0001752724-23-046339.txt : 20230228 0001752724-23-046339.hdr.sgml : 20230228 20230228124614 ACCESSION NUMBER: 0001752724-23-046339 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20221231 FILED AS OF DATE: 20230228 DATE AS OF CHANGE: 20230228 PERIOD START: 20221231 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: 23682171 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 AlphaSimplex 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 C000128763 C000069271 C000069270 C000069269 Natixis Funds Trust II 811-00242 0000052136 R4B5ZXLI2IMIOWT67V76 888 BOYLSTON STREET Suite 800 BOSTON 02199-8197 617-449-2139 AlphaSimplex Global Alternatives Fund S000023548 549300O2NJFJ5NLVRI47 2022-12-31 2022-12-31 N 215638450.93 1285760.61 214352690.32 0.00000000 3014501.49000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 15644690.69000000 AUD CAD EUR GBP USD N Morgan Stanley & Co. 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LLC 9R7GPTSO7KV3UQJZQ078 Washington Real Estate Investment Trust Washington Real Estate Investment Trust Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 141461.84000000 USD 13282.38000000 N N N United Rentals Inc 5323X5O7RN0NKFCDRY08 911363109 243.00000000 NS USD 86367.06000000 0.040292034530 Long EC CORP US N 1 N N N Howard Hughes Corp/The 549300BVHY25JZC1KI49 44267D107 1787.00000000 NS USD 136562.54000000 0.063709272692 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 346134.09000000 OU Notional Amount USD 49480.11000000 0.023083503139 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Royal Caribbean Cruises Ltd Royal Caribbean Cruises Ltd Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 346134.09000000 USD 49480.11000000 N N N Euronext N.V. 724500QJ4QSZ3H9QU415 000000000 4.00000000 NC -8359.33000000 -0.00389980176 N/A DE FR N 2 Euronext N.V. 724500QJ4QSZ3H9QU415 Long Euronext CAC 40 Index Futures CFF3 Index 2023-01-20 266800.00000000 EUR -8359.33000000 N N N International Business Machines Corp VGRQXHF3J8VDLUA7XE92 459200101 713.00000000 NS USD 100454.57000000 0.046864151716 Long EC CORP US N 1 N N N Banco Latinoamericano de Comercio Exterior SA 549300CN3134K4LC0651 000000000 7735.00000000 NS USD 125307.00000000 0.058458328567 Long EC CORP PA N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 71606.07000000 OU Notional Amount USD 9787.55000000 0.004566096177 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Charter Communications Inc Charter Communications Inc Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 71606.07000000 USD 9787.55000000 N N N Valero Energy Corp 549300XTO5VR8SKV1V74 91913Y100 611.00000000 NS USD 77511.46000000 0.036160712461 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 75052.85000000 OU Notional Amount USD 7899.72000000 0.003685384115 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Zoom Video Communications Inc Zoom Video Communications Inc Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 75052.85000000 USD 7899.72000000 N N N Royal Gold Inc 5493001NGRU6SFL04184 780287108 857.00000000 NS USD 96601.04000000 0.045066399612 Long EC CORP US N 1 N N N Amphenol Corp 549300D3L3G0R4U4VT04 032095101 1554.00000000 NS USD 118321.56000000 0.055199475137 Long EC CORP US N 1 N N N ICE Futures Europe - Financial Products Division N/A 000000000 15.00000000 NC -4467.18000000 -0.00208403262 N/A DE GB N 2 ICE Futures Europe - Financial Products Division N/A Long FTSE 100 Index Futures Z H3 Index 2023-03-17 1120780.00000000 GBP -4467.18000000 N N N Marathon Petroleum Corp 3BNYRYQHD39K4LCKQF12 56585A102 33.00000000 NS USD 3840.87000000 0.001791845949 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 133507.60000000 OU Notional Amount USD 24443.69000000 0.011403491117 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Brookfield Corp. Brookfield Corp. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 163893.40000000 USD 24443.69000000 N N N Southwest Gas Holdings Inc N/A 844895102 2056.00000000 NS USD 127225.28000000 0.059353246189 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 113074.08000000 OU Notional Amount USD 22059.34000000 0.010291142120 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 StoneCo Ltd StoneCo Ltd Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 113074.08000000 USD 22059.34000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 163492.50000000 OU Notional Amount USD -9246.88000000 -0.00431386234 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Enstar Group Ltd. Enstar Group Ltd. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 163492.50000000 USD -9246.88000000 N N N QIAGEN NV 54930036WK3GMCN17Z57 000000000 1867.00000000 NS USD 93107.29000000 0.043436492381 Long EC CORP NL N 1 N N N Hilton Worldwide Holdings Inc 549300HVGPK36ICB0B89 43300A203 935.00000000 NS USD 118146.60000000 0.055117852649 Long EC CORP US N 1 N N N Four Corners Property Trust Inc 549300SVTPZPBDVNER42 35086T109 3388.00000000 NS USD 87850.84000000 0.040984248841 Long EC US N 1 N N N WP Carey Inc 54930042CRNE713E3Q67 92936U109 402.00000000 NS USD 31416.30000000 0.014656359084 Long EC US N 1 N N N Fixed Income Clearing Corp 549300H47WTHXPU08X20 000000000 2490674.85000000 PA USD 2490674.85000000 1.161951756370 Long RA CORP US N 2 Repurchase N 1.80000000 2023-01-03 2761000.00000000 USD 2540595.85000000 USD UST N N N United States Steel Corp JNLUVFYJT1OZSIQ24U47 912909108 1064.00000000 NS USD 26653.20000000 0.012434273607 Long EC CORP US N 1 N N N Morgan Stanley & Co. 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LLC 9R7GPTSO7KV3UQJZQ078 Fulgent Genetics, Inc. Fulgent Genetics, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 53134.34000000 USD 6078.53000000 N N N Ennis Inc N/A 293389102 4682.00000000 NS USD 103753.12000000 0.048402994077 Long EC CORP US N 1 N N N Schlumberger Ltd 213800ZUA17OK3QLGM62 000000000 1280.00000000 NS USD 68428.80000000 0.031923462167 Long EC CORP CW N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 72893.90000000 OU Notional Amount USD 2541.96000000 0.001185877348 N/A DE US N 1 Morgan Stanley & Co. 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LLC 9R7GPTSO7KV3UQJZQ078 Novocure Ltd Novocure Ltd Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 77224.20000000 USD 3762.80000000 N N N Seagate Technology Holdings PLC 635400RUXIFEZSRU8X70 000000000 1651.00000000 NS USD 86859.11000000 0.040521586116 Long EC CORP IE N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 16636.68000000 OU Notional Amount USD 865.31000000 0.000403685159 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Quanta Services, Inc. Quanta Services, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 16636.68000000 USD 865.31000000 N N N Southern Copper Corp 2549007U6NAP46Q9TU15 84265V105 2393.00000000 NS USD 144513.27000000 0.067418454036 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 67264.86000000 OU Notional Amount USD 11497.97000000 0.005364042775 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 HIPPO PARENT CORP HIPPO PARENT CORP Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 67264.86000000 USD 11497.97000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 172380.00000000 OU Notional Amount USD 8791.20000000 0.004101278125 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Archer-Daniels-Midland Co Archer-Daniels-Midland Co Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 172380.00000000 USD 8791.20000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 69353.04000000 OU Notional Amount USD 16704.99000000 0.007793226189 N/A DE US N 1 Morgan Stanley & Co. 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LLC 9R7GPTSO7KV3UQJZQ078 Comcast Corp Comcast Corp Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 228010.72000000 USD 11146.37000000 N N N Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 000000000 45.00000000 NC -6547.32000000 -0.00305446131 N/A DE HK N 2 Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 Long HKG Hang Seng China Enterprises Index Futures HCF3 Index 2023-01-30 15151500.00000000 HKD -6547.32000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1236130.98000000 OU Notional Amount USD 68280.69000000 0.031854365764 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Provident Financial Services, Inc. Provident Financial Services, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 1236130.98000000 USD 68280.69000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 57752.01000000 OU Notional Amount USD -2973.25000000 -0.00138708312 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 DocuSign, Inc. DocuSign, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 57752.01000000 USD -2973.25000000 N N N Cloudflare Inc 5493007DY18BGNLDWU14 18915M107 62.00000000 NS USD 2803.02000000 0.001307667282 Long EC CORP US N 1 N N N South African Futures Exchange N/A 000000000 11.00000000 NC -11415.82000000 -0.00532571808 N/A DE ZA N 2 South African Futures Exchange N/A Long SAFEX FTSE/JSE Top 40 Index Futures AIH3 Index 2023-03-16 7640050.00000000 ZAR -11415.82000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 110382.53000000 OU Notional Amount USD -1352.57000000 -0.00063100211 N/A DE US N 1 Morgan Stanley & Co. 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LLC 9R7GPTSO7KV3UQJZQ078 Ford Motor Co Ford Motor Co Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 193097.11000000 USD 24100.35000000 N N N Italian Derivatives Market N/A 000000000 2.00000000 NC -6234.89000000 -0.00290870620 N/A DE IT N 2 Italian Derivatives Market N/A Long FTSE/MIB Index Futures STH3 Index 2023-03-17 242895.00000000 EUR -6234.89000000 N N N WEC Energy Group Inc 549300IGLYTZUK3PVP70 92939U106 388.00000000 NS USD 36378.88000000 0.016971506140 Long EC CORP US N 1 N N N EOG Resources Inc XWTZDRYZPBUHIQBKDB46 26875P101 408.00000000 NS USD 52844.16000000 0.024652902616 Long EC CORP US N 1 N N N 3M Co LUZQVYP4VS22CLWDAR65 88579Y101 1704.00000000 NS USD 204343.68000000 0.095330587964 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 54435.69000000 OU Notional Amount USD 3734.20000000 0.001742082170 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Fiverr International Ltd. Fiverr International Ltd. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 54435.69000000 USD 3734.20000000 N N N Lakeland Bancorp Inc 549300NF90LR9ETZDR73 511637100 65949.00000000 NS USD 1161361.89000000 0.541799539938 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 188137.47000000 OU Notional Amount USD 47663.52000000 0.022236026022 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Designer Brands Inc Designer Brands Inc Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 188137.47000000 USD 47663.52000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 210464.65000000 OU Notional Amount USD 12953.46000000 0.006043059212 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Enviva, Inc. Enviva, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 210464.65000000 USD 12953.46000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 35974.24000000 OU Notional Amount USD 3694.63000000 0.001723621940 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Ichor Holdings Ltd Ichor Holdings Ltd Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 35974.24000000 USD 3694.63000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 134126.85000000 OU Notional Amount USD 32790.11000000 0.015297270097 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 DigitalBridge Group Inc DigitalBridge Group Inc Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 134126.85000000 USD 32790.11000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 45582.80000000 OU Notional Amount USD -6689.52000000 -0.00312080057 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Crocs, Inc. Crocs, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 45582.80000000 USD -6689.52000000 N N N Olin Corp 549300GKK294V7W57P06 680665205 1899.00000000 NS USD 100533.06000000 0.046900768938 Long EC CORP US N 1 N N N CVR Energy Inc 529900SOYZIXZBTXB558 12662P108 1703.00000000 NS USD 53372.02000000 0.024899160313 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 53029.76000000 OU Notional Amount USD -2780.33000000 -0.00129708192 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Southern Co. Southern Co. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 53029.76000000 USD -2780.33000000 N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967424 2598.00000000 NS USD 117507.54000000 0.054819717832 Long EC CORP US N 1 N N N Easterly Government Properties Inc 549300ERMCEFC6S8HL77 27616P103 1989.00000000 NS USD 28383.03000000 0.013241275375 Long EC US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 165849.50000000 OU Notional Amount USD -1905.52000000 -0.00088896481 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Annaly Capital Management, Inc. Annaly Capital Management, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 165849.50000000 USD -1905.52000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 111772.56000000 OU Notional Amount USD -2295.17000000 -0.00107074466 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 RCI Hospitality Holdings Inc RCI Hospitality Holdings Inc Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 111772.56000000 USD -2295.17000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -3.00000000 NC USD 7672.50000000 0.003579381247 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short LME Zinc Futures LXH3 COMDTY 2023-03-13 -230910.00000000 USD 7672.50000000 N N N Morgan Stanley & Co. 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LLC 9R7GPTSO7KV3UQJZQ078 IPG Photonics Corp IPG Photonics Corp Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 183516.48000000 USD -6731.41000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796ZK8 5000000.00000000 PA USD 4992846.85000000 2.329267172969 Long STIV UST US N 2 2023-01-17 None 0.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -40261.34000000 -0.01878275469 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 4125000.00000000 CHF 4454970.78000000 USD 2023-03-15 -40261.34000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 300559.20000000 OU Notional Amount USD 31152.25000000 0.014533174252 N/A DE US N 1 Morgan Stanley & Co. 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LLC 9R7GPTSO7KV3UQJZQ078 000000000 146842.56000000 OU Notional Amount USD 31487.27000000 0.014689468069 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Sunnova Energy International Inc Sunnova Energy International Inc Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 146842.56000000 USD 31487.27000000 N N N NextEra Energy Partners LP 5493008F4ZOQFNG3WN54 65341B106 1382.00000000 NS USD 96864.38000000 0.045189253214 Long EC CORP US N 1 N N N ZIM Integrated Shipping Services Ltd 21380089EIJRELKAIL21 000000000 4760.00000000 NS USD 81824.40000000 0.038172788910 Long EC CORP IL N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 169408.68000000 OU Notional Amount USD 5562.26000000 0.002594910281 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 JPMorgan Chase & Co JPMorgan Chase & Co Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 169408.68000000 USD 5562.26000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 161032.10000000 OU Notional Amount USD 12483.82000000 0.005823962359 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Blackstone, Inc. Blackstone, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 161032.10000000 USD 12483.82000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 8.00000000 NC USD -1013.00000000 -0.00047258562 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long LME Primary Aluminum Futures LAH2 COMDTY 2023-03-13 475415.00000000 USD -1013.00000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 200739.00000000 OU Notional Amount USD 3270.78000000 0.001525887076 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 NextEra Energy, Inc. NextEra Energy, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 200739.00000000 USD 3270.78000000 N N N PPL Corp 9N3UAJSNOUXFKQLF3V18 69351T106 1371.00000000 NS USD 40060.62000000 0.018689114627 Long EC CORP US N 1 N N N Exelon Corp 3SOUA6IRML7435B56G12 30161N101 811.00000000 NS USD 35059.53000000 0.016356001852 Long EC CORP US N 1 N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 -43.00000000 NC 8064.99000000 0.003762486016 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Short Montreal Exchange 10 Year Canadian Bond Futures CNH3 Comdty 2023-03-22 -5280570.00000000 CAD 8064.99000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 98495.40000000 OU Notional Amount USD -1542.47000000 -0.00071959442 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Meta Platforms, Inc. Meta Platforms, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 98495.40000000 USD -1542.47000000 N N N Commodities Exchange Center N/A 000000000 45.00000000 NC USD 8808.86000000 0.004109516883 N/A DCO US N 1 Commodities Exchange Center N/A Long COMEX Copper Futures HGH3 Comdty 2023-03-29 4278003.64000000 USD 8808.86000000 N N N Cintas Corp N/A 172908105 398.00000000 NS USD 179744.76000000 0.083854678815 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 74998.76000000 OU Notional Amount USD 9984.00000000 0.004657744199 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Adaptive Biotechnologies Corp Adaptive Biotechnologies Corp Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 74998.76000000 USD 9984.00000000 N N N Exponent Inc 529900NY3F5Q2NWPUZ42 30214U102 1463.00000000 NS USD 144968.67000000 0.067630907633 Long EC CORP US N 1 N N N California Resources Corp 5493003Q8F0T4F4YMR48 13057Q305 1774.00000000 NS USD 77186.74000000 0.036009223809 Long EC CORP US N 1 N N N Medtronic PLC 549300GX3ZBSQWUXY261 000000000 68.00000000 NS USD 5284.96000000 0.002465544048 Long EC CORP IE N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 62483.85000000 OU Notional Amount USD 2333.10000000 0.001088439802 N/A DE US N 1 Morgan Stanley & Co. 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LLC 9R7GPTSO7KV3UQJZQ078 Avis Budget Group Inc Avis Budget Group Inc Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 347720.69000000 USD 87524.48000000 N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887109 778.00000000 NS USD 197845.40000000 0.092299004833 Long EC CORP US N 1 N N N Ingredion Inc PKSTQ48QDN0XSVS7YK88 457187102 934.00000000 NS USD 91466.62000000 0.042671085612 Long EC CORP US N 1 N N N Bain Capital Specialty Finance Inc 549300V2JL72R0EYBK64 05684B107 7005.00000000 NS USD 83359.50000000 0.038888945072 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 68257.35000000 OU Notional Amount USD 8884.00000000 0.004144571260 N/A DE US N 1 Morgan Stanley & Co. 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LLC 9R7GPTSO7KV3UQJZQ078 Snap Inc Snap Inc Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 179301.21000000 USD 24244.65000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 06052TS68 5000000.00000000 PA USD 5007247.45000000 2.335985353169 Long STIV CORP US N 2 2023-04-12 Fixed 5.05000000 N N N N N N Trane Technologies PLC 549300BURLR9SLYY2705 000000000 640.00000000 NS USD 107577.60000000 0.050187193750 Long EC CORP IE N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 54903.30000000 OU Notional Amount USD -1584.25000000 -0.00073908566 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Agnico Eagle Mines Ltd Agnico Eagle Mines Ltd Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 54903.30000000 USD -1584.25000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 60.00000000 NC USD -31500.00000000 -0.01469540687 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Three-Month SOFR Futures SFRM3 Comdty 2023-09-19 14287500.00000000 USD -31500.00000000 N N N American States Water Co 529900L26LIS2V8PWM23 029899101 1081.00000000 NS USD 100046.55000000 0.046673801877 Long EC CORP US N 1 N N N Pinnacle West Capital Corp TWSEY0NEDUDCKS27AH81 723484101 374.00000000 NS USD 28438.96000000 0.013267367886 Long EC CORP US N 1 N N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036P108 453.00000000 NS USD 104982.75000000 0.048976642114 Long EC CORP US N 1 N N N AECOM 0EEB8GF0W0NPCIHZX097 00766T100 3246.00000000 NS USD 275682.78000000 0.128611765771 Long EC CORP US N 1 N N N Willis Towers Watson PLC 549300WHC56FF48KL350 000000000 723.00000000 NS USD 176831.34000000 0.082495507630 Long EC CORP IE N 1 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 397.00000000 NC -281003.70000000 -0.13109408591 N/A DE DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex Stoxx Europe 600 Futures SXOH3 Index 2023-03-17 8680895.00000000 EUR -281003.70000000 N N N NorthWestern Corp 3BPWMBHR1R9SHUN7J795 668074305 545.00000000 NS USD 32340.30000000 0.015087424352 Long EC CORP US N 1 N N N Johnson Controls International plc 549300XQ6S1GYKGBL205 000000000 2181.00000000 NS USD 139584.00000000 0.065118846790 Long EC CORP IE N 1 N N N Wendy's Co/The 529900M0JIUCMWVKHG76 95058W100 6741.00000000 NS USD 152548.83000000 0.071167210344 Long EC CORP US N 1 N N N Morgan Stanley & Co. 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LLC 9R7GPTSO7KV3UQJZQ078 LyondellBasell Industries NV LyondellBasell Industries NV Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 34684.08000000 USD 922.53000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 48765.00000000 OU Notional Amount USD 7183.41000000 0.003351210562 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Palantir Technologies, Inc. Palantir Technologies, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 48765.00000000 USD 7183.41000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 59904.00000000 OU Notional Amount USD 6895.04000000 0.003216679944 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Sleep Number Corp Sleep Number Corp Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 59904.00000000 USD 6895.04000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 64918.74000000 OU Notional Amount USD 3387.49000000 0.001580334725 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Alphabet, Inc. Alphabet, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 64918.74000000 USD 3387.49000000 N N N Gladstone Commercial Corp 529900EVVV534W8R0T32 376536108 6385.00000000 NS USD 118122.50000000 0.055106609496 Long EC US N 1 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 -4.00000000 NC USD 6693.75000000 0.003122773961 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short NYBOT CSC C Coffee Futures KCH3 COMDTY 2023-03-21 -257643.75000000 USD 6693.75000000 N N N Resideo Technologies Inc 5493006TKFPYISY2DS54 76118Y104 4861.00000000 NS USD 79963.45000000 0.037304616928 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 179464.50000000 OU Notional Amount USD 5039.43000000 0.002350999183 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 RenaissanceRe Holdings Ltd. RenaissanceRe Holdings Ltd. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 179464.50000000 USD 5039.43000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 156683.16000000 OU Notional Amount USD -7010.22000000 -0.00327041381 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 AGNC Investment Corp AGNC Investment Corp Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 156683.16000000 USD -7010.22000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 189973.41000000 OU Notional Amount USD 29751.35000000 0.013879625189 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Airbnb, Inc. Airbnb, Inc. Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 189973.41000000 USD 29751.35000000 N N N O'Reilly Automotive Inc 549300K2RLMQL149Q332 67103H107 138.00000000 NS USD 116476.14000000 0.054338548224 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 126035.78000000 OU Notional Amount USD 20122.68000000 0.009387649844 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Southwest Airlines Co Southwest Airlines Co Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 126035.78000000 USD 20122.68000000 N N N CVS Health Corp 549300EJG376EN5NQE29 126650100 1435.00000000 NS USD 133727.65000000 0.062386737390 Long EC CORP US N 1 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 81968.75000000 OU Notional Amount USD 19867.29000000 0.009268505084 N/A DE US N 1 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Pacific Biosciences of California Inc Pacific Biosciences of California Inc Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 81968.75000000 USD 19867.29000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 79893.00000000 OU Notional Amount USD 5610.18000000 0.002617265960 N/A DE US N 1 Morgan Stanley & Co. 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LLC 9R7GPTSO7KV3UQJZQ078 Wix.com Ltd Wix.com Ltd Y equity-performance leg 2023-05-19 0.00000000 USD 0.00000000 USD 76916.50000000 USD 11865.34000000 N N N 2023-01-27 Natixis Funds Trust II John Sgroi John Sgroi Assistant Treasurer