000000
1.822291385204
Long
STIV
CORP
US
N
2
2020-01-15
None
0.00000000
N
N
N
N
N
N
Lions Gate Entertainment Corp
5493000JSMHPHZURLM72
Lions Gate Entertainment Corp
535919401
57055.00000000
NS
USD
608206.30000000
0.073943448365
Long
EC
CORP
CA
N
1
N
N
N
NORDEA BANK ABP NEW YORK
529900ODI3047E2LIV03
Nordea Bank Abp/New York NY
65558TRC1
30000000.00000000
PA
USD
29999927.10000000
3.647278991482
Long
DBT
CORP
FI
N
2
2020-06-11
Floating
1.95000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ULTRAGENYX PHARMACEUTICAL IN
000000000
66320.73000000
OU
Notional Amount
USD
-4433.94000000
-0.00053906185
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Ultragenyx Pharmaceutical Inc
Ultragenyx Pharmaceutical Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
66320.73
USD
-4433.94
N
N
N
Republic Services Inc
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759100
11665.00000000
NS
USD
1045533.95000000
0.127112109239
Long
EC
CORP
US
N
1
N
N
N
Blackstone Mortgage Trust Inc
549300OLDJ20R2Y2UW20
Blackstone Mortgage Trust Inc
09257W100
12266.00000000
NS
USD
456540.52000000
0.055504489787
Long
EC
US
N
1
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
S+P/TSX 60 IX FUT MAR20 XMOD 20200319
000000000
15.00000000
NC
8486.39000000
0.001031743572
N/A
DE
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
S&P/TSX 60 Index
PTH0 Index
2020-03-19
3026180
CAD
8486.39
N
N
N
Redwood Trust Inc
DRBV4N1ERQLEMIF11G78
Redwood Trust Inc
758075402
62330.00000000
NS
USD
1030938.20000000
0.125337612516
Long
EC
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
INVESCO LTD
000000000
219585.60000000
OU
Notional Amount
USD
-5012.28000000
-0.00060937426
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Invesco Ltd
Invesco Ltd
Y
equity-performance leg
2020-05-19
0
USD
0
USD
219585.6
USD
-5012.28
N
N
N
Paycom Software Inc
254900LSB0HNJUDC6Q18
Paycom Software Inc
70432V102
1063.00000000
NS
USD
281439.88000000
0.034216408535
Long
EC
CORP
US
N
1
N
N
N
RingCentral Inc
549300C8EH0H1614VE84
RingCentral Inc
76680R206
1530.00000000
NS
USD
258065.10000000
0.031374590162
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
DIGITAL REALTY TRUST INC
000000000
2540334.96000000
OU
Notional Amount
USD
25932.72000000
0.003152803156
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Digital Realty Trust Inc
Digital Realty Trust Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
2540334.96
USD
25932.72
N
N
N
Consolidated Edison Inc
54930033SBW53OO8T749
Consolidated Edison Inc
209115104
5026.00000000
NS
USD
454702.22000000
0.055280996145
Long
EC
CORP
US
N
1
N
N
N
London Metal Exchange
213800NB8G5VRT1DXC91
LME NICKEL FUTURE MAR20 XLME 20200316
000000000
63.00000000
NC
USD
3948.00000000
0.000479983081
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
Nickel
LNH0 Comdty
2020-03-16
5297502
USD
3948
N
N
N
MDU Resources Group Inc
N/A
MDU Resources Group Inc
552690109
13747.00000000
NS
USD
408423.37000000
0.049654586561
Long
EC
CORP
US
N
1
N
N
N
Amdocs Ltd
N/A
Amdocs Ltd
000000000
14706.00000000
NS
USD
1061626.14000000
0.129068537544
Long
EC
CORP
GG
N
1
N
N
N
DTE Energy Co
549300IX8SD6XXD71I78
DTE Energy Co
233331107
3387.00000000
NS
USD
439869.69000000
0.053477712595
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HOLLYFRONTIER CORP
000000000
245770.85000000
OU
Notional Amount
USD
3671.64000000
0.000446384265
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
HollyFrontier Corp
HollyFrontier Corp
Y
equity-performance leg
2020-05-19
0
USD
0
USD
245770.85
USD
3671.64
N
N
N
Hess Corp
UASVRYNXNK17ULIGK870
Hess Corp
42809H107
12731.00000000
NS
USD
850558.11000000
0.103407675468
Long
EC
CORP
US
N
1
N
N
N
American Electric Power Co Inc
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537101
4842.00000000
NS
USD
457617.42000000
0.055635415264
Long
EC
CORP
US
N
1
N
N
N
iShares iBoxx High Yield Corporate Bond ETF
549300WY6QQ9HGWLNX87
iShares iBoxx High Yield Corporate Bond ETF
464288513
371962.00000000
NS
USD
32710338.28000000
3.976800650723
Long
EC
RF
US
N
1
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
SHORT EURO-BTP FU MAR20 XEUR 20200306
000000000
73.00000000
NC
12697.64000000
0.001543731605
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Short-Term Euro-BTP Futures (FBTS)
BTSH0 Comdty
2020-03-06
8196070
EUR
12697.64
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
MOSAIC CO/THE
000000000
303626.13000000
OU
Notional Amount
USD
-32455.29000000
-0.00394579283
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Mosaic Co/The
Mosaic Co/The
Y
equity-performance leg
2020-05-19
0
USD
0
USD
303626.13
USD
-32455.29
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
W&T OFFSHORE INC
000000000
284715.00000000
OU
Notional Amount
USD
-53280.00000000
-0.00647758322
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
W&T Offshore Inc
W&T Offshore Inc
Y
equity-performance leg
2020-05-19
0
USD
0
USD
284715
USD
-53280
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
Waste Management Inc
94106L109
7912.00000000
NS
USD
901651.52000000
0.109619421259
Long
EC
CORP
US
N
1
N
N
N
Capitol Federal Financial Inc
N/A
Capitol Federal Financial Inc
14057J101
79040.00000000
NS
USD
1085219.20000000
0.131936893583
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PAN AMERICAN SILVER CORP
000000000
378151.59000000
OU
Notional Amount
USD
-59686.92000000
-0.00725651261
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Pan American Silver Corporation
Pan American Silver Corporation
Y
equity-performance leg
2020-05-19
0
USD
0
USD
378151.59
USD
-59686.92
N
N
N
Bank of New York Mellon Corp/The
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
064058100
29960.00000000
NS
USD
1507886.80000000
0.183323240381
Long
EC
CORP
US
N
1
N
N
N
Italian Derivatives Market
N/A
FTSE/MIB IDX FUT MAR20 XDMI 20200320
000000000
13.00000000
NC
5745.04000000
0.000698460487
N/A
DE
IT
N
2
Italian Derivatives Market
N/A
Long
FTSE/MIB Index
STZ7 Index
2020-03-20
1517750
EUR
5745.04
N
N
N
Apartment Investment & Management Co
549300O8FT5GJ4RU1D57
Apartment Investment & Management Co
03748R754
8688.00000000
NS
USD
448735.20000000
0.054555548159
Long
EC
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FIRST HORIZON NATIONAL CORP
000000000
2594254.80000000
OU
Notional Amount
USD
-73077.60000000
-0.00888450143
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
First Horizon National Corp
First Horizon National Corp
Y
equity-performance leg
2020-05-19
0
USD
0
USD
2594254.8
USD
-73077.6
N
N
N
NYSE Euronext - Euronext Paris
549300HIIRNTNKXV3M12
CAC40 10 EURO FUT JAN20 XPAR 20200117
000000000
18.00000000
NC
6369.16000000
0.000774338663
N/A
DE
FR
N
2
NYSE Euronext - Euronext Paris
549300HIIRNTNKXV3M12
Long
CAC 40 Index
CFF0 Index
2020-01-17
1071315
EUR
6369.16
N
N
N
OVERSEA-CHINESE BK CO NY
5493007O3QFXCPOGWK22
Oversea-Chinese Banking Corp Ltd/New York
69033MLX3
20000000.00000000
PA
USD
19999958.20000000
2.431520154373
Long
DBT
CORP
SG
N
2
2020-06-16
Floating
1.96000000
N
N
N
N
N
N
Loews Corp
R8V1FN4M5ITGZOG7BS19
Loews Corp
540424108
20507.00000000
NS
USD
1076412.43000000
0.130866199408
Long
EC
CORP
US
N
1
N
N
N
Ellington Financial Inc
60GS1D1R1YY5G1W7IT74
Ellington Financial Inc
28852N109
56825.00000000
NS
USD
1041602.25000000
0.126634107851
Long
EC
CORP
US
N
1
N
N
N
Public Service Enterprise Group Inc
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573106
7566.00000000
NS
USD
446772.30000000
0.054316906115
Long
EC
CORP
US
N
1
N
N
N
Atlantica Yield plc
549300ITBBGKJ651R879
Atlantica Yield plc
000000000
40304.00000000
NS
USD
1063622.56000000
0.129311254824
Long
EC
CORP
GB
N
1
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-14529.75000000
-0.00176647269
N/A
DFE
SE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2586136.11000000
USD
24000000.00000000
SEK
2020-03-18
-14529.75
N
N
N
ARMOUR Residential REIT Inc
549300K0WA0EJUX74V72
ARMOUR Residential REIT Inc
042315507
59306.00000000
NS
USD
1059798.22000000
0.128846305863
Long
EC
US
N
1
N
N
N
Sun Communities Inc
549300H5GEOJYN41ZG57
Sun Communities Inc
866674104
2822.00000000
NS
USD
423582.20000000
0.051497540446
Long
EC
US
N
1
N
N
N
Mondelez International Inc
549300DV9GIB88LZ5P30
Mondelez International Inc
609207105
44888.00000000
NS
USD
2472431.04000000
0.300588923433
Long
EC
CORP
US
N
1
N
N
N
New Residential Investment Corp
549300WNTHGEO5LP2G31
New Residential Investment Corp
64828T201
75091.00000000
NS
USD
1209716.01000000
0.147072750351
Long
EC
US
N
1
N
N
N
Bloomin' Brands Inc
E1UJ2GO305B5FXGV7N04
Bloomin' Brands Inc
094235108
38267.00000000
NS
USD
844552.69000000
0.102677558954
Long
EC
CORP
US
N
1
N
N
N
Osaka Exchange
3538001249AILNPRUX57
NIKKEI 225 (OSE) MAR20 XOSE 20200312
000000000
7.00000000
NC
6924.55000000
0.000841860903
N/A
DE
JP
N
2
Osaka Exchange
3538001249AILNPRUX57
Long
Nikkei 225 Index
NKH0 Index
2020-03-12
163460500
JPY
6924.55
N
N
N
2020-01-28
Natixis Funds Trust II
John Sgroi
John Sgroi
VP