0001775697-24-000571.txt : 20240621 0001775697-24-000571.hdr.sgml : 20240621 20240621114708 ACCESSION NUMBER: 0001775697-24-000571 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20240430 FILED AS OF DATE: 20240621 DATE AS OF CHANGE: 20240621 PERIOD START: 20241031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BNY Mellon Investment Funds III CENTRAL INDEX KEY: 0000053808 ORGANIZATION NAME: IRS NUMBER: 042694144 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-00524 FILM NUMBER: 241058978 BUSINESS ADDRESS: STREET 1: C/O BNY MELLON INVESTMENT ADVISER, INC. STREET 2: 240 GREENWICH STREET CITY: NEW YORK STATE: NY ZIP: 10286 BUSINESS PHONE: 2129226400 MAIL ADDRESS: STREET 1: C/O BNY MELLON INVESTMENT ADVISER, INC. STREET 2: 240 GREENWICH STREET CITY: NEW YORK STATE: NY ZIP: 10286 FORMER COMPANY: FORMER CONFORMED NAME: DREYFUS/LAUREL FUNDS TRUST DATE OF NAME CHANGE: 20181030 FORMER COMPANY: FORMER CONFORMED NAME: DREYFUS LAUREL FUNDS TRUST DATE OF NAME CHANGE: 19941122 FORMER COMPANY: FORMER CONFORMED NAME: LAUREL FUNDS TRUST DATE OF NAME CHANGE: 19940202 0000053808 S000005159 BNY Mellon International Bond Fund C000014125 Class A DIBAX C000014126 Class C DIBCX C000014127 Class I DIBRX C000130466 Class Y DIBYX NPORT-P 1 primary_doc.xml NPORT-P false 0000053808 XXXXXXXX S000005159 C000014125 C000014126 C000014127 C000130466 BNY Mellon Investment Funds III 811-00524 0000053808 549300DOYFL5R4I71F16 240 Greenwich Street New York 10286 212 495 1784 BNY Mellon International Bond Fund S000005159 K5QENRME0RO77ZENN187 2024-10-31 2024-04-30 N 146685348.97 2221800.32 144463548.65 0.00 0.00 1300000.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 273036.97 THB PEN RON DKK CHF ZAR MYR GBP PLN USD IDR JPY NZD AUD KRW NOK SEK MXN HUF SGD COP EUR CLP CAD CZK CNY ILS N Bloomberg Global Aggregate EX USD Index (unhedged) LG38TRUU WELLS FARGO COMMERCIAL MORTGAG N/A WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-SAVE 95003LAA8 357903.53 OU Other Units USD 357139.44 0.247217684556 Long ABS-MBS CORP US Y 2 2040-02-15 Variable 6.58548 N N N N N N TIF FUNDING III LLC N/A TIF FUNDING III LLC 88655AAA8 568425.00 OU Other Units USD 559201.00 0.3870879576375 Long ABS-MBS CORP US Y 2 2049-04-20 Fixed 5.48 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 ING GROEP NV 456837BH5 203000.00 PA USD 204277.72 0.141404334802 Long DBT CORP NL N 2 2034-09-11 Variable 6.114 N N N N N N 9M4WFHU_1071500_S N/A LCH RPI PAY FIXED/RECEIVE INFLATION 2.455 CPURNSA INDEX 2053/12/07 - MS N/A -4298000.00 NC USD 92468.82 0.0640084096397 Short DIR US N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 Y 2053-12-07 4553.97 USD 0.00 USD -4298000.00 USD 87914.85 N N N TEXTAINER MARINE CONTAINERS LI 549300X48KLHDDGPK024 TEXTAINER MARINE CONTAINERS VII LTD 88315LAL2 802666.67 OU Other Units USD 702597.01 0.486348990154 Long ABS-MBS CORP BM Y 2 2046-02-20 Fixed 1.68 N N N N N N CYRUSONE DATA CENTERS ISSUER I N/A CYRUSONE DATA CENTERS ISSUER I LLC 23284BAC8 115799.57 OU Other Units USD 106775.46 0.0739116967552 Long ABS-MBS CORP US Y 2 2048-04-20 Fixed 5.45 N N N N N N COLT FUNDING LLC 213800IHRVKO9R6JZ883 COLT 2023-2 MORTGAGE LOAN TRUST 12598UAA4 290410.63 OU Other Units USD 290760.92 0.2012694016706 Long ABS-CBDO CORP US Y 2 2068-07-01 Variable 6.596 N N N N N N RETAINED VANTAGE DATA CENTERS 254900N4NW6XZ9B4HM15 RETAINED VANTAGE DATA CENTERS ISSUER LLC 76134KAA2 515000.00 OU Other Units USD 493095.51 0.3413286705248 Long ABS-MBS CORP US Y 2 2048-09-15 Fixed 5.00 N N N N N N PUBLIC SERVICE ENTERPRIS PUSS41EMO3E6XXNV3U28 PUBLIC SERVICE ENTERPRISE GROUP INC 744573AZ9 230000.00 PA USD 223770.06 0.1548972471541 Long DBT CORP US N 2 2034-04-01 Fixed 5.45 N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 WELLS FARGO & CO 95000U3D3 360000.00 PA USD 347067.57 0.2402457735832 Long DBT CORP US N 2 2034-04-24 Variable 5.389 N N N N N N AVIS BUDGET RENTAL CAR FUNDING IHXLB8SL0QWSSG2VG640 AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 05377RGY4 383000.00 OU Other Units USD 379911.07 0.2629805743734 Long ABS-MBS CORP US Y 2 2029-06-20 Fixed 5.49 N N N N N N BRASS PLC 213800UCE3NFG8SQKH09 BRASS NO 10 PLC 10554PAA1 86782.50 OU Other Units USD 84792.06 0.0586944324657 Long ABS-CBDO CORP GB Y 2 2069-04-16 Variable 0.669 N N N N N N MULTIFAMILY STRUCTURED CREDIT N/A FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK 35563FAA9 136321.54 OU Other Units USD 133473.77 0.0923926978447 Long ABS-MBS USGA US Y 2 2051-01-25 Variable 7.33002 N N N N N N SBA TOWER TRUST N/A SBA TOWER TRUST 78403DAX8 695000.00 PA USD 551849.88 0.3819993937273 Long DBT CORP US Y 2 2031-10-15 Fixed 2.593 N N N N N N SANTANDER DRIVE AUTO RECEIVABL N/A SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4 80285VAE9 370065.81 OU Other Units USD 365666.10 0.2531199762273 Long ABS-MBS CORP US N 2 2027-02-16 Fixed 1.26 N N N N N N EXETER AUTOMOBILE RECEIVABLES N/A EXETER AUTOMOBILE RECEIVABLES TRUST 2021-1 30165XAE5 84365.69 OU Other Units USD 84012.66 0.0581549192063 Long ABS-MBS CORP US N 2 2026-06-15 Fixed 0.98 N N N N N N WEA FINANCE LLC 3CYEJKBUJZO3UW777J80 WEA FINANCE LLC ZR9993562 283000.00 PA USD 257737.49 0.1784100504303 Long DBT CORP US N 2 2027-01-15 Fixed 2.875 N N N N N N WEA FINANCE LLC/WESTFIEL N/A WEA FINANCE LLC / WESTFIELD UK & EUROPE FINANCE PLC 92890HAD4 856000.00 PA USD 622268.88 0.4307445620816 Long DBT CORP US Y 2 2044-09-17 Fixed 4.75 N N N N N N WEA FINANCE LLC 3CYEJKBUJZO3UW777J80 WEA FINANCE LLC 92928QAD0 111000.00 PA USD 76595.98 0.0530209736059 Long DBT CORP US Y 2 2048-09-20 Fixed 4.625 N N N N N N STACK INFRASTRUCTURE ISSUER LL N/A STACK INFRASTRUCTURE ISSUER LLC 85236KAF9 150000.00 OU Other Units USD 147711.23 0.1022480974476 Long ABS-MBS CORP US Y 2 2048-03-25 Fixed 5.90 N N N N N N VANTAGE DATA CENTERS LLC N/A VANTAGE DATA CENTERS ISSUER LLC 92212KAE6 583000.00 OU Other Units USD 579001.09 0.4007938995066 Long ABS-MBS CORP US Y 2 2048-03-16 Fixed 6.316 N N N N N N AT&T INC 549300Z40J86GGSTL398 AT&T INC 00206RCP5 140000.00 PA USD 125747.94 0.0870447536247 Long DBT CORP US N 2 2035-05-15 Fixed 4.50 N N N N N N MOSAIC SOLAR LOANS LLC N/A MOSAIC SOLAR LOAN TRUST 2023-2 61945WAA7 252744.90 OU Other Units USD 242624.84 0.167948830184 Long ABS-MBS CORP US Y 2 2053-09-22 Fixed 5.36 N N N N N N OCTAGON 61 LTD N/A OCT61 2023-2A A 675947AA3 539672.00 OU Other Units USD 542357.41 0.375428552786 Long ABS-CBDO CORP KY Y 2 2036-04-20 Variable 7.17456 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 US BANCORP 91159HJN1 583000.00 PA USD 576501.01 0.3990633037796 Long DBT CORP US N 2 2034-06-12 Variable 5.836 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 TRUIST FINANCIAL CORP 89788MAP7 826000.00 PA USD 810820.99 0.5612633758322 Long DBT CORP US N 2 2034-06-08 Variable 5.867 N N N N N N REGATTA XXV FUNDING LTD. N/A REGATTA XXV FUNDING LTD 758978AA8 600000.00 OU Other Units USD 604826.40 0.418670595906 Long ABS-CBDO CORP KY Y 2 2036-07-15 Variable 7.22856 N N N N N N INVESCO CLO LTD 213800YAVR2FVYDIRM63 INVESCO US CLO 2023-3 LTD 46091RAA1 575000.00 OU Other Units USD 578885.28 0.4007137339554 Long ABS-CBDO CORP JE Y 2 2036-07-15 Variable 7.12856 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 TRUIST FINANCIAL CORP 89788MAM4 304000.00 PA USD 283388.90 0.196166370443 Long DBT CORP US N 2 2034-01-26 Variable 5.122 N N N N N N PFIZER INVESTMENT ENTER 5493000FQO8XF9C0RT95 PFIZER INVESTMENT ENTERPRISES PTE LTD 716973AH5 300000.00 PA USD 275421.52 0.1906512214145 Long DBT CORP SG N 2 2063-05-19 Fixed 5.34 N N N N N N WEA FINANCE LLC 3CYEJKBUJZO3UW777J80 WEA FINANCE LLC 92928QAE8 93000.00 PA USD 84878.71 0.0587544129942 Long DBT CORP US Y 2 2028-09-20 Fixed 4.125 N N N N N N BALLYROCK LTD 254900B0CDDYIJW8YL36 BALLYROCK CLO 24 LTD 05875AAA6 545000.00 OU Other Units USD 546766.89 0.3784808660104 Long ABS-CBDO CORP JE Y 2 2036-07-15 Variable 7.09856 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 WELLS FARGO & CO 95000U3F8 630000.00 PA USD 614366.68 0.425274531701 Long DBT CORP US N 2 2034-07-25 Variable 5.557 N N N N N N COLUMBIA PIPELINES OPCO N/A COLUMBIA PIPELINES OPERATING CO LLC 19828TAA4 910000.00 PA USD 911935.79 0.631256672373 Long DBT CORP US Y 2 2030-08-15 Fixed 5.927 N N N N N N COLUMBIA PIPELINES OPCO N/A COLUMBIA PIPELINES OPERATING CO LLC 19828TAB2 341000.00 PA USD 342244.72 0.236907318973 Long DBT CORP US Y 2 2033-11-15 Fixed 6.036 N N N N N N AVIS BUDGET RENTAL CAR FUNDING IHXLB8SL0QWSSG2VG640 AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 05377RHM9 261000.00 OU Other Units USD 264187.15 0.1828746091791 Long ABS-MBS CORP US Y 2 2030-02-20 Fixed 6.02 N N N N N N JBS USA HOLD/FOOD/LUX CO N/A JBS USA HOLDING LUX SARL/ JBS USA FOOD CO/ JBS LUX CO SARL 46590XAU0 639000.00 PA USD 532571.16 0.368654352587 Long DBT CORP LU N 2 2032-01-15 Fixed 3.625 N N N N N N PNC FINANCIAL SERVICES CFGNEKW0P8842LEUIA51 PNC FINANCIAL SERVICES GROUP INC/THE 693475BS3 480000.00 PA USD 479085.12 0.3316304524407 Long DBT CORP US N 2 2034-08-18 Variable 5.939 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP 29273VAU4 284000.00 PA USD 296088.46 0.2049572108444 Long DBT CORP US N 2 2033-12-01 Fixed 6.55 N N N N N N SUNNOVA HESTIA I ISSUER, LLC N/A HELIOS ISSUER LLC 86746BAA1 97126.63 OU Other Units USD 96618.84 0.0668811204645 Long ABS-MBS CORP US Y 2 2050-12-20 Fixed 5.75 N N N N N N ALIGNED DATA CENTERS ISSUERS L N/A ALIGNED DATA CENTERS ISSUER LLC 01627AAD0 379000.00 OU Other Units USD 372806.72 0.25806282864 Long ABS-MBS CORP US Y 2 2048-08-17 Fixed 6.00 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 TRUIST FINANCIAL CORP 89788MAK8 72000.00 PA USD 71937.77 0.049796485461 Long DBT CORP US N 2 2033-10-28 Variable 6.123 N N N N N N ENT AUTO RECEIVABLES TRUST N/A ENT AUTO RECEIVABLES TRUST 2023-1 293601AE0 192000.00 OU Other Units USD 193324.86 0.1338225883322 Long ABS-MBS CORP US Y 2 2029-01-16 Fixed 6.24 N N N N N N CYRUSONE DATA CENTERS ISSUER I N/A CYRUSONE DATA CENTERS ISSUER I LLC 23284BAE4 394000.00 OU Other Units USD 383466.02 0.2654413681398 Long ABS-MBS CORP US Y 2 2048-11-20 Fixed 5.56 N N N N N N 9M4FWJU_1071500_S N/A LCH IRS PAY FIXED/RECEIVE INFLATION 2.53 CPURNSA - MS N/A -4957000.00 NC USD 52294.33 0.0361989792502 Short DIR US N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 Y 2053-07-28 88827.54 USD 0.00 USD -4957000.00 USD -36533.21 N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 ENERGY TRANSFER LP 29273VAT7 270000.00 PA USD 278274.15 0.1926258579416 Long DBT CORP US N 2 2030-12-01 Fixed 6.40 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 ENTERPRISE PRODUCTS OPERATING LLC 29379VCF8 1279000.00 PA USD 1219957.28 0.8444741191812 Long DBT CORP US N 2 2034-01-31 Fixed 4.85 N N N N N N BIMBO BAKERIES USA INC 549300HOXXHHT7926W92 BIMBO BAKERIES USA INC 09031WAE3 200000.00 PA USD 191362.06 0.1324639064928 Long DBT CORP US Y 2 2036-01-09 Fixed 5.375 N N N N N N DUKE ENERGY CAROLINAS MWIUSDMN17TCR56VW396 DUKE ENERGY CAROLINAS LLC 26442CBM5 1240000.00 PA USD 1178684.50 0.8159044347274 Long DBT CORP US N 2 2034-01-15 Fixed 4.85 N N N N N N CONSUMERS ENERGY CO 7NKTFWJ1G6MELP9TU740 CONSUMERS ENERGY CO 210518DW3 438000.00 PA USD 424442.32 0.2938058243524 Long DBT CORP US N 2 2029-05-30 Fixed 4.60 N N N N N N 9M5DG0U_1071500_S N/A Buy Protection UNITED AIRLINES HOLDINGS 4.875% 01/15/2025 20281220 - GS - CON N/A -210000.00 NC USD -15348.19 -0.0106242648359 Short DCR US N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 999C5HAD6 UNITED AIRLINES HOLDINGS INC. 500(20-DEC-2028) GOL Y 2028-12-20 791.18 USD 0.00 USD -210000.00 USD -16139.37 N N N 5ON3AIU80J0RDOGI_1071500_S N/A KRW/USD FWD 20240514 2467 N/A -7810888000.00 NC -5655538.65 -3.9148551332502 Short DFE KR N 2 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 7810888000.00 KRW 5655538.65 USD 2024-05-14 224802.26 N N N 9M5DJ5U_1071500_S N/A Buy Protection SOUTHWEST AIRLINES CO 5.125% 06/15/2027 20281220 - CITI - CON N/A -660000.00 NC USD -189.95 -0.0001314864557 Short DCR US N 2 CITIBANK MBNUM2BPBDO7JBLYG310 8C8BB5AE0 SOUTHWEST AIRLINES CO Y 2028-12-20 0.00 USD 1323.91 USD -660000.00 USD 1133.96 N N N V36NGFIBLBV4PLSH_1071500_S N/A MYR/USD FWD 20240514 GOLDUS33 N/A -5506000.00 NC -1154768.26 -0.7993492273941 Short DFE MY N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 5506000.00 MYR 1154768.26 USD 2024-05-14 21476.13 N N N D9C9TNEL1EJGST3U_1071500_S N/A CNY/USD FWD 20240514 816 N/A -1720000.00 NC -237857.09 -0.1646485166831 Short DFE CN N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 1720000.00 CNY 237857.09 USD 2024-05-14 4499.92 N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 ISRAEL GOVERNMENT INTERNATIONAL BOND 46514BRL3 842000.00 PA USD 800952.50 0.5544322477779 Long DBT USGSE IL N 2 2034-03-12 Fixed 5.50 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 GFL ENVIRONMENTAL INC 36168QAQ7 400000.00 PA USD 403733.50 0.2794708449106 Long DBT CORP CA Y 2 2031-01-15 Fixed 6.75 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 MORGAN STANLEY 61747YFL4 571000.00 PA USD 555728.95 0.384684548589 Long DBT CORP US N 2 2035-01-18 Variable 5.466 N N N N N N LOO1T73FAQ48J032_1071500_L N/A COP/USD FWD 20240514 229 N/A 1457480000.00 NC 370663.22 0.2565790633442 Long DFE CO N 2 BARCLAYS AC28XWWI3WIBK2824319 370663.22 USD 1457480000.00 COP 2024-05-14 5335.15 N N N REPUBLIC OF POLAND 259400R9L8QEP0TPXS31 REPUBLIC OF POLAND GOVERNMENT INTERNATIONAL BOND 731011AZ5 848000.00 PA USD 799341.76 0.5533172675528 Long DBT USGSE PL N 2 2054-03-18 Fixed 5.50 N N N N N N 9M6HBAU_1071500_S N/A TRS SOFRRATE INDEX/IBOXIG INDEX 2024/06/20 - JPM N/A -4336.37 NC USD 40770.55 0.0282220327418 Short DE US N N/A JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 TRS IBOXX EURO CORPORATES OVERALL TOTAL RETURN INDEX IBOXIG Y 2024-06-20 0.00 USD 0.00 USD 0.00 USD 40770.55 N N N 94SI5VVK06NF05QT_1071500_L N/A CNY/USD FWD 20240514 8409 N/A 32360000.00 NC 4475032.18 3.0976895014824 Long DFE CN N 2 BNP PARIBAS SA RCNB6OTYUAMMP879YW96 4475032.18 USD 32360000.00 CNY 2024-05-14 -79205.62 N N N FS6L35NHVI3IFUE1_1071500_L N/A CLP/USD FWD 20240514 908 N/A 175322000.00 NC 182578.98 0.1263841167589 Long DFE CL N 2 CITIBANK N A MBNUM2BPBDO7JBLYG310 182578.98 USD 175322000.00 CLP 2024-05-14 4558.18 N N N V36NGFIBLBV4PLSH_1071500_L N/A MYR/USD FWD 20240514 GOLDUS33 N/A 5535000.00 NC 1160850.40 0.8035593828672 Long DFE MY N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 1160850.40 USD 5535000.00 MYR 2024-05-14 205.38 N N N FA7F55KCMHJM6U79_1071500_L N/A PEN/USD FWD 20240514 GOLDUS33 N/A 700000.00 NC 185909.60 0.1286896256788 Long DFE PE N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 185909.60 USD 700000.00 PEN 2024-05-14 1776.60 N N N METRONET INFRASTRUCTURE ISSUER 5493000BIROCAEATAQ61 METRONET INFRASTRUCTURE ISSUER LLC 59170JAG3 123114.00 OU Other Units USD 121839.29 0.0843391230096 Long ABS-MBS CORP US Y 2 2054-04-20 Fixed 6.23 N N N N N N N8598O04H7TEBH0E_1071500_L N/A IDR/USD FWD 20240514 816 N/A 5520670000.00 NC 339408.71 0.2349441870781 Long DFE ID N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 339408.71 USD 5520670000.00 IDR 2024-05-14 -13673.73 N N N ALEXANDRIA REAL ESTATE E MGCJBT4MKTQBVLNUIS88 ALEXANDRIA REAL ESTATE EQUITIES INC 015271BC2 343000.00 PA USD 322746.31 0.223410204869 Long DBT CORP US N 2 2036-05-15 Fixed 5.25 N N N N N N BAE SYSTEMS PLC 8SVCSVKSGDWMW2QHOH83 BAE SYSTEMS PLC 05523RAL1 388000.00 PA USD 376893.62 0.2608918467821 Long DBT CORP GB Y 2 2034-03-26 Fixed 5.30 N N N N N N 338D4CMMHT2BTSOM_1071500_L N/A JPY/USD FWD 20240514 2467 N/A 1028688000.00 NC 6536410.66 4.5246089557415 Long DFE JP N 2 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 6536410.66 USD 1028688000.00 JPY 2024-05-14 -282591.58 N N N ROMANIA 315700IASY927EDWBK92 ROMANIAN GOVERNMENT INTERNATIONAL BOND 77586RAU4 170000.00 PA USD 166555.80 0.1152926129507 Long DBT USGSE RO Y 2 2034-01-30 Fixed 6.375 N N N N N N BO07PHE7VCNUL5SR_1071500_S N/A JPY/USD FWD 20240514 8409 N/A -17370000.00 NC -110371.13 -0.0764006775628 Short DFE JP N 2 BNP PARIBAS SA RCNB6OTYUAMMP879YW96 17370000.00 JPY 110371.13 USD 2024-05-14 3481.81 N N N IG3LQMKEEVVAIMCS_1071500_S N/A MXN/USD FWD 20240514 2467 N/A -1530000.00 NC -89114.56 -0.0616865367303 Short DFE MX N 2 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 1530000.00 MXN 89114.56 USD 2024-05-14 3808.82 N N N 9TEV62VMJTDNMITS_1071500_S N/A PLN/USD FWD 20240514 2467 N/A -320000.00 NC -78874.79 -0.0545984026677 Short DFE PL N 2 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 320000.00 PLN 78874.79 USD 2024-05-14 2367.76 N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 CARRIER GLOBAL CORP 14448CBC7 165000.00 PA USD 168663.88 0.1167518599509 Long DBT CORP US N 2 2034-03-15 Fixed 5.90 N N N N N N 4BATQAU263359TGM_1071500_L N/A AUD/USD FWD 20240514 050 N/A 255000.00 NC 165260.25 0.1143958123307 Long DFE AU N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 165260.25 USD 255000.00 AUD 2024-05-14 -3189.69 N N N 9M6U45U_1071500_L N/A ICE Sell Protection CDX.NA.HY.42 20290620 - MS - CON N/A 230000.00 NC USD 13514.24 0.0093547750462 Long DCR US N 2 BNP PARIBAS SA RCNB6OTYUAMMP879YW96 CDX.NA.HY.42-V1 2I65BRAB2 Y 2029-06-20 15851.81 USD 0.00 USD 230000.00 USD -2337.57 N N N 4BATQAU263359TGM_1071500_S N/A AUD/USD FWD 20240514 050 N/A -744000.00 NC -482171.09 -0.3337666106819 Short DFE AU N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 744000.00 AUD 482171.09 USD 2024-05-14 8670.35 N N N 9VHFBU6L3H3O6UAE_1071500_S N/A AUD/USD FWD 20240514 229 N/A -830000.00 NC -537905.92 -0.3723471595614 Short DFE AU N 2 BARCLAYS AC28XWWI3WIBK2824319 830000.00 AUD 537905.92 USD 2024-05-14 10904.44 N N N FUI9852UCFV8JL0L_1071500_L N/A THB/USD FWD 20240514 908 N/A 34802263.57 NC 940126.26 0.6507705706978 Long DFE TH N 2 CITIBANK N A MBNUM2BPBDO7JBLYG310 940126.26 USD 34802263.57 THB 2024-05-14 -10010.21 N N N FNVMDKFP5P5SG2F3_1071500_L N/A GBP/USD FWD 20240514 908 N/A 15000.00 NC 18744.56 0.0129752869669 Long DFE GB N 2 CITIBANK N A MBNUM2BPBDO7JBLYG310 18744.56 USD 15000.00 GBP 2024-05-14 123.95 N N N 3GL3FTC507T56HU0_1071500_S N/A EUR/USD FWD 20240514 908 N/A -830000.00 NC -886265.74 -0.6134874494514 Short DFE XX N 2 CITIBANK N A MBNUM2BPBDO7JBLYG310 830000.00 EUR 886265.74 USD 2024-05-14 -911.71 N N N PMRM4O6UCJBDBED4_1071500_L N/A CNH/USD FWD 20240514 050 N/A 4100000.00 NC 565595.58 0.3915143891213 Long DFE CN N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 565595.58 USD 4100000.00 CNY 2024-05-14 213.48 N N N MIINJDLI9L9RBAL4_1071500_L N/A NZD/USD FWD 20240514 816 N/A 113000.00 NC 66584.94 0.046091170141 Long DFE NZ N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 66584.94 USD 113000.00 NZD 2024-05-14 103.42 N N N 9M7EHAU N/A SWOCDX42 5Y 0.55 20-06-2024 PUT - CITI N/A 15300000.00 NC USD 23228.95 0.0160794541024 Long DCR US N 2 CITIBANK MBNUM2BPBDO7JBLYG310 Put Purchased CDX.NA.IG.42-V1 2I65BYEE1 1.00 0.55 USD 2024-06-20 XXXX -3546.05 N N N PKTAM8CAF21A0PU5_1071500_L N/A GBP/USD FWD 20240514 GOLDUS33 N/A 245000.00 NC 306161.20 0.2119297240453 Long DFE GB N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 306161.20 USD 245000.00 GBP 2024-05-14 -2088.49 N N N 9M6QAFU N/A SWOITX41 5Y 0.65 15-05-2024 PUT - CITI N/A -26300000.00 NC -3805.23 -0.0026340416219 Short DCR US N 2 CITIBANK MBNUM2BPBDO7JBLYG310 Put Written iTraxx Europe Series 41 Version 1 2I666VDJ1 1.00 0.65 EUR 2024-05-15 XXXX 14178.76 N N N JQMPJI3AD2MV63E0_1071500_L N/A DKK/USD FWD 20240514 816 N/A 2298000.00 NC 329089.62 0.2278011464312 Long DFE DK N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 329089.62 USD 2298000.00 DKK 2024-05-14 -5446.67 N N N TSNFFEKG1S3IOU67_1071500_L N/A NOK/USD FWD 20240514 816 N/A 3182000.00 NC 286550.86 0.1983551301887 Long DFE NO N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 286550.86 USD 3182000.00 NOK 2024-05-14 -10271.51 N N N HQFRC8U1BO0FVOOL_1071500_L N/A SEK/USD FWD 20240514 050 N/A 7445000.00 NC 675975.48 0.4679211374197 Long DFE SE N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 675975.48 USD 7445000.00 SEK 2024-05-14 -24601.10 N N N RITCV70CPEOER7GO_1071500_S N/A NZD/USD FWD 20240514 GOLDUS33 N/A -120000.00 NC -70709.67 -0.0489463748196 Short DFE NZ N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 120000.00 NZD 70709.67 USD 2024-05-14 -28.35 N N N 9M7EGZU N/A SWOCDX42 5Y 0.625 20-06-2024 PUT - CITI N/A -30600000.00 NC USD -20947.13 -0.0144999414701 Short DCR US N 2 CITIBANK MBNUM2BPBDO7JBLYG310 Put Written CDX.NA.IG.42-V1 2I65BYEE1 1.00 0.625 USD 2024-06-20 XXXX 4297.87 N N N VKB59A6K0FEQLJRV_1071500_S N/A CNY/USD FWD 20240514 050 N/A -3580000.00 NC -495074.64 -0.3426986562537 Short DFE CN N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 3580000.00 CNY 495074.64 USD 2024-05-14 7223.73 N N N O68FCSDQ5VRBLE23_1071500_L N/A GBP/USD FWD 20240514 050 N/A 47000.00 NC 58732.96 0.0406559028549 Long DFE GB N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 58732.96 USD 47000.00 GBP 2024-05-14 161.70 N N N 2S91JQUIJ4AB2B9Q_1071500_S N/A CHF/USD FWD 20240514 050 N/A -402000.00 NC -437997.66 -0.303189049482 Short DFE CH N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 402000.00 CHF 437997.66 USD 2024-05-14 8427.93 N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 ELECTRICITE DE FRANCE SA 268317AZ7 920000.00 PA USD 914670.45 0.6331496481621 Long DBT CORP FR Y 2 2034-04-22 Fixed 5.95 N N N N N N NA3962O57LL6428N_1071500_S N/A GBP/USD FWD 20240514 235 N/A -95000.00 NC -118715.57 -0.0821768336091 Short DFE GB N 2 RBC CAPITAL MARKETS LLC 549300LCO2FLSSVFFR64 95000.00 GBP 118715.57 USD 2024-05-14 -462.80 N N N 9M7AJAU N/A SWOITX41 5Y 0.6 19-06-2024 PUT - CITI N/A -11450000.00 NC -16525.77 -0.0114394047179 Short DCR US N 2 CITIBANK MBNUM2BPBDO7JBLYG310 Put Written iTraxx Europe Series 41 Version 1 2I666VDJ1 1.00 0.60 EUR 2024-06-19 XXXX 20075.87 N N N 2677JGU41TSLHGUA_1071500_L N/A CHF/USD FWD 20240514 0642 N/A 394000.00 NC 429281.29 0.2971554374868 Long DFE CH N 2 UBS SECURITIES LLC T6FIZBDPKLYJKFCRVK44 429281.29 USD 394000.00 CHF 2024-05-14 -7503.53 N N N EQPSTISLJONBG66C_1071500_S N/A CAD/USD FWD 20240514 235 N/A -250000.00 NC -181641.47 -0.1257351572056 Short DFE CA N 2 RBC CAPITAL MARKETS LLC 549300LCO2FLSSVFFR64 250000.00 CAD 181641.47 USD 2024-05-14 328.51 N N N 34675JEI2F7DU5PO_1071500_L N/A CAD/USD FWD 20240514 816 N/A 5825000.00 NC 4232246.30 2.9296291968112 Long DFE CA N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 4232246.30 USD 5825000.00 CAD 2024-05-14 -84990.32 N N N H00J5GT7ESLCP2SF_1071500_L N/A MXN/USD FWD 20240514 GOLDUS33 N/A 3686000.00 NC 214690.36 0.1486121322688 Long DFE MX N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 214690.36 USD 3686000.00 MXN 2024-05-14 -7139.25 N N N HI538MOOLO80I8N9_1071500_S N/A GBP/USD FWD 20240514 050 N/A -1175000.00 NC -1468324.11 -1.0163976475182 Short DFE GB N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 1175000.00 GBP 1468324.11 USD 2024-05-14 17706.61 N N N 6C7P9RQSGKS05G87_1071500_S N/A GBP/USD FWD 20240514 229 N/A -360000.00 NC -449869.51 -0.3114069356623 Short DFE GB N 2 BARCLAYS AC28XWWI3WIBK2824319 360000.00 GBP 449869.51 USD 2024-05-14 -1291.04 N N N DPA5GV44QC43GVKU_1071500_S N/A MYR/USD FWD 20240514 050 N/A -725000.00 NC -152053.58 -0.1052539422026 Short DFE MY N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 725000.00 MYR 152053.58 USD 2024-05-14 363.33 N N N VO73EJ7GUCNSV5S0_1071500_S N/A CNY/USD FWD 20240514 2467 N/A -5120000.00 NC -708039.70 -0.4901165080164 Short DFE CN N 2 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 5120000.00 CNY 708039.70 USD 2024-05-14 10758.56 N N N 9M7CPAU_1071500_S N/A ICE Buy Protection CDX.NA.IG.42 20290620 - MS - CON N/A -48385000.00 NC USD -1017891.77 -0.7046011118459 Short DCR US N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 CDX.NA.IG.42-V1 2I65BYEE1 Y 2029-06-20 0.00 USD 933184.53 USD -48385000.00 USD -84707.24 N N N OOC1TMDSV6OCC78H_1071500_L N/A RON/USD FWD 20240514 GOLDUS33 N/A 1540000.00 NC 330176.73 0.228553661519 Long DFE RO N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 330176.73 USD 1540000.00 RON 2024-05-14 -5130.20 N N N 9M6VGTU_1071500_L N/A Sell Protection WHIRLPOOL CORP 4.75% 02/26/2029 20290620 - CITI - CON N/A 400000.00 NC USD -9400.16 -0.0065069424694 Long DCR US N 2 CITIBANK MBNUM2BPBDO7JBLYG310 9F9652AH9 WHIRLPOOL CORP CDS Y 2029-06-20 0.00 USD 5120.96 USD 400000.00 USD -4279.20 N N N FOT2VHLRPMLID24G_1071500_S N/A HUF/USD FWD 20240514 GOLDUS33 N/A -67866000.00 NC -184885.44 -0.1279806855969 Short DFE HU N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 67866000.00 HUF 184885.44 USD 2024-05-14 1734.24 N N N C737BNV8NCPBK9M1_1071500_L N/A JPY/USD FWD 20240514 816 N/A 2807165000.00 NC 17837073.28 12.3471100126543 Long DFE JP N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 17837073.28 USD 2807165000.00 JPY 2024-05-14 -778645.86 N N N V5NTIP99PKQE0CGI_1071500_S N/A NZD/USD FWD 20240514 235 N/A -9807000.00 NC -5778748.19 -4.0001427654255 Short DFE NZ N 2 RBC CAPITAL MARKETS LLC 549300LCO2FLSSVFFR64 9807000.00 NZD 5778748.19 USD 2024-05-14 148926.24 N N N SEM1R9AP6M1LAQ4M_1071500_L N/A AUD/USD FWD 20240514 GOLDUS33 N/A 225000.00 NC 145817.87 0.100937483097 Long DFE AU N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 145817.87 USD 225000.00 AUD 2024-05-14 -1007.01 N N N 9TEV62VMJTDNMITS_1071500_L N/A PLN/USD FWD 20240514 2467 N/A 285000.00 NC 70247.86 0.048626702484 Long DFE PL N 2 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 70247.86 USD 285000.00 PLN 2024-05-14 -1240.36 N N N L0MHQQN0JA42UVES_1071500_S N/A JPY/USD FWD 20240514 050 N/A -48870000.00 NC -310526.02 -0.2149511228969 Short DFE JP N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 48870000.00 JPY 310526.02 USD 2024-05-14 6056.98 N N N ACE7SDHA3LKM508F_1071500_S N/A ZAR/USD FWD 20240514 050 N/A -968000.00 NC -51373.01 -0.0355612266762 Short DFE ZA N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 968000.00 ZAR 51373.01 USD 2024-05-14 373.59 N N N 6JIV10EA157PE5PD_1071500_S N/A CAD/USD FWD 20240514 050 N/A -100000.00 NC -72656.59 -0.0502940642667 Short DFE CA N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 100000.00 CAD 72656.59 USD 2024-05-14 582.18 N N N O6C3FUMMU0BP7DPN_1071500_L N/A KRW/USD FWD 20240514 2467 N/A 2051050000.00 NC 1485079.87 1.0279962550262 Long DFE KR N 2 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 1485079.87 USD 2051050000.00 KRW 2024-05-14 7354.48 N N N 9HQQV8G8J42SERA6_1071500_L N/A EUR/USD FWD 20240514 050 N/A 14753000.00 NC 15753106.55 10.9045546071735 Long DFE XX N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 15753106.55 USD 14753000.00 EUR 2024-05-14 -226063.30 N N N RMGDU3PNIKQKEC8U_1071500_S N/A CNY/USD FWD 20240514 229 N/A -27285000.00 NC -3773215.48 -2.6118806545044 Short DFE CN N 2 BARCLAYS AC28XWWI3WIBK2824319 27285000.00 CNY 3773215.48 USD 2024-05-14 64592.30 N N N OU176AQUIV13IQ4M_1071500_L N/A CNH/USD FWD 20240514 816 N/A 112744383.61 NC 15553103.66 10.7661093786927 Long DFE CN N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 15553103.66 USD 112744383.61 CNY 2024-05-14 -5867.48 N N N 5OVS7ICJKGT0CI8R_1071500_S N/A THB/USD FWD 20240514 816 N/A -3300000.00 NC -89144.11 -0.0617069917173 Short DFE TH N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 3300000.00 THB 89144.11 USD 2024-05-14 909.84 N N N RITCV70CPEOER7GO_1071500_L N/A NZD/USD FWD 20240514 GOLDUS33 N/A 1244000.00 NC 733023.63 0.5074107876 Long DFE NZ N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 733023.63 USD 1244000.00 NZD 2024-05-14 -16862.06 N N N 4SP69QU2FJRM3E4A_1071500_L N/A EUR/USD FWD 20240514 8409 N/A 100000.00 NC 106779.00 0.0739141472003 Long DFE XX N 2 BNP PARIBAS SA RCNB6OTYUAMMP879YW96 106779.00 USD 100000.00 EUR 2024-05-14 332.19 N N N HI538MOOLO80I8N9_1071500_L N/A GBP/USD FWD 20240514 050 N/A 777000.00 NC 970968.37 0.6721199770278 Long DFE GB N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 970968.37 USD 777000.00 GBP 2024-05-14 -12793.66 N N N 6JIV10EA157PE5PD_1071500_L N/A CAD/USD FWD 20240514 050 N/A 1759000.00 NC 1278029.40 0.8846725779223 Long DFE CA N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 1278029.40 USD 1759000.00 CAD 2024-05-14 -9293.07 N N N CONSTELLATION EN GEN LLC S2PEWKCZFFECR4533P43 CONSTELLATION ENERGY GENERATION LLC 210385AF7 320000.00 PA USD 301361.74 0.2086074603705 Long DBT CORP US N 2 2054-03-15 Fixed 5.75 N N N N N N 2B7HJU3T9JE2FKRV_1071500_S N/A EUR/USD FWD 20240514 235 N/A -147000.00 NC -156965.14 -0.1086538033066 Short DFE XX N 2 RBC CAPITAL MARKETS LLC 549300LCO2FLSSVFFR64 147000.00 EUR 156965.14 USD 2024-05-14 3035.25 N N N U3EHUF0M99SAOFKQ_1071500_S N/A CAD/USD FWD 20240514 2467 N/A -1200000.00 NC -871879.07 -0.6035287642783 Short DFE CA N 2 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 1200000.00 CAD 871879.07 USD 2024-05-14 12647.66 N N N 1SRCS4B7KT6AN43G_1071500_S N/A JPY/USD FWD 20240514 GOLDUS33 N/A -549645000.00 NC -3492512.25 -2.4175733481817 Short DFE JP N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 549645000.00 JPY 3492512.25 USD 2024-05-14 146291.86 N N N 9HQQV8G8J42SERA6_1071500_S N/A EUR/USD FWD 20240514 050 N/A -80000.00 NC -85423.20 -0.0591313177602 Short DFE XX N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 80000.00 EUR 85423.20 USD 2024-05-14 32.72 N N N KBOL903D2N4U10VE_1071500_S N/A IDR/USD FWD 20240514 050 N/A -2610420000.00 NC -160487.64 -0.1110921346593 Short DFE ID N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 2610420000.00 IDR 160487.64 USD 2024-05-14 3633.98 N N N HJAPBB8RJ2QU1BGP_1071500_S N/A NOK/USD FWD 20240514 8409 N/A -815000.00 NC -73393.76 -0.0508043452385 Short DFE NO N 2 BNP PARIBAS SA RCNB6OTYUAMMP879YW96 815000.00 NOK 73393.76 USD 2024-05-14 3090.37 N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 ELECTRICITE DE FRANCE SA 268317BB9 420000.00 PA USD 384816.63 0.2663762821805 Long DBT CORP FR Y 2 2064-04-22 Fixed 6.00 N N N N N N A3F9SLSBMGTOCIS7_1071500_S N/A GBP/USD FWD 20240514 229 N/A -74000.00 NC -92473.18 -0.0640114277021 Short DFE GB N 2 BARCLAYS AC28XWWI3WIBK2824319 74000.00 GBP 92473.18 USD 2024-05-14 -461.65 N N N 9M7AJBU N/A SWOITX41 5Y 0.6 19-06-2024 CALL - CITI N/A -11450000.00 NC -30365.96 -0.0210198076149 Short DCR US N 2 CITIBANK MBNUM2BPBDO7JBLYG310 Call Written iTraxx Europe Series 41 Version 1 2I666VDJ1 1.00 0.60 EUR 2024-06-19 XXXX -12065.14 N N N R1LRPEI7MTRVUEEA_1071500_S N/A SGD/USD FWD 20240514 2467 N/A -90000.00 NC -65974.55 -0.0456686483313 Short DFE SG N 2 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 90000.00 SGD 65974.55 USD 2024-05-14 896.11 N N N H0B9CEUVHO4CN0J7_1071500_L N/A EUR/USD FWD 20240514 816 N/A 3349000.00 NC 3576028.87 2.475384900494 Long DFE XX N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 3576028.87 USD 3349000.00 EUR 2024-05-14 -28227.68 N N N IKIJIJA46COKQ78S_1071500_L N/A NZD/USD FWD 20240514 908 N/A 135000.00 NC 79548.38 0.0550646725373 Long DFE NZ N 2 CITIBANK N A MBNUM2BPBDO7JBLYG310 79548.38 USD 135000.00 NZD 2024-05-14 -942.18 N N N A5SI8S4SOMHVAQLQ_1071500_L N/A ILS/USD FWD 20240515 816 N/A 1501000.00 NC 401422.94 0.2778714379864 Long DFE IL N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 401422.94 USD 1501000.00 ILS 2024-05-15 634.71 N N N KBOL903D2N4U10VE_1071500_L N/A IDR/USD FWD 20240514 050 N/A 5114765000.00 NC 314453.82 0.2176700094512 Long DFE ID N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 314453.82 USD 5114765000.00 IDR 2024-05-14 -407.52 N N N FA7F55KCMHJM6U79_1071500_S N/A PEN/USD FWD 20240514 GOLDUS33 N/A -4892000.00 NC -1299242.53 -0.8993566488856 Short DFE PE N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 4892000.00 PEN 1299242.53 USD 2024-05-14 16341.71 N N N 9M6QHVU N/A SWOCDX42 5Y 0.625 15-05-2024 PUT - CITI N/A -34700000.00 NC USD -3614.10 -0.0025017383511 Short DCR US N 2 CITIBANK MBNUM2BPBDO7JBLYG310 Put Written CDX.NA.IG.42-V1 2I65BYEE1 1.00 0.625 USD 2024-05-15 XXXX 15470.90 N N N 9M6QADU N/A SWOITX41 5Y 0.575 15-05-2024 PUT - CITI N/A 13150000.00 NC 9876.53 0.006836693472 Long DCR US N 2 CITIBANK MBNUM2BPBDO7JBLYG310 Put Purchased iTraxx Europe Series 41 Version 1 2I666VDJ1 1.00 0.575 EUR 2024-05-15 XXXX -10676.60 N N N 87JRM3DBNIEG9KNC_1071500_L N/A EUR/USD FWD 20240514 2467 N/A 4049000.00 NC 4323481.90 2.9927839516629 Long DFE XX N 2 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 4323481.90 USD 4049000.00 EUR 2024-05-14 -37217.93 N N N NA3962O57LL6428N_1071500_L N/A GBP/USD FWD 20240514 235 N/A 260000.00 NC 324905.76 0.2249050110122 Long DFE GB N 2 RBC CAPITAL MARKETS LLC 549300LCO2FLSSVFFR64 324905.76 USD 260000.00 GBP 2024-05-14 -3951.34 N N N ULQM01A96ATCLH0K_1071500_L N/A PLN/USD FWD 20240514 908 N/A 1123000.00 NC 276801.21 0.1916062651005 Long DFE PL N 2 CITIBANK N A MBNUM2BPBDO7JBLYG310 276801.21 USD 1123000.00 PLN 2024-05-14 -6199.92 N N N 9M6QGTU N/A SWOCDX42 5Y 0.55 15-05-2024 PUT - CITI N/A 17350000.00 NC USD 10262.28 0.0071037158479 Long DCR US N 2 CITIBANK MBNUM2BPBDO7JBLYG310 Put Purchased CDX.NA.IG.42-V1 2I65BYEE1 1.00 0.55 USD 2024-05-15 XXXX -12292.72 N N N H0B9CEUVHO4CN0J7_1071500_S N/A EUR/USD FWD 20240514 816 N/A -7225000.00 NC -7714783.09 -5.3402973705782 Short DFE XX N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 7225000.00 EUR 7714783.09 USD 2024-05-14 -5505.79 N N N HQFRC8U1BO0FVOOL_1071500_S N/A SEK/USD FWD 20240514 050 N/A -1170000.00 NC -106231.20 -0.0735349511989 Short DFE SE N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 1170000.00 SEK 106231.20 USD 2024-05-14 4799.75 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 FANNIE MAE POOL 3140XNJ47 1907798.39 OU Other Units USD 1914349.18 1.3251433997637 Long ABS-MBS USGA US N 2 2053-12-01 Fixed 6.00 N N N N N N VVEP628E9MFH7M5K_1071500_S N/A JPY/USD FWD 20240514 908 N/A -15910000.00 NC -101094.11 -0.0699789745888 Short DFE JP N 2 CITIBANK N A MBNUM2BPBDO7JBLYG310 15910000.00 JPY 101094.11 USD 2024-05-14 2163.72 N N N 7A07UA4KI53BATKM_1071500_S N/A EUR/USD FWD 20240514 GOLDUS33 N/A -7675000.00 NC -8195288.61 -5.6729110468241 Short DFE XX N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 7675000.00 EUR 8195288.61 USD 2024-05-14 138809.69 N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 FREDDIE MAC POOL 3132DSYT3 3094000.00 OU Other Units USD 3027209.23 2.0954830878024 Long ABS-MBS USGA US N 2 2054-04-01 Fixed 5.50 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 DIAMONDBACK ENERGY INC 25278XAZ2 140000.00 PA USD 136098.17 0.0942093498822 Long DBT CORP US N 2 2034-04-18 Fixed 5.40 N N N N N N 9M72UMU_1071500_S N/A TRS SOFRRATE INDEX/IBOXIG INDEX 2024/06/20 - JPM N/A -8148.37 NC USD 39861.83 0.0275930020911 Short DE US N N/A JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 TRS IBOXX EURO CORPORATES OVERALL TOTAL RETURN INDEX IBOXIG Y 2024-06-20 0.00 USD 0.00 USD 0.00 USD 39861.83 N N N UQE5V0PVD2E29JVB_1071500_L N/A GBP/USD FWD 20240514 816 N/A 44000.00 NC 54984.05 0.038060846846 Long DFE GB N 2 HSBC SECURITIES INC CYYGQCGNHMHPSMRL3R97 54984.05 USD 44000.00 GBP 2024-05-14 -696.38 N N N V8FNFBO7Q920JRI6_1071500_L N/A CZK/USD FWD 20240514 050 N/A 10534000.00 NC 446931.51 0.3093732046433 Long DFE CZ N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 446931.51 USD 10534000.00 CZK 2024-05-14 -2977.75 N N N VERUS SECURITIZATION TRUST 984500BADC7CFE3B0756 VERUS SECURITIZATION TRUST 2023-5 924934AA0 294813.92 OU Other Units USD 294777.42 0.2040496877964 Long ABS-CBDO CORP US Y 2 2068-06-01 Variable 6.476 N N N N N N WEA FINANCE LLC 3CYEJKBUJZO3UW777J80 WEA FINANCE LLC 92928QAH1 380000.00 PA USD 346078.61 0.2395611995095 Long DBT CORP US Y 2 2027-01-15 Fixed 2.875 N N N N N N AMSR TRUST N/A AMSR 2019-SFR1 TRUST 00178XAB9 525000.00 OU Other Units USD 491247.07 0.3400491505232 Long ABS-MBS CORP US Y 2 2039-01-03 Fixed 3.023 N N N N N N FARM 2021-1 MORTGAGE TRUST N/A FARM 21-1 MORTGAGE TRUST 30768WAA6 608068.73 OU Other Units USD 485739.90 0.3362369985641 Long ABS-CBDO CORP US Y 2 2051-01-01 Variable 2.18 N N N N N N VERUS SECURITIZATION TRUST 2138008DC17PCNG48R87 VERUS SECURITIZATION TRUST 2023-4 92539TAA1 273289.07 OU Other Units USD 271040.56 0.1876186501943 Long ABS-CBDO CORP US Y 2 2068-05-01 Variable 5.811 N N N N N N A&D MORTGAGE TRUST N/A A&D MORTGAGE TRUST 2023-NQM2 00002DAA7 466758.28 OU Other Units USD 464398.72 0.321464289324 Long ABS-CBDO CORP US Y 2 2068-05-01 Variable 6.132 N N N N N N COLT FUNDING LLC 213800EHDFO4A3F7P416 COLT 2023-4 MORTGAGE LOAN TRUST 12598WAA0 526205.00 OU Other Units USD 530385.86 0.3671416526566 Long ABS-CBDO CORP US Y 2 2068-10-01 Variable 7.163 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 BOEING CO/THE 097023DM4 192000.00 PA USD 192884.83 0.1335179924641 Long DBT CORP US Y 2 2054-05-01 Fixed 6.858 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 BOEING CO/THE 097023DL6 270000.00 PA USD 272235.76 0.1884459869247 Long DBT CORP US Y 2 2034-05-01 Fixed 6.528 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 UNITED STATES TREASURY NOTE/BOND 91282CJZ5 686000.00 PA USD 649663.44 0.4497075186585 Long DBT UST US N 2 2034-02-15 Fixed 4.00 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 UNITED STATES TREASURY NOTE/BOND 91282CKB6 411000.00 PA USD 407869.33 0.2823337331884 Long DBT UST US N 2 2026-02-28 Fixed 4.625 N N N N N N NEW S WALES TREASURY CRP TC7LRO17HPNPLTAV0H77 NEW SOUTH WALES TREASURY CORP BR0514587 4126000.00 PA 1968995.88 1.362970727495 Long DBT USGSE AU N 2 2034-03-20 Fixed 1.75 N N N N N N SUEZ 5493007LKZ37MXEN5D79 SUEZ SACA BZ9781957 100000.00 PA 114112.39 0.0789904381183 Long DBT CORP FR N 2 2032-11-03 Fixed 5.00 N N N N N N FORD AUTO SECURITIZATION TRUST N/A FORD AUTO SECURITIZATION TRUST II SERIES 2022-A ASSET-BACKED NOTES 345214AE0 1107000.00 OU Other Units 807969.68 0.5592896530304 Long ABS-MBS CORP CA Y 2 2028-09-15 Fixed 5.399 N N N N N N REPUBLIC OF AUSTRIA 529900QWWUI4XRVR7I03 REPUBLIC OF AUSTRIA GOVERNMENT BOND ZF4061056 1275000.00 PA 1342629.22 0.9293896159597 Long DBT USGSE AT Y 2 2034-02-20 Fixed 2.90 N N N N N N THAMES WATER UTIL FIN 213800ESMPQ4RQ7G8351 THAMES WATER UTILITIES FINANCE PLC ZM3534272 314000.00 PA 291495.66 0.2017780005572 Long DBT CORP GB N 2 2031-01-18 Fixed 4.375 N N N N N N BELGIUM KINGDOM 549300SZ25JZFHRHWD76 KINGDOM OF BELGIUM GOVERNMENT BOND ZL0747895 900000.00 PA 921804.54 0.6380879804034 Long DBT USGSE BE Y 2 2054-06-22 Fixed 3.30 N N N N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 CANADIAN GOVERNMENT BOND 135087Q49 400000.00 PA 283180.18 0.1960218910903 Long DBT USGSE CA N 2 2028-09-01 Fixed 3.25 N N N N N N 9M72RGU_1071500_L N/A LCH RPI RECEIVE FIXED/PAY INFLATION 3.708 UKRPI INDEX 2034/04/05 - MS N/A 7080000.00 NC -71878.64 -0.0497555547206 Long DIR US N 2 BANK OF AMERICA 8NAV47T0Y26Q87Y0QP81 Y 2034-04-05 0.00 USD 0.00 USD 8846814.00 USD -71878.64 N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 UNITED KINGDOM GILT ZN9056328 3475000.00 PA 4012180.10 2.7772958213289 Long DBT USGSE GB N 2 2033-01-31 Fixed 3.25 N N N N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 UNITED KINGDOM GILT ZF2680865 2350000.00 PA 2740288.14 1.8968716784322 Long DBT USGSE GB N 2 2054-07-31 Fixed 4.375 N N N N N N ROMANIA 315700IASY927EDWBK92 ROMANIAN GOVERNMENT INTERNATIONAL BOND BJ5968158 151000.00 PA 148072.36 0.1024980774622 Long DBT USGSE RO N 2 2030-05-26 Fixed 3.624 N N N N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 PERU GOVERNMENT BOND ZK8655423 4710000.00 PA 1260987.13 0.872875643568 Long DBT USGSE PE Y 2 2033-08-12 Fixed 7.30 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 SPAIN GOVERNMENT BOND ZF2464195 75000.00 PA 79346.53 0.0549249487095 Long DBT USGSE ES Y 2 2034-04-30 Fixed 3.25 N N N N N N KOREA TREASURY BOND 549300O0QCVSQGPGDT58 KOREA TREASURY BOND BZ4107240 7979700000.00 PA 6049779.56 4.1877550541535 Long DBT USGSE KR N 2 2032-12-10 Fixed 4.25 N N N N N N LEG IMMOBILIEN SE 391200SO40AKONBO0Z96 LEG IMMOBILIEN SE BT4285727 100000.00 PA 91755.61 0.0635147141666 Long DBT CORP DE N 2 2029-01-17 Fixed 0.875 N N N N N N NEW S WALES TREASURY CRP TC7LRO17HPNPLTAV0H77 NEW SOUTH WALES TREASURY CORP ZK3909205 294000.00 PA 172299.88 0.1192687578355 Long DBT USGSE AU N 2 2036-02-20 Fixed 4.25 N N N N N N EUROGRID GMBH 967600Q53854Z2NBCC81 EUROGRID GMBH BJ3265474 200000.00 PA 174491.90 0.1207861094584 Long DBT CORP DE N 2 2032-05-15 Fixed 1.113 N N N N N N FLUVIUS SYSTEM OP 549300WSQWO0M3PK2J78 FLUVIUS SYSTEM OPERATOR CV ZK4653356 800000.00 PA 857465.32 0.5935513338921 Long DBT CORP BE N 2 2033-05-09 Fixed 3.875 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 CARRIER GLOBAL CORP 14448CBG8 339000.00 PA 374507.16 0.2592399006529 Long DBT CORP US N 2 2032-11-29 Fixed 4.50 N N N N N N SELP FINANCE SARL 549300Y4VYEJE1MH6D45 SELP FINANCE SARL BY1921141 130000.00 PA 136879.99 0.0947505383047 Long DBT CORP LU N 2 2027-08-10 Fixed 3.75 N N N N N N AUTOSTRADE PER L'ITALIA 815600149448CEB9B230 AUTOSTRADE PER L'ITALIA SPA ZD2047821 596000.00 PA 628197.24 0.4348482685566 Long DBT CORP IT N 2 2036-02-28 Fixed 4.625 N N N N N N MALAYSIA GOVERNMENT 254900GSIL471JOBYY43 MALAYSIA GOVERNMENT BOND AS4638860 5100000.00 PA 1123323.50 0.7775826570075 Long DBT USGSE MY N 2 2033-11-07 Fixed 4.642 N N N N N N IRELAND GOVERNMENT BOND 549300KXBEJAOJ9OVF93 IRELAND GOVERNMENT BOND ZF2761889 525000.00 PA 542263.08 0.3753632560375 Long DBT USGSE IE N 2 2034-10-18 Fixed 2.60 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 UBS GROUP AG BS1695607 656000.00 PA 561851.77 0.3889228634146 Long DBT CORP CH N 2 2031-11-03 Fixed 0.875 N N N N N N BANCO DE CREDITO SOCIAL 95980020140005881190 BANCO DE CREDITO SOCIAL COOPERATIVO SA BP5486488 900000.00 PA 927458.70 0.6420018812129 Long DBT CORP ES N 2 2031-11-27 Variable 5.25 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 JAPAN GOVERNMENT THIRTY YEAR BOND BH6206925 194300000.00 PA 868548.03 0.6012229646277 Long DBT USGSE JP N 2 2050-03-20 Fixed 0.40 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 JAPAN GOVERNMENT THIRTY YEAR BOND BN4176556 177050000.00 PA 850012.71 0.5883925169659 Long DBT USGSE JP N 2 2050-12-20 Fixed 0.70 N N N N N N LINDE PLC 5299003QR1WT0EF88V51 LINDE PLC BV5138474 600000.00 PA 530435.33 0.367175896589 Long DBT CORP IE N 2 2035-03-31 Fixed 1.625 N N N N N N 9M6WM4U_1071500_L N/A Sell Protection ELECTROLUX AB 2.5% 05/18/2030 REGS 20290620 - GS - CON N/A 290000.00 NC -9388.94 -0.0064991758043 Long DCR XX N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 0B11AHAG9 AB ELECTROLUX 100(20-JUN-2028) MORGAN STANLEY CO I Y 2029-06-20 0.00 USD 9864.69 USD 309488.00 USD 475.75 N N N CELLNEX TELECOM SA 5493008T4YG3AQUI7P67 CELLNEX TELECOM SA BK0950067 500000.00 PA 481258.64 0.3331349980651 Long DBT CORP ES N 2 2029-06-26 Fixed 1.875 N N N N N N VONOVIA SE 5299005A2ZEP6AP7KM81 VONOVIA SE BR1517753 700000.00 PA 563819.24 0.3902847779033 Long DBT CORP DE N 2 2032-09-01 Fixed 0.75 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 SPAIN GOVERNMENT BOND BT4353020 4975000.00 PA 4392506.62 3.0405639768977 Long DBT USGSE ES Y 2 2032-04-30 Fixed 0.70 N N N N N N LA BANQUE POSTALE 96950066U5XAAIRCPA78 LA BANQUE POSTALE SA ZN6599486 200000.00 PA 222344.29 0.1539103061483 Long DBT CORP FR N 2 2034-03-05 Variable 5.50 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 REALTY INCOME CORP ZJ0869348 114000.00 PA 129583.47 0.0896997693957 Long DBT CORP US N 2 2034-07-06 Fixed 5.125 N N N N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 INDONESIA TREASURY BOND ZQ4375866 10580000000.00 PA 668099.78 0.4624694507668 Long DBT USGSE ID N 2 2040-04-15 Fixed 7.50 N N N N N N VONOVIA SE 5299005A2ZEP6AP7KM81 VONOVIA SE BV4086070 700000.00 PA 657500.41 0.4551323957803 Long DBT CORP DE N 2 2032-03-25 Fixed 2.375 N N N N N N NEW ZEALAND GOVERNMENT 549300237GPHG2AI7C34 NEW ZEALAND GOVERNMENT BOND QJ1094474 6455000.00 PA 3432591.74 2.3760954040498 Long DBT USGSE NZ N 2 2033-04-14 Fixed 3.50 N N N N N N HELLENIC REPUBLIC 2138003EKTMKZ5598902 HELLENIC REPUBLIC GOVERNMENT BOND ZJ7218432 247000.00 PA 278229.96 0.1925952689104 Long DBT USGSE GR Y 2 2038-07-18 Fixed 4.375 N N N N N N 9M6FZMU_1071500_L N/A TRS QW5A INDEX/EUR003M INDEX 2024/06/20 - GS N/A 19642.85 NC -14749.46 -0.0102098142665 Long DE XX N N/A GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 TRS MARKIT IBOXX USD LIQUID INVESTMENT GRADE INDEX QW5A Y 2024-06-20 0.00 USD 0.00 USD 0.00 USD -14749.46 N N N UNILEVER CAPITAL CORP MYF1DAS6G5WY7PRWCU78 UNILEVER CAPITAL CORP ZK8576843 1200000.00 PA 1275341.01 0.882811630974 Long DBT CORP US N 2 2033-06-06 Fixed 3.40 N N N N N N GEMGARTO 635400KLHB2FIID9TE45 GEMGARTO 2021-1 PLC BCC2QHUW7 253482.59 OU Other Units 316906.41 0.2193677318337 Long ABS-CBDO CORP GB Y 2 2067-12-16 Variable 5.81946 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 FRENCH REPUBLIC GOVERNMENT BOND OAT ZK2178539 325000.00 PA 344221.70 0.2382758164372 Long DBT USGSE FR Y 2 2029-02-25 Fixed 2.75 N N N N N N SW (FINANCE) I PLC 549300BHN1HB5BNG2R96 SW FINANCE I PLC ZG5108524 529000.00 PA 638901.46 0.4422579024054 Long DBT CORP GB N 2 2041-12-12 Fixed 7.375 N N N N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 UNITED KINGDOM GILT ZK9815877 2350000.00 PA 2950155.69 2.0421453837794 Long DBT USGSE GB N 2 2028-06-07 Fixed 4.50 N N N N N N DIAGEO FINANCE PLC BPF79TJMIH3DK8XCKI50 DIAGEO FINANCE PLC BH2918259 500000.00 PA 498973.10 0.3453972331864 Long DBT CORP GB N 2 2032-03-27 Fixed 2.50 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 FRENCH REPUBLIC GOVERNMENT BOND OAT ZD3129685 950000.00 PA 965268.95 0.6681747465158 Long DBT USGSE FR Y 2 2055-05-25 Fixed 3.25 N N N N N N SEVERN TRENT WATER UTIL 213800KY9PT6WBH33232 SEVERN TRENT UTILITIES FINANCE PLC ZD2443418 217000.00 PA 228463.93 0.1581464197266 Long DBT CORP GB N 2 2034-03-05 Fixed 4.00 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 ENEL FINANCE INTERNATIONAL NV ZL0397758 110000.00 PA 117919.79 0.0816259818493 Long DBT CORP NL N 2 2043-02-20 Fixed 4.50 N N N N N N CELLNEX FINANCE CO SA 549300OUROMFTRFA7T23 CELLNEX FINANCE CO SA BR3179453 700000.00 PA 634121.92 0.4389494276762 Long DBT CORP ES N 2 2032-09-15 Fixed 2.00 N N N N N N JAPAN (20 YEAR ISSUE) 353800WZS8AXZXFUC241 JAPAN GOVERNMENT TWENTY YEAR BOND ZM5412592 262400000.00 PA 1619992.78 1.1213851488065 Long DBT USGSE JP N 2 2042-12-20 Fixed 1.40 N N N N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 LOGICOR FINANCING SARL BN4542633 185000.00 PA 154187.68 0.1067312006667 Long DBT CORP LU N 2 2031-01-14 Fixed 0.875 N N N N N N SUEZ 5493007LKZ37MXEN5D79 SUEZ SACA BW4875892 900000.00 PA 882125.00 0.6106211623924 Long DBT CORP FR N 2 2030-05-24 Fixed 2.375 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 ITALY BUONI POLIENNALI DEL TESORO ZP5131328 2010000.00 PA 1542843.04 1.0679808535909 Long DBT USGSE IT Y 2 2050-09-01 Fixed 2.45 N N N N N N PIRAEUS BANK SA 213800OYHR1MPQ5VJL60 PIRAEUS BANK SA ZG3808083 200000.00 PA 228903.30 0.158450558732 Long DBT CORP GR N 2 2029-12-05 Variable 6.75 N N N N N N KERING 549300VGEJKB7SVUZR78 KERING SA ZI6395233 500000.00 PA 531012.57 0.3675754714336 Long DBT CORP FR N 2 2031-09-05 Fixed 3.625 N N N N N N 9M5QAAU_1071500_S N/A Buy Protection DEUTSCHE LUFTHANSA AG 0.25% 09/06/2024 20281220 - CITI - CON N/A -270000.00 NC 2676.60 0.00185278572 Short DCR XX N 2 CITIBANK MBNUM2BPBDO7JBLYG310 2H66B7AF1 DEUTSCHE LUFTHANSA AG Y 2028-12-20 4407.94 USD 0.00 USD -288144.00 USD -1731.34 N N N BANCO DE CREDITO SOCIAL 95980020140005881190 BANCO DE CREDITO SOCIAL COOPERATIVO SA ZI7302089 200000.00 PA 234920.17 0.1626155332575 Long DBT CORP ES N 2 2029-09-14 Variable 7.50 N N N N N N EUROGRID GMBH 967600Q53854Z2NBCC81 EUROGRID GMBH BP0496250 200000.00 PA 164850.38 0.1141120937014 Long DBT CORP DE N 2 2033-04-21 Fixed 0.741 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 CHINA GOVERNMENT BOND ZO3452687 13600000.00 PA 2284149.42 1.5811250944236 Long DBT USGSE CN N 2 2050-09-14 Fixed 3.81 N N N N N N CNH CAPITAL CANADA RECEIVABLES 984500F690CEB062EF31 CNH CAPITAL CANADA RECEIVABLES TRUST 12614ADF4 338313.09 OU Other Units 238442.35 0.1650536431011 Long ABS-MBS CORP CA Y 2 2026-11-16 Fixed 1.001 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 UBS GROUP AG BV3327780 1395000.00 PA 1377990.08 0.9538669739717 Long DBT CORP CH N 2 2032-04-02 Variable 2.875 N N N N N N DEUTSCHE BAHN FIN GMBH 52990002BAIDUAIIYU29 DEUTSCHE BAHN FINANCE GMBH BW6393159 495000.00 PA 492304.01 0.34078078145 Long DBT CORP DE N 2 2030-05-24 Fixed 1.875 N N N N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 ALIMENTATION COUCHE-TARD INC ZF8249707 471000.00 PA 496404.25 0.3436190337554 Long DBT CORP CA Y 2 2031-05-12 Fixed 3.647 N N N N N N NASDAQ INC 549300L8X1Q78ERXFD06 NASDAQ INC ZJ0719808 1110000.00 PA 1235289.01 0.8550869901395 Long DBT CORP US N 2 2032-02-15 Fixed 4.50 N N N N N N 9M6F18U_1071500_S N/A TRS EUR003M INDEX/IBOXXMJA INDEX 2024/06/20 - JPM N/A -1373.62 NC 220.18 0.0001524121496 Short DE XX N N/A JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 TRS MARKIT IBOXX EUR LIQUID HIGH YIELD INDEX IBOXXMJA Y 2024-06-20 0.00 USD 0.00 USD 0.00 USD 220.18 N N N BUNDESOBLIGATION 529900AQBND3S6YJLY83 BUNDESOBLIGATION ZF2687175 2800000.00 PA 2917176.26 2.0193164900494 Long DBT USGSE DE N 2 2029-04-12 Fixed 2.10 N N N N N N CELLNEX TELECOM SA 5493008T4YG3AQUI7P67 CELLNEX TELECOM SA ZO9508185 500000.00 PA 462950.29 0.3204616627005 Long DBT CORP ES N 2 2030-10-23 Fixed 1.75 N N N N N N NATIONAL GRID NA INC 5Q3U0WRKWZZGRMPYFT08 NATIONAL GRID NORTH AMERICA INC BT5129841 1001000.00 PA 886817.74 0.6138695527607 Long DBT CORP US N 2 2031-01-20 Fixed 1.054 N N N N N N 9M5SGWU_1071500_S N/A Buy Protection DEUTSCHE LUFTHANSA AG 0.25% 09/06/2024 20281220 - BARC - CON N/A -250000.00 NC 2478.34 0.0017155469481 Short DCR XX N 2 BARCLAYS BANK PLC AC28XWWI3WIBK2824319 2H66B7AF1 DEUTSCHE LUFTHANSA AG Y 2028-12-20 3868.49 USD 0.00 USD -266800.00 USD -1390.15 N N N 9M6FT7U_1071500_L N/A TRS QW5A INDEX/EUR003M INDEX 2024/06/20 - JPM N/A 34712.9503 NC -51997.30 -0.0359933702902 Long DE XX N N/A JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 TRS MARKIT IBOXX USD LIQUID INVESTMENT GRADE INDEX QW5A Y 2024-06-20 0.00 USD 0.00 USD 0.00 USD -51997.30 N N N BNI FINANCE BV 636700OS71V1HAQHB380 BNI FINANCE BV ZG3158562 667000.00 PA 720939.42 0.4990459024003 Long DBT CORP NL N 2 2030-12-01 Fixed 3.875 N N N N N N TREASURY CORP VICTORIA 549300ZJM7BQW1P9UV75 TREASURY CORP OF VICTORIA BZ6602487 2791000.00 PA 1696498.28 1.1743434906961 Long DBT USGSE AU N 2 2036-09-15 Fixed 4.75 N N N N N N JAPAN (40 YEAR ISSUE) 353800WZS8AXZXFUC241 JAPAN GOVERNMENT FORTY YEAR BOND BW8435917 122100000.00 PA 565294.30 0.3913058382426 Long DBT USGSE JP N 2 2062-03-20 Fixed 1.00 N N N N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 HONEYWELL INTERNATIONAL INC ZD3100975 647000.00 PA 681119.66 0.4714820218421 Long DBT CORP US N 2 2030-03-01 Fixed 3.375 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 ELECTRICITE DE FRANCE SA ZM5481001 200000.00 PA 216570.67 0.1499137131988 Long DBT CORP FR N 2 2043-01-25 Fixed 4.625 N N N N N N PERMANENT TSB GROUP 635400DTNHVYGZODKQ93 PERMANENT TSB GROUP HOLDINGS PLC BP4709138 473000.00 PA 479861.81 0.3321680897944 Long DBT CORP IE N 2 2031-08-19 Variable 3.00 N N N N N N AMPRION GMBH 529900ZIV0ETYHYZM863 AMPRION GMBH BR4166590 200000.00 PA 160593.11 0.1111651426956 Long DBT CORP DE N 2 2033-09-23 Fixed 0.625 N N N N N N DEUTSCHE BAHN FIN GMBH 52990002BAIDUAIIYU29 DEUTSCHE BAHN FINANCE GMBH EK1178467 550000.00 PA 577218.22 0.3995597681173 Long DBT CORP DE N 2 2029-03-19 Fixed 2.75 N N N N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 LOGICOR FINANCING SARL BT4005679 134000.00 PA 109877.89 0.076059248874 Long DBT CORP LU N 2 2034-01-17 Fixed 2.00 N N N N N N KOREA TREASURY BOND 549300O0QCVSQGPGDT58 KOREA TREASURY BOND BY0249312 1645000000.00 PA 1117743.48 0.7737200771026 Long DBT USGSE KR N 2 2052-09-10 Fixed 3.125 N N N N N N UNITED UTILITIES WAT FIN 213800313INX42GDLR44 UNITED UTILITIES WATER FINANCE PLC ZD0409056 583000.00 PA 602361.87 0.4169646084628 Long DBT CORP GB N 2 2034-05-23 Fixed 3.75 N N N N N N THAMES WATER UTIL FIN 213800ESMPQ4RQ7G8351 THAMES WATER UTILITIES FINANCE PLC BT5684597 441000.00 PA 344080.00 0.2381777294102 Long DBT CORP GB N 2 2032-01-31 Fixed 1.25 N N N N N N SARTORIUS FINANCE BV 529900JCAKTMRXK9EA58 SARTORIUS FINANCE BV ZI6854254 500000.00 PA 550678.12 0.3811882825432 Long DBT CORP NL N 2 2032-09-14 Fixed 4.50 N N N N N N REALTY INCOME CORP 549300CUWDAUZSH43859 REALTY INCOME CORP 756109BU7 694000.00 PA 770542.23 0.5333817680658 Long DBT CORP US N 2 2030-07-06 Fixed 4.875 N N N N N N FORD AUTO SECURITIZATION TRUST 549300UXPSVB9J11GQ87 FORD AUTO SECURITIZATION TRUST BCC2PUF55 438913.90 OU Other Units 314166.26 0.217470955778 Long ABS-MBS CORP CA Y 2 2025-11-15 Fixed 1.153 N N N N N N 9M4FWHU_1071500_L N/A LCH IRS RECEIVE FIXED/PAY INFLATION 2.8 CPTFEMU - MS N/A 3327000.00 NC 264457.28 0.183061597525 Long DIR US N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 Y 2053-07-28 229382.50 USD 0.00 USD 3550574.40 USD 35074.78 N N N RAIFFEISEN BANK INTL 9ZHRYM6F437SQJ6OUG95 RAIFFEISEN BANK INTERNATIONAL AG ZD0684112 100000.00 PA 105310.66 0.0728977385535 Long DBT CORP AT N 2 2029-08-21 Variable 4.625 N N N N N N HUNGARY GOVERNMENT BOND 5299003F3UFKGCCMAP43 HUNGARY GOVERNMENT BOND BT4396433 158220000.00 PA 366960.74 0.2540161469306 Long DBT USGSE HU N 2 2032-11-24 Fixed 4.75 N N N N N N KERING 549300VGEJKB7SVUZR78 KERING SA ZI6395258 400000.00 PA 426545.75 0.2952618525476 Long DBT CORP FR N 2 2035-09-05 Fixed 3.875 N N N N N N ORANO SA 969500161UMNDC85C891 ORANO SA ZN2141820 600000.00 PA 661148.43 0.4576576141029 Long DBT CORP FR N 2 2027-05-15 Fixed 5.375 N N N N N N MOTABILITY OPERATIONS GR AZ3NL8JCZDCNUXFWI720 MOTABILITY OPERATIONS GROUP PLC ZM3224023 1310000.00 PA 1381983.99 0.956631622935 Long DBT CORP GB N 2 2031-07-17 Fixed 3.50 N N N N N N NATIONAL GRID PLC 8R95QZMKZLJX5Q2XR704 NATIONAL GRID PLC BR1735579 770000.00 PA 615260.54 0.4258932760198 Long DBT CORP GB N 2 2033-09-01 Fixed 0.75 N N N N N N 9M54BUU_1071500_S N/A LCH OIS PAY FIXED/RECEIVE FLOAT 3.45 SONIO/N INDEX 2028/12/21 - MS N/A -8880000.00 NC 381039.83 0.2637619202634 Short DIR US N 2 GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 Y 2028-12-21 8324.72 USD 0.00 USD -11096004.00 USD 372715.11 N N N STELLANTIS NV 549300LKT9PW7ZIBDF31 STELLANTIS NV ZK9551555 190000.00 PA 207774.34 0.1438247516011 Long DBT CORP NL N 2 2031-06-16 Fixed 4.25 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 FRENCH REPUBLIC GOVERNMENT BOND OAT ZM8883088 250000.00 PA 243150.85 0.1683129427957 Long DBT USGSE FR Y 2 2054-05-25 Fixed 3.00 N N N N N N SWITZERLAND 5067006OA1BJ88912Q83 SWISS CONFEDERATION GOVERNMENT BOND AT0621702 1375000.00 PA 1471816.15 1.0188148939673 Long DBT USGSE CH N 2 2032-06-27 Fixed 0.50 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 CHINA GOVERNMENT BOND BJ5416745 16950000.00 PA 2995204.48 2.0733288832995 Long DBT USGSE CN N 2 2070-05-25 Fixed 3.73 N N N N N N TOWER BRIDGE FUNDING 63540046RPZ8IOOPGL28 TOWER BRIDGE FUNDING 2021-2 PLC BCC3195P3 267636.41 OU Other Units 334977.21 0.2318766312542 Long ABS-CBDO CORP GB N 2 2063-11-20 Floating 5.9974 N N N N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 HONEYWELL INTERNATIONAL INC ZN0385817 614000.00 PA 671558.47 0.4648636118077 Long DBT CORP US N 2 2034-11-02 Fixed 4.125 N N N N N N JAPAN (20 YEAR ISSUE) 353800WZS8AXZXFUC241 JAPAN GOVERNMENT TWENTY YEAR BOND ZK3059001 442200000.00 PA 2586408.86 1.7903539572229 Long DBT USGSE JP N 2 2043-03-20 Fixed 1.10 N N N N N N ESB FINANCE DAC 635400VCPRSU89DLMZ57 ESB FINANCE DAC ZM5208354 450000.00 PA 455401.99 0.3152366076118 Long DBT CORP IE N 2 2043-01-25 Fixed 3.75 N N N N N N SWEDISH GOVERNMENT ERE94C0BSULG2RM19605 SWEDEN GOVERNMENT BOND ZF4117072 5025000.00 PA 445394.00 0.3083089154061 Long DBT USGSE SE N 2 2035-05-11 Fixed 2.25 N N N N N N ATHORA NETHERLANDS 724500MKKXKEVWMN9E13 ATHORA NETHERLANDS NV BW7617713 1032000.00 PA 1080500.43 0.7479398367942 Long DBT CORP NL N 2 2032-08-31 Variable 5.375 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 ITALY BUONI POLIENNALI DEL TESORO BZ9605404 2375000.00 PA 2658927.20 1.8405523226083 Long DBT USGSE IT N 2 2033-05-01 Fixed 4.40 N N N N N N 9M6QQAU_1071500_S N/A ICE Buy Protection ITRAXX EUROPE SENIOR FINANCIALS SERIES 41 20290620 - MS - CON N/A -11940000.00 NC -216829.91 -0.1500931633109 Short DCR XX N 2 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 iTraxx Europe Senior Financials Series 41 Version 2I667DCP7 Y 2029-06-20 0.00 USD 213509.07 USD -12742368.00 USD -3320.84 N N N RAIFFEISEN BANK INTL 9ZHRYM6F437SQJ6OUG95 RAIFFEISEN BANK INTERNATIONAL AG BJ9481323 900000.00 PA 861894.35 0.5966171799421 Long DBT CORP AT N 2 2032-06-18 Variable 2.875 N N N N N N AMPRION GMBH 529900ZIV0ETYHYZM863 AMPRION GMBH BY9995865 1100000.00 PA 1187523.38 0.8220228501219 Long DBT CORP DE N 2 2032-09-22 Fixed 3.971 N N N N N N NEW ZEALAND GOVERNMENT 549300237GPHG2AI7C34 NEW ZEALAND GOVERNMENT BOND BP9145262 4040000.00 PA 1936322.29 1.3403535411491 Long DBT USGSE NZ N 2 2032-05-15 Fixed 2.00 N N N N N N 9M6XVRU_1071500_L N/A ICE Sell Protection ITRAXX EUROPE SERIES 41 20290620 - MS - CON N/A 8210000.00 NC 181826.73 0.1258633971677 Long DCR XX N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 iTraxx Europe Series 41 Version 1 2I666VDJ1 Y 2029-06-20 183681.92 USD 0.00 USD 8761712.00 USD -1855.19 N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 FRENCH REPUBLIC GOVERNMENT BOND OAT ZL9844081 3025000.00 PA 3223605.45 2.231431721098 Long DBT USGSE FR Y 2 2033-05-25 Fixed 3.00 N N N N N N JDE PEET'S NV 724500EHG519SE5ZRT89 JDE PEET'S NV ZG3790836 404000.00 PA 436380.36 0.302069528319 Long DBT CORP NL N 2 2034-01-23 Fixed 4.50 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 MEXICAN BONOS ZN7935812 14600000.00 PA 727334.53 0.5034727007586 Long DBT USGSE MX N 2 2033-05-26 Fixed 7.50 N N N N N N FINNISH GOVERNMENT 743700M6Y2OQRVSBRD14 FINLAND GOVERNMENT BOND ZK3729587 500000.00 PA 532779.32 0.3687984442987 Long DBT USGSE FI Y 2 2033-09-15 Fixed 3.00 N N N N N N TREASURY CORP VICTORIA 549300ZJM7BQW1P9UV75 TREASURY CORP OF VICTORIA BR4617469 635000.00 PA 293645.97 0.2032664798449 Long DBT USGSE AU N 2 2035-09-17 Fixed 2.00 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 CHINA GOVERNMENT BOND BY6368488 37700000.00 PA 5288595.72 3.660851314689 Long DBT USGSE CN N 2 2032-09-01 Fixed 2.60 N N N N N N KINGDOM OF DENMARK 549300PTO6LS1PTM6607 DENMARK GOVERNMENT BOND EH6131138 1500000.00 PA 261827.97 0.1812415467062 Long DBT USGSE DK N 2 2039-11-15 Fixed 4.50 N N N N N N DEUTSCHE BAHN FIN GMBH 52990002BAIDUAIIYU29 DEUTSCHE BAHN FINANCE GMBH ZK6015190 384000.00 PA 412639.01 0.2856353826664 Long DBT CORP DE N 2 2033-05-19 Fixed 3.25 N N N N N N 9M4WFJU_1071500_L N/A LCH RPI RECEIVE FIXED/PAY INFLATION 2.5 CPTFEMU INDEX 2053/12/07 - MS N/A 2757000.00 NC -48082.85 -0.0332837248214 Long DIR US N 2 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 Y 2053-12-07 64861.62 USD 0.00 USD 2942270.40 USD -112944.47 N N N SINGAPORE GOVERNMENT 549300ZSV6VOGFH1ER70 SINGAPORE GOVERNMENT BOND EJ8015756 875000.00 PA 638316.36 0.441852886742 Long DBT USGSE SG N 2 2033-09-01 Fixed 3.375 N N N N N N 9M6FV3U_1071500_S N/A TRS EUR003M INDEX/IBOXXMJA INDEX 2024/06/20 - GS N/A -18957.951 NC 11131.60 0.0077054731826 Short DE XX N N/A GOLDMAN SACHS & CO FOR8UP27PHTHYVLBNG30 TRS MARKIT IBOXX EUR LIQUID HIGH YIELD INDEX IBOXXMJA Y 2024-06-20 0.00 USD 0.00 USD 0.00 USD 11131.60 N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 ALIMENTATION COUCHE-TARD INC ZF8249715 497000.00 PA 522860.38 0.3619323939402 Long DBT CORP CA Y 2 2036-02-12 Fixed 4.011 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 FRENCH REPUBLIC GOVERNMENT BOND OAT EF6625018 735000.00 PA 851068.46 0.5891233241555 Long DBT USGSE FR Y 2 2038-10-25 Fixed 4.00 N N N N N N PERMANENT TSB GROUP 635400DTNHVYGZODKQ93 PERMANENT TSB GROUP HOLDINGS PLC ZK2436515 112000.00 PA 126188.92 0.0873500070981 Long DBT CORP IE N 2 2028-04-25 Variable 6.625 N N N N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 REPUBLIC OF POLAND GOVERNMENT BOND ZN9554595 1375000.00 PA 345753.76 0.2393363330965 Long DBT USGSE PL N 2 2033-10-25 Fixed 6.00 N N N N N N CANADIAN GOVERNMENT 4BFD7AQU0A75QLAHK410 CANADIAN GOVERNMENT BOND 135087M68 2375000.00 PA 1127868.38 0.7807286962973 Long DBT USGSE CA N 2 2053-12-01 Fixed 1.75 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 TRUIST FINANCIAL CORP 89788MAQ5 212000.00 PA USD 222047.15 0.1537046210445 Long DBT CORP US N 2 2029-10-30 Variable 7.161 N N N N N N EURO-BTP ITALIAN BOND FUTURES N/A EURO-BTP FUTURE JUN24 N/A 41.00 NC 5118920.85 3.5433996311428 Long DIR DE N 1 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 Long IKM4 COMDTY_REF EURO-BTP FUTURE JUN24 2024-06-06 4796590.00 EUR -27383.01 N N N EUREX 30 YEAR EURO BUXL FUTURE N/A EURO-BUXL 30Y BND JUN24 N/A -11.00 NC -1513417.66 -1.0476121306327 Short DIR DE N 1 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 Short UBM4 COMDTY_REF EURO-BUXL 30Y BND JUN24 2024-06-06 -1418120.00 EUR 37340.85 N N N CNM4 COMDTY N/A CAN 10YR BOND FUT JUN24 N/A -149.00 NC -12662267.10 -8.7650256541029 Short DIR CA N 1 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 Short CNM4 COMDTY_REF CAN 10YR BOND FUT JUN24 2024-06-19 -17431510.00 CAD 284686.84 N N N EUREX 2 YEAR EURO SCHATZ FUTURE N/A EURO-SCHATZ FUT JUN24 N/A 48.00 NC 5384322.82 3.727115158333 Long DIR DE N 1 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 Long DUM4 COMDTY_REF EURO-SCHATZ FUT JUN24 2024-06-06 5045280.00 EUR -27916.78 N N N USM4 COMDTY N/A US LONG BOND(CBT) JUN24 N/A 5.00 NC USD 569062.50 0.3939142471009 Long DIR US N 1 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 Long USM4 COMDTY_REF US LONG BOND(CBT) JUN24 2024-06-18 569062.50 USD -19227.95 N N N TYM4 COMDTY N/A US 10YR NOTE (CBT)JUN24 N/A 55.00 NC USD 5909062.50 4.0903484340649 Long DIR US N 1 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 Long TYM4 COMDTY_REF US 10YR NOTE (CBT)JUN24 2024-06-18 5909062.50 USD -161128.63 N N N TSE JAPANESE 10 YEAR BOND FUTURES N/A JPN 10Y BOND(OSE) JUN24 N/A -5.00 NC -4581048.09 -3.1710754254685 Short DIR JP N 1 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 Short JBM4 COMDTY_REF JPN 10Y BOND(OSE) JUN24 2024-06-13 -722500000.00 JPY 24442.64 N N N TUM4 COMDTY N/A US 2YR NOTE (CBT) JUN24 N/A 171.00 NC USD 34654218.75 23.9882095337134 Long DIR US N 1 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 Long TUM4 COMDTY_REF US 2YR NOTE (CBT) JUN24 2024-06-28 34654218.75 USD -104479.97 N N N XMM4 COMDTY N/A AUST 10Y BOND FUT JUN24 N/A -31.00 NC -2259814.19 -1.5642798554498 Short DIR AU N 1 MORGAN STANLEY & COMPANY LLC 9R7GPTSO7KV3UQJZQ078 Short XMM4 COMDTY_REF AUST 10Y BOND FUT JUN24 2024-06-17 -3488444.26 AUD 49385.56 N N N EUREX 5 YEAR EURO BOBL FUTURE N/A EURO-BOBL FUTURE JUN24 N/A 60.00 NC 7455245.76 5.1606414418506 Long DIR DE N 1 JP MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Long OEM4 COMDTY_REF EURO-BOBL FUTURE JUN24 2024-06-06 6985800.00 EUR -45838.87 N N N EUREX 10 YEAR EURO BUND FUTURE N/A EURO-BUND FUTURE JUN24 N/A -94.00 NC -13049209.34 -9.0328733178326 Short DIR DE N 1 BOFA SECURITIES INC 8NAV47T0Y26Q87Y0QP81 Short RXM4 COMDTY_REF EURO-BUND FUTURE JUN24 2024-06-06 -12227520.00 EUR 205590.04 N N N WNM4 COMDTY N/A US ULTRA BOND CBT JUN24 N/A -52.00 NC USD -6217250.00 -4.3036807956745 Short DIR US N 1 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 Short WNM4 COMDTY_REF US ULTRA BOND CBT JUN24 2024-06-18 -6217250.00 USD 312073.78 N N N FVM4 COMDTY N/A US 5YR NOTE (CBT) JUN24 N/A 24.00 NC USD 2513812.56 1.7401016266673 Long DIR US N 1 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 Long FVM4 COMDTY_REF US 5YR NOTE (CBT) JUN24 2024-06-28 2513812.56 USD -8288.88 N N N UXYM4 COMDTY N/A US 10YR ULTRA FUT JUN24 N/A 14.00 NC USD 1543062.50 1.0681327673449 Long DIR US N 1 JP MORGAN CHASE BANK ZBUT11V806EZRVTWT807 Long UXYM4 COMDTY_REF US 10YR ULTRA FUT JUN24 2024-06-18 1543062.50 USD -5962.35 N N N DREYFUS INSTITUTIONAL PREFERRE 549300RBWL04JG8SIX57 Dreyfus Institutional Preferred Government Plus Money Market Fund 26200T208 13857.69 OU Other Units USD 13857.69 0.0095925166794 Long STIV RF US N 1 2099-12-01 Variable 5.416726 N N N N N N X9X9USD05574 N/A DREYFUS INSTITUTIONAL PREFERRED PL N/A 232300.03 OU Other Units USD 232300.03 0.1608018300608 Long RF US N 1 N N 2024-06-18 BNY Mellon Advantage Funds, Inc. James Windels James Windels Fund Treasurer