0001752724-22-095173.txt : 20220427
0001752724-22-095173.hdr.sgml : 20220427
20220427140643
ACCESSION NUMBER: 0001752724-22-095173
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220228
FILED AS OF DATE: 20220427
PERIOD START: 20220228
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: GMO TRUST
CENTRAL INDEX KEY: 0000772129
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04347
FILM NUMBER: 22858660
BUSINESS ADDRESS:
STREET 1: 40 ROWES WHARF
CITY: BOSTON
STATE: MA
ZIP: 02110
BUSINESS PHONE: 6173467646
MAIL ADDRESS:
STREET 1: 40 ROWES WHARF
CITY: BOSTON
STATE: MA
ZIP: 02110
FORMER COMPANY:
FORMER CONFORMED NAME: GMO CORE TRUST
DATE OF NAME CHANGE: 19900927
0000772129
S000065268
GMO Alternative Allocation Fund
C000211299
Class VI
GAAVX
C000213405
Class R6
GAAKX
C000213406
Class I
GAAGX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000772129
XXXXXXXX
S000065268
C000213405
C000211299
C000213406
GMO TRUST
811-04347
0000772129
549300Y2Q6TQD4HU5C66
40 ROWES WHARF
BOSTON
02110
617-346-7646
GMO Alternative Allocation Fund
S000065268
549300NEZ72NVUM4S865
2022-02-28
2022-02-28
N
402458870.41
123373226.34
279085644.07
0.00000000
3396020.65000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
9854979.44000000
AUD
CAD
CHF
EUR
GBP
NZD
SEK
USD
N
Discover Financial Services
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709108
3500.00000000
NS
USD
432040.00000000
0.154805526253
Long
EC
CORP
US
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCN9
400000.00000000
PA
USD
393421.88000000
0.140968153812
Long
DBT
UST
US
N
1
2023-07-31
Fixed
0.13000000
N
N
N
N
N
N
Amplifon SpA
ZYXJDNVM2JI3VBM8G556
Amplifon SpA
000000000
-8147.00000000
NS
-349624.17000000
-0.12527486720
Short
EC
CORP
IT
N
2
N
N
N
Sartorius AG
529900EQV2DY4FOAMU38
Sartorius AG
000000000
-744.00000000
NS
-328485.74000000
-0.11770069402
Short
EP
CORP
DE
N
2
N
N
N
APA Group
549300T9RBSX164T8H40
APA Group
000000000
-65190.00000000
NS
-476569.72000000
-0.17076110152
Short
EC
CORP
AU
N
2
N
N
N
ConvaTec Group PLC
213800LS272L4FIDOH92
ConvaTec Group PLC
000000000
-87143.00000000
NS
-210681.09000000
-0.07548976254
Short
EC
CORP
GB
Y
2
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-3401.93000000
-0.00121895556
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
3222590377.00000000
KRW
2674837.21000000
USD
2022-05-09
-3401.93000000
N
N
N
Dongfeng Motor Group Co Ltd
3003002JNYOYPX54GE50
Dongfeng Motor Group Co Ltd
000000000
316000.00000000
NS
271989.48000000
0.097457352529
Long
EC
CORP
CN
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-924.61000000
-0.00033129973
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
166785960.00000000
JPY
1450000.00000000
USD
2022-03-09
-924.61000000
N
N
N
Meggitt PLC
YMFO3TKB4UAWQTDZJJ31
Meggitt PLC
000000000
327643.00000000
NS
3300008.32000000
1.182435711086
Long
EC
CORP
GB
N
2
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
-20164.73000000
-0.00722528386
N/A
DFE
PL
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
370000.00000000
USD
1473787.33000000
PLN
2022-04-19
-20164.73000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
8343.40000000
0.002989548254
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
530000.00000000
USD
2797340.00000000
BRL
2022-04-04
8343.40000000
N
N
N
Kingfisher PLC
213800KBMEV7I92FY281
Kingfisher PLC
000000000
93455.00000000
NS
381236.13000000
0.136601841800
Long
EC
CORP
GB
N
2
N
N
N
Kerry Properties Ltd
5299006T5ULIIRZ7LK49
Kerry Properties Ltd
000000000
45000.00000000
NS
123308.38000000
0.044182989207
Long
EC
CORP
BM
N
2
N
N
N
Aeroports de Paris
969500PJMBSFHYC37989
Aeroports de Paris
000000000
-2689.00000000
NS
-380196.45000000
-0.13622931099
Short
EC
CORP
FR
N
2
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAIGS37V1-5Y
000000000
22250000.00000000
OU
Notional Amount
USD
-370222.69000000
-0.13265558364
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.IG.S37
2I65BYDZ5
Y
buy protection
2026-12-21
0.00000000
USD
-539237.60000000
USD
22250000.00000000
USD
169014.91000000
N
N
N
BT Group PLC
213800LRO7NS5CYQMN21
BT Group PLC
000000000
236593.00000000
NS
590321.49000000
0.211519833622
Long
EC
CORP
GB
N
2
N
N
N
Nokia Oyj
549300A0JPRWG1KI7U06
Nokia Oyj
000000000
85324.00000000
NS
461375.77000000
0.165316912497
Long
EC
CORP
FI
N
2
N
N
N
Japan Airlines Co Ltd
3538002MH5L1QZZ93477
Japan Airlines Co Ltd
000000000
-20100.00000000
NS
-398556.18000000
-0.14280783998
Short
EC
CORP
JP
N
2
N
N
N
DISH Network Corp
529900U350CWHH15G169
DISH Network Corp
25470M109
13100.00000000
NS
USD
418676.00000000
0.150017032010
Long
EC
CORP
US
N
1
N
N
N
ITOCHU Corp
J48DJYXDTLHM30UMYI18
ITOCHU Corp
000000000
18100.00000000
NS
589853.65000000
0.211352200492
Long
EC
CORP
JP
N
2
N
N
N
Exact Sciences Corp
549300VM3X1FYD4N9Z14
Exact Sciences Corp
30063P105
-5100.00000000
NS
USD
-398106.00000000
-0.14264653466
Short
EC
CORP
US
N
1
N
N
N
Telecom Italia SpA/Milano
549300W384M3RI3VXU42
Telecom Italia SpA/Milano
000000000
5048396.00000000
NS
2121061.96000000
0.760003964757
Long
EC
CORP
IT
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.15 %
000000000
11060000.00000000
OU
Notional Amount
USD
-57420.41000000
-0.02057447640
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
USD
-1262.17000000
USD
11060000.00000000
USD
-56158.24000000
N
N
N
Fidelity National Financial Inc
549300CAZYIH39SYQ287
Fidelity National Financial Inc
31620R303
8000.00000000
NS
USD
381120.00000000
0.136560230917
Long
EC
CORP
US
N
1
N
N
N
Atlantia SpA
8156008DEC771409C487
Atlantia SpA
000000000
-21822.00000000
NS
-401421.23000000
-0.14383442449
Short
EC
CORP
IT
N
2
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045V100
8900.00000000
NS
USD
415808.00000000
0.148989390473
Long
EC
CORP
US
N
1
N
N
N
Wix.com Ltd
5493008P6N29Q1AG9464
Wix.com Ltd
000000000
-2700.00000000
NS
USD
-247266.00000000
-0.08859860951
Short
EC
CORP
IL
N
1
N
N
N
Western Digital Corp
549300QQXOOYEF89IC56
Western Digital Corp
958102105
7800.00000000
NS
USD
397332.00000000
0.142369200438
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
580.80000000
0.000208108160
N/A
DFE
CA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
775983.26000000
USD
984150.00000000
CAD
2022-04-12
580.80000000
N
N
N
Asahi Intecc Co Ltd
353800J3AV2SCNIO8L39
Asahi Intecc Co Ltd
000000000
-15400.00000000
NS
-332537.08000000
-0.11915234160
Short
EC
CORP
JP
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
3082.75000000
0.001104589241
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
477794.00000000
EUR
539154.41000000
USD
2022-03-18
3082.75000000
N
N
N
Odakyu Electric Railway Co Ltd
N/A
Odakyu Electric Railway Co Ltd
000000000
-14100.00000000
NS
-232628.62000000
-0.08335384672
Short
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON -0.28 %
000000000
17140000.00000000
OU
Notional Amount
-2472.42000000
-0.00088590010
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CHF
0.00000000
CHF
17140000.00000000
CHF
-2472.42000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
150973.12000000
0.054095623765
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
76879528.00000000
RUB
860816.57000000
USD
2022-03-16
150973.12000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBX8
17025000.00000000
PA
USD
16813517.49000000
6.024501025850
Long
DBT
UST
US
N
1
2023-04-30
Fixed
0.13000000
N
N
N
N
N
N
Shiseido Co Ltd
5299008QCD0YDT5OF506
Shiseido Co Ltd
000000000
-2500.00000000
NS
-143465.23000000
-0.05140544956
Short
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.58 %
000000000
2290000.00000000
OU
Notional Amount
USD
23424.18000000
0.008393187001
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
2311.66000000
USD
0.00000000
USD
2290000.00000000
USD
21112.52000000
N
N
N
Teledyne Technologies Inc
549300VSMO9KYQWDND94
Teledyne Technologies Inc
879360105
26.00000000
NS
USD
11163.88000000
0.004000162759
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.512 %
000000000
1750000.00000000
OU
Notional Amount
1516.98000000
0.000543553576
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
0.00000000
CHF
1750000.00000000
CHF
1516.98000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ITRAXX-XOVERS34V2-5Y
000000000
4116345.52000000
OU
Notional Amount
-394478.51000000
-0.14134675802
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S34
2I667KJJ8
Y
buy protection
2025-12-21
0.00000000
EUR
-514639.24000000
EUR
4116345.52000000
EUR
212975.71000000
N
N
N
Ferrari NV
549300RIVY5EX8RCON76
Ferrari NV
000000000
-1865.00000000
NS
-400766.76000000
-0.14359991942
Short
EC
CORP
NL
N
2
N
N
N
Yamaha Motor Co Ltd
3538004LR5NXILJDHY88
Yamaha Motor Co Ltd
000000000
4700.00000000
NS
105654.21000000
0.037857271502
Long
EC
CORP
JP
N
2
N
N
N
Uniper SE
549300UXRTWGIBZQ4J67
Uniper SE
000000000
-6543.00000000
NS
-209318.10000000
-0.07500138557
Short
EC
CORP
DE
N
2
N
N
N
Aegon NV
O4QK7KMMK83ITNTHUG69
Aegon NV
000000000
67151.00000000
NS
331711.99000000
0.118856701176
Long
EC
CORP
NL
N
2
N
N
N
Viatris Inc
254900ZZTSW7NL773X71
Viatris Inc
92556V106
32800.00000000
NS
USD
361128.00000000
0.129396838452
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.817 %
000000000
93040000.00000000
OU
Notional Amount
343959.25000000
0.123245053018
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
34968.96000000
CAD
0.00000000
CAD
93040000.00000000
CAD
316454.96000000
N
N
N
Rio Tinto PLC
213800YOEO5OQ72G2R82
Rio Tinto PLC
767204100
2800.00000000
NS
USD
220024.00000000
0.078837448172
Long
EC
CORP
GB
N
1
N
N
N
Hargreaves Lansdown PLC
2138008ZCE93ZDSESG90
Hargreaves Lansdown PLC
000000000
-25122.00000000
NS
-380754.23000000
-0.13642917079
Short
EC
CORP
GB
N
2
N
N
N
Liberty Broadband Corp
549300MIX43II8JLN536
Liberty Broadband Corp
530307305
15592.00000000
NS
USD
2287346.40000000
0.819585832736
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.51 %
000000000
33640000.00000000
OU
Notional Amount
126919.07000000
0.045476746187
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
NZD
0.00000000
NZD
33640000.00000000
NZD
126919.07000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.674 %
000000000
7320000.00000000
OU
Notional Amount
-10975.21000000
-0.00393255985
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
535.80000000
GBP
0.00000000
GBP
7320000.00000000
GBP
-11700.52000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 1.1 %
000000000
8600000.00000000
OU
Notional Amount
28214.39000000
0.010109581269
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
1217.36000000
SEK
0.00000000
SEK
8600000.00000000
SEK
28078.18000000
N
N
N
Skanska AB
549300UINV5RINHGMG07
Skanska AB
000000000
8838.00000000
NS
200032.97000000
0.071674403270
Long
EC
CORP
SE
N
2
N
N
N
Auto Trader Group PLC
213800QLK9BZILB1DI86
Auto Trader Group PLC
000000000
-56978.00000000
NS
-503917.61000000
-0.18056020462
Short
EC
CORP
GB
Y
2
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
MSCI SING IX ETS MAR22
000000000
8.00000000
NC
-6104.57000000
-0.00218734647
N/A
DE
SG
N
2
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Long
SGX MSCI Singapore Index Future
QZH2 INDEX
2022-03-30
275255.68000000
SGD
-6104.57000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.555 %
000000000
3400000.00000000
OU
Notional Amount
18878.09000000
0.006764264089
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
0.00000000
CHF
3400000.00000000
CHF
18878.09000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.42 %
000000000
2150000.00000000
OU
Notional Amount
92975.89000000
0.033314465281
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
1654.97000000
EUR
0.00000000
EUR
2150000.00000000
EUR
91115.37000000
N
N
N
Zalando SE
529900YRFFGH5AXU4S86
Zalando SE
000000000
-4995.00000000
NS
-330602.34000000
-0.11845909921
Short
EC
CORP
DE
Y
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.8 %
000000000
8420000.00000000
OU
Notional Amount
42224.70000000
0.015129656754
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
4263.21000000
GBP
0.00000000
GBP
8420000.00000000
GBP
36433.55000000
N
N
N
Mitsui Chemicals Inc
353800H2UB5ZEZRZQC02
Mitsui Chemicals Inc
000000000
1700.00000000
NS
43459.73000000
0.015572183995
Long
EC
CORP
JP
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
6680.19000000
0.002393598575
N/A
DFE
ID
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1460937.31000000
USD
21183591000.00000000
IDR
2022-05-04
6680.19000000
N
N
N
MongoDB Inc
549300TPTG69WKWE1Z37
MongoDB Inc
60937P106
-1100.00000000
NS
USD
-420189.00000000
-0.15055915950
Short
EC
CORP
US
N
1
N
N
N
Aisin Corp
3538004IOK08PDY6I723
Aisin Corp
000000000
3600.00000000
NS
131127.34000000
0.046984623819
Long
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.418 %
000000000
3010000.00000000
OU
Notional Amount
10493.53000000
0.003759967674
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
3010000.00000000
CAD
10493.53000000
N
N
N
Rational AG
529900K139N6UFJ1A758
Rational AG
000000000
-88.00000000
NS
-64764.60000000
-0.02320599478
Short
EC
CORP
DE
N
2
N
N
N
Molson Coors Beverage Co
54930073LBBH6ZCBE225
Molson Coors Beverage Co
60871R209
9900.00000000
NS
USD
516582.00000000
0.185098019542
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-3790.57000000
-0.00135821031
N/A
DFE
NZ
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
303710.42000000
USD
443362.00000000
NZD
2022-03-18
-3790.57000000
N
N
N
Lasertec Corp
N/A
Lasertec Corp
000000000
-2100.00000000
NS
-389282.43000000
-0.13948493527
Short
EC
CORP
JP
N
2
N
N
N
Kia Corp
988400V8MJK9N7OI5X76
Kia Corp
000000000
5625.00000000
NS
348723.64000000
0.124952195646
Long
EC
CORP
KR
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.844 %
000000000
29270000.00000000
OU
Notional Amount
-170108.78000000
-0.06095217852
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
65875.37000000
SEK
0.00000000
SEK
29270000.00000000
SEK
-177362.06000000
N
N
N
Svenska Cellulosa AB SCA
549300FW5JDRV1IJ0M67
Svenska Cellulosa AB SCA
000000000
3739.00000000
NS
61003.79000000
0.021858447862
Long
EC
CORP
SE
N
2
N
N
N
Agile Group Holdings Ltd
549300ZRISRT38EEYY07
Agile Group Holdings Ltd
000000000
74000.00000000
NS
33716.04000000
0.012080893702
Long
EC
CORP
KY
N
2
N
N
N
International Business Machines Corp
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200101
4200.00000000
NS
USD
514542.00000000
0.184367061127
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 3.015 %
000000000
1920000.00000000
OU
Notional Amount
2142.23000000
0.000767588747
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
NZD
0.00000000
NZD
1920000.00000000
NZD
2142.23000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-94736.95000000
-0.03394547588
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
26770000.00000000
NZD
17993053.95000000
USD
2022-06-01
-94736.95000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
3283.56000000
0.001176542065
N/A
DFE
ZA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
469156.70000000
USD
7348636.00000000
ZAR
2022-05-31
3283.56000000
N
N
N
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
OGO22H16USDP CDX S37 V1 5Y
000000000
-11125000.00000000
NC
USD
-15073.37000000
-0.00540098364
N/A
DCR
US
N
2
Goldman Sachs & Co. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
11125000.00000000
OU
Notional Amount
N/A
-15073.37000000
-0.01000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
11125000.00000000
USD
1.00000000
70.00000000
USD
2022-03-16
XXXX
-6551.62000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.135 %
000000000
3420000.00000000
OU
Notional Amount
57293.77000000
0.020529099657
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
3420000.00000000
CAD
57293.77000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.42 %
000000000
40700000.00000000
OU
Notional Amount
-18230.33000000
-0.00653216329
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
8199.52000000
SEK
0.00000000
SEK
40700000.00000000
SEK
-19147.74000000
N
N
N
Mitsubishi UFJ Financial Group Inc
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
000000000
5300.00000000
NS
32536.61000000
0.011658288662
Long
EC
CORP
JP
N
2
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
1679.88000000
0.000601922755
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2300640.00000000
CHF
2513261.96000000
USD
2022-03-28
1679.88000000
N
N
N
Scentre Group
N/A
Scentre Group
000000000
95582.00000000
NS
212345.10000000
0.076085998872
Long
EC
AU
N
2
N
N
N
AGNC Investment Corp
5TRACI5HRMELWV32OF39
AGNC Investment Corp
00123Q104
3400.00000000
NS
USD
43894.00000000
0.015727788559
Long
EC
US
N
1
N
N
N
Take-Two Interactive Software Inc
BOMSTHHJK882EWYX3334
Take-Two Interactive Software Inc
874054109
-17025.00000000
NS
USD
-2758050.00000000
-0.98824502750
Short
EC
CORP
US
N
1
N
N
N
Vistra Corp
549300KP43CPCUJOOG15
Vistra Corp
92840M102
-18000.00000000
NS
USD
-410760.00000000
-0.14718062671
Short
EC
CORP
US
N
1
N
N
N
CMC Materials Inc
31F6V1MN00ZW3XWB4J69
CMC Materials Inc
12571T100
14304.00000000
NS
USD
2652390.72000000
0.950385939355
Long
EC
CORP
US
N
1
N
N
N
DR Horton Inc
529900ZIUEYVSB8QDD25
DR Horton Inc
23331A109
5300.00000000
NS
USD
452620.00000000
0.162179606732
Long
EC
CORP
US
N
1
N
N
N
CyberArk Software Ltd
529900YEXNDM894PWS93
CyberArk Software Ltd
000000000
-2900.00000000
NS
USD
-493406.00000000
-0.17679375864
Short
EC
CORP
IL
N
1
N
N
N
Ocado Group PLC
213800LO8F61YB8MBC74
Ocado Group PLC
000000000
-20611.00000000
NS
-379013.74000000
-0.13580553068
Short
EC
CORP
GB
N
2
N
N
N
Entegris Inc
IYX6OWO7BT5DKO3BYG52
Entegris Inc
29362U104
-6446.00000000
NS
USD
-841074.08000000
-0.30136773347
Short
EC
CORP
US
N
1
N
N
N
Evolution AB
549300SUH6ZR1RF6TA88
Evolution AB
000000000
-3547.00000000
NS
-406695.75000000
-0.14572435330
Short
EC
CORP
SE
Y
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.459 %
000000000
7500000.00000000
OU
Notional Amount
USD
7345.16000000
0.002631865936
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
941.58000000
USD
0.00000000
USD
7500000.00000000
USD
6403.58000000
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284V101
-6700.00000000
NS
USD
-329506.00000000
-0.11806626639
Short
EC
US
N
1
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
SPI 200 FUTURES MAR22
000000000
-2.00000000
NC
7969.56000000
0.002855596541
N/A
DE
AU
N
2
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
SFE S&P ASX Share Price Index 200 Future
XPH2 INDEX
2022-03-17
-363245.10000000
AUD
7969.56000000
N
N
N
Arthur J Gallagher & Co
54930049QLLMPART6V29
Arthur J Gallagher & Co
363576109
-2900.00000000
NS
USD
-458751.00000000
-0.16437642341
Short
EC
CORP
US
N
1
N
N
N
Caesars Entertainment Inc
549300FA4CTCW903Y781
Caesars Entertainment Inc
12769G100
-5600.00000000
NS
USD
-471464.00000000
-0.16893165593
Short
EC
CORP
US
N
1
N
N
N
City Developments Ltd
254900BPLPJS0RJ72373
City Developments Ltd
000000000
-22900.00000000
NS
-121175.56000000
-0.04341877218
Short
EC
CORP
SG
N
2
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
703.56000000
0.000252094658
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
303449.00000000
CAD
240137.67000000
USD
2022-03-25
703.56000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-6389.52000000
-0.00228944775
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
433345.00000000
AUD
308419.83000000
USD
2022-03-18
-6389.52000000
N
N
N
Universal Health Services Inc
549300YGMGQDO0NMJD09
Universal Health Services Inc
913903100
3800.00000000
NS
USD
546934.00000000
0.195973534153
Long
EC
CORP
US
N
1
N
N
N
Palo Alto Networks Inc
549300QXR2YVZV231H43
Palo Alto Networks Inc
697435105
-200.00000000
NS
USD
-118850.00000000
-0.04258549392
Short
EC
CORP
US
N
1
N
N
N
ESCROW ALTEGRITY INC
N/A
ESCROW ALTEGRITY INC
021ESC017
950441.00000000
NS
USD
5607601.90000000
2.009276370587
Long
EC
CORP
US
N
3
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.117 %
000000000
9840000.00000000
OU
Notional Amount
15351.12000000
0.005500505069
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CAD
0.00000000
CAD
9840000.00000000
CAD
15351.12000000
N
N
N
Publicis Groupe SA
2138004KW8BV57III342
Publicis Groupe SA
000000000
3425.00000000
NS
227302.58000000
0.081445457632
Long
EC
CORP
FR
N
2
N
N
N
Heineken Holding NV
724500M1WJLFM9TYBS04
Heineken Holding NV
000000000
-1343.00000000
NS
-109681.42000000
-0.03930027299
Short
EC
CORP
NL
N
2
N
N
N
Shanghai Pharmaceuticals Holding Co Ltd
30030029J1KKCBY19820
Shanghai Pharmaceuticals Holding Co Ltd
000000000
57500.00000000
NS
103791.16000000
0.037189716563
Long
EC
CORP
CN
N
2
N
N
N
Siemens Gamesa Renewable Energy SA
9598004BR8D81D3M1D64
Siemens Gamesa Renewable Energy SA
000000000
-21349.00000000
NS
-491236.04000000
-0.17601623388
Short
EC
CORP
ES
N
2
N
N
N
EXOR NV
5493002ENHZ6NYET7405
EXOR NV
000000000
5592.00000000
NS
423681.25000000
0.151810477895
Long
EC
CORP
NL
N
2
N
N
N
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
EQUITY: NDUVEAFE TRS UBSD
000000000
3950214.32000000
OU
Notional Amount
USD
-138966.09000000
-0.04979334944
N/A
DE
US
N
2
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
MSCI Daily TR Net Value EAFE
NDUVEAFE Index
Y
equity-performance leg
2022-05-12
0.00000000
USD
0.00000000
USD
3950214.32000000
USD
-138966.09000000
N
N
N
Check Point Software Technologies Ltd
2549003ZVBH73EPNS513
Check Point Software Technologies Ltd
000000000
3500.00000000
NS
USD
507080.00000000
0.181693329905
Long
EC
CORP
IL
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2030.48000000
0.000727547275
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
171825.00000000
EUR
195064.78000000
USD
2022-04-21
2030.48000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ACTIVISION BLIZZARD INC
000000000
-317.00000000
NC
USD
-42795.00000000
-0.01533400262
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Activision Blizzard Inc
Activision Blizzard Inc
100.00000000
82.50000000
USD
2022-05-20
XXXX
51251.64000000
N
N
N
China Communications Services Corp Ltd
529900JCDRVQE6YZKT86
China Communications Services Corp Ltd
000000000
222000.00000000
NS
121793.87000000
0.043640320664
Long
EC
CORP
CN
N
2
N
N
N
Rio Tinto Ltd
529900X2VMAQT2PE0V24
Rio Tinto Ltd
000000000
4693.00000000
NS
404710.28000000
0.145012933699
Long
EC
CORP
AU
N
2
N
N
N
MGM Resorts International
54930066VBP7DZEGGJ87
MGM Resorts International
552953101
-5600.00000000
NS
USD
-248024.00000000
-0.08887021072
Short
EC
CORP
US
N
1
N
N
N
Hitachi Metals Ltd
N/A
Hitachi Metals Ltd
000000000
-16700.00000000
NS
-297685.91000000
-0.10666471612
Short
EC
CORP
JP
N
2
N
N
N
SAP SE
529900D6BF99LW9R2E68
SAP SE
000000000
2054.00000000
NS
231699.40000000
0.083020895170
Long
EC
CORP
DE
N
2
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.11
000000000
1440000.00000000
OU
Notional Amount
USD
119087.45000000
0.042670575334
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.11
137BERAK3
Y
buy protection
2054-11-19
54712.73000000
USD
0.00000000
USD
1440000.00000000
USD
64374.72000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 2.102 %
000000000
2900000.00000000
OU
Notional Amount
67520.52000000
0.024193476602
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
2900000.00000000
AUD
67520.52000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.7665 %
000000000
3800000.00000000
OU
Notional Amount
-12722.29000000
-0.00455856124
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
0.00000000
EUR
3800000.00000000
EUR
-12722.29000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
3641.65000000
0.001304850348
N/A
DFE
AU
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
205278.37000000
USD
287585.00000000
AUD
2022-03-18
3641.65000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
18212.07000000
0.006525620499
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1608397.64000000
PLN
400000.00000000
USD
2022-04-19
18212.07000000
N
N
N
Vail Resorts Inc
529900PSZHRNU9HKH870
Vail Resorts Inc
91879Q109
-1500.00000000
NS
USD
-390825.00000000
-0.14003765808
Short
EC
CORP
US
N
1
N
N
N
DraftKings Inc
5493008P45UYYL683Z97
DraftKings Inc
26142R104
-20400.00000000
NS
USD
-483072.00000000
-0.17309095263
Short
EC
CORP
US
N
1
N
N
N
S&P Global Inc
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409V104
-9528.00000000
NS
USD
-3579669.60000000
-1.28264196889
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.61 %
000000000
2580000.00000000
OU
Notional Amount
USD
-13986.44000000
-0.00501152255
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
889.34000000
USD
0.00000000
USD
2580000.00000000
USD
-14875.78000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.485 %
000000000
1880000.00000000
OU
Notional Amount
63563.61000000
0.022775664513
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
-455.09000000
EUR
1880000.00000000
EUR
64074.88000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-101200.50000000
-0.03626144954
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
8995886.16000000
USD
7926708.00000000
EUR
2022-03-21
-101200.50000000
N
N
N
Kornit Digital Ltd
5299006DPCQWP3VTFK34
Kornit Digital Ltd
000000000
-700.00000000
NS
USD
-66381.00000000
-0.02378517183
Short
EC
CORP
IL
N
1
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-1165.45000000
-0.00041759582
N/A
DFE
KR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
550000.00000000
USD
660385000.00000000
KRW
2022-05-09
-1165.45000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
2996.54000000
0.001073699082
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1340000.00000000
USD
1701998.32000000
CAD
2022-05-02
2996.54000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CDE8
3500000.00000000
PA
USD
3506318.62000000
1.256359362977
Long
DBT
UST
US
N
1
2023-10-31
Floating
0.40000000
N
N
N
N
N
N
Daiwa House Industry Co Ltd
N/A
Daiwa House Industry Co Ltd
000000000
10000.00000000
NS
283602.70000000
0.101618519628
Long
EC
CORP
JP
N
2
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
4195.47000000
0.001503291225
N/A
DFE
CA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
698035.75000000
USD
889947.00000000
CAD
2022-04-12
4195.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.3235 %
000000000
2660000.00000000
OU
Notional Amount
-8703.41000000
-0.00311854449
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
2660000.00000000
CAD
-8703.41000000
N
N
N
Clarivate PLC
549300WDHIIODXFO0R55
Clarivate PLC
000000000
-19500.00000000
NS
USD
-292110.00000000
-0.10466679537
Short
EC
CORP
JE
N
1
N
N
N
Cognizant Technology Solutions Corp
5493006IEVQEFQO40L83
Cognizant Technology Solutions Corp
192446102
5600.00000000
NS
USD
482328.00000000
0.172824367805
Long
EC
CORP
US
N
1
N
N
N
Western Union Co/The
28ID94QU1140NC23S047
Western Union Co/The
959802109
22300.00000000
NS
USD
405414.00000000
0.145265085687
Long
EC
CORP
US
N
1
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
6364.00000000
NS
369268.05000000
0.132313523768
Long
EC
CORP
FR
N
2
N
N
N
Snowflake Inc
254900CJNSY1K7T53Z16
Snowflake Inc
833445109
-1500.00000000
NS
USD
-398490.00000000
-0.14278412683
Short
EC
CORP
US
N
1
N
N
N
Ito En Ltd
N/A
Ito En Ltd
000000000
-600.00000000
NS
-34507.06000000
-0.01236432641
Short
EC
CORP
JP
N
2
N
N
N
eBay Inc
OML71K8X303XQONU6T67
eBay Inc
278642103
6800.00000000
NS
USD
371212.00000000
0.133010066224
Long
EC
CORP
US
N
1
N
N
N
Chipotle Mexican Grill Inc
N/A
Chipotle Mexican Grill Inc
169656105
-300.00000000
NS
USD
-457005.00000000
-0.16375080901
Short
EC
CORP
US
N
1
N
N
N
Halma PLC
2138007FRGLUR9KGBT40
Halma PLC
000000000
-4686.00000000
NS
-151142.46000000
-0.05415630048
Short
EC
CORP
GB
N
2
N
N
N
M&G PLC
254900TWUJUQ44TQJY84
M&G PLC
000000000
175691.00000000
NS
483655.45000000
0.173300010328
Long
EC
CORP
GB
N
2
N
N
N
Arch Capital Group Ltd
549300AYR4P8AFKDCE43
Arch Capital Group Ltd
000000000
1200.00000000
NS
USD
56532.00000000
0.020256147602
Long
EC
CORP
BM
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
19095.54000000
0.006842179239
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
60427657.00000000
THB
1868973.68000000
USD
2022-05-18
19095.54000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CBK6
14200000.00000000
PA
USD
14205731.55000000
5.090097556733
Long
DBT
UST
US
N
1
2023-01-31
Floating
0.41000000
N
N
N
N
N
N
Shimao Group Holdings Ltd
254900WTJ6B5CU69ZD26
Shimao Group Holdings Ltd
000000000
239500.00000000
NS
143723.45000000
0.051497973132
Long
EC
CORP
KY
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.233 %
000000000
3060000.00000000
OU
Notional Amount
29816.88000000
0.010683774186
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
3060000.00000000
CAD
29816.88000000
N
N
N
Owens Corning
JO5M6676RDJIZ2U8X907
Owens Corning
690742101
700.00000000
NS
USD
65233.00000000
0.023373828566
Long
EC
CORP
US
N
1
N
N
N
Quebecor Inc
N/A
Quebecor Inc
748193208
6000.00000000
NS
131218.93000000
0.047017441702
Long
EC
CORP
CA
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
91019.54000000
0.032613479745
N/A
DFE
NZ
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
18021564.00000000
USD
26770000.00000000
NZD
2022-03-01
91019.54000000
N
N
N
East Japan Railway Co
353800SENYJ2DSM6PS44
East Japan Railway Co
000000000
-2600.00000000
NS
-154462.73000000
-0.05534599621
Short
EC
CORP
JP
N
2
N
N
N
Micron Technology Inc
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112103
6100.00000000
NS
USD
542046.00000000
0.194222100461
Long
EC
CORP
US
N
1
N
N
N
Cornerstone Building Brands Inc
549300IW41QEWQ6T0H29
Cornerstone Building Brands Inc
21925D109
58524.00000000
NS
USD
1292209.92000000
0.463015546466
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.715 %
000000000
98500000.00000000
OU
Notional Amount
17339.61000000
0.006213006784
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
SEK
0.00000000
SEK
98500000.00000000
SEK
17339.61000000
N
N
N
Symrise AG
529900D82I6R9601CF26
Symrise AG
000000000
-3429.00000000
NS
-407867.71000000
-0.14614428175
Short
EC
CORP
DE
N
2
N
N
N
HubSpot Inc
529900BLNVEW0MVKJB37
HubSpot Inc
443573100
-900.00000000
NS
USD
-472500.00000000
-0.16930286814
Short
EC
CORP
US
N
1
N
N
N
AES Corp/The
2NUNNB7D43COUIRE5295
AES Corp/The
00130H105
-18800.00000000
NS
USD
-399124.00000000
-0.14301129724
Short
EC
CORP
US
N
1
N
N
N
Nidec Corp
353800IF171MZTNL6Y31
Nidec Corp
000000000
-3200.00000000
NS
-278187.54000000
-0.09967819768
Short
EC
CORP
JP
N
2
N
N
N
Snap-on Inc
HHWAT5TDOYZMM26KKQ73
Snap-on Inc
833034101
400.00000000
NS
USD
84072.00000000
0.030124086203
Long
EC
CORP
US
N
1
N
N
N
Guangzhou R&F Properties Co Ltd
529900ICJ8CK8LFWH863
Guangzhou R&F Properties Co Ltd
000000000
256800.00000000
NS
109319.79000000
0.039170696280
Long
EC
CORP
CN
N
2
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967424
8700.00000000
NS
USD
515301.00000000
0.184639020655
Long
EC
CORP
US
N
1
N
N
N
Williams Cos Inc/The
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457100
-19400.00000000
NS
USD
-606832.00000000
-0.21743576314
Short
EC
CORP
US
N
1
N
N
N
Walgreens Boots Alliance Inc
549300RPTUOIXG4LIH86
Walgreens Boots Alliance Inc
931427108
3600.00000000
NS
USD
165924.00000000
0.059452717660
Long
EC
CORP
US
N
1
N
N
N
Ferrovial SA
95980020140005757903
Ferrovial SA
000000000
-17643.00000000
NS
-480669.49000000
-0.17223010219
Short
EC
CORP
ES
N
2
N
N
N
Omnicom Group Inc
HKUPACFHSSASQK8HLS17
Omnicom Group Inc
681919106
3000.00000000
NS
USD
251670.00000000
0.090176619739
Long
EC
CORP
US
N
1
N
N
N
West Fraser Timber Co Ltd
5493005WD1ZK6WBVR988
West Fraser Timber Co Ltd
952845105
4400.00000000
NS
439201.58000000
0.157371613098
Long
EC
CORP
CA
N
1
N
N
N
Equity LifeStyle Properties Inc
529900PEQG66LENB6798
Equity LifeStyle Properties Inc
29472R108
-3900.00000000
NS
USD
-291018.00000000
-0.10427551763
Short
EC
US
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL S BR
000000000
902629.92157100
OU
Notional Amount
USD
2577.86000000
0.000923680617
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL S BR
BTF6
Custom equity basket swap which has a notional amount of less than 1% of the Funds total net assets.
Y
equity-performance leg
2022-05-24
0.00000000
USD
0.00000000
USD
902629.92157100
USD
2577.86000000
N
N
N
Alliance Data Systems Corp
549300G8S4PO686J7H97
Alliance Data Systems Corp
018581108
5800.00000000
NS
USD
391210.00000000
0.140175608567
Long
EC
CORP
US
N
1
N
N
N
Nihon M&A Center Holdings Inc
N/A
Nihon M&A Center Holdings Inc
000000000
-19800.00000000
NS
-292862.97000000
-0.10493659427
Short
EC
CORP
JP
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.13
000000000
1500000.00000000
OU
Notional Amount
USD
147042.28000000
0.052687152895
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.13
137BERAM9
Y
buy protection
2072-12-17
65523.65000000
USD
0.00000000
USD
1500000.00000000
USD
81518.63000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.39 %
000000000
25280000.00000000
OU
Notional Amount
1275694.81000000
0.457097968708
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
62312.11000000
EUR
0.00000000
EUR
25280000.00000000
EUR
1204350.59000000
N
N
N
Micro Focus International PLC
213800F8E4X648142844
Micro Focus International PLC
000000000
48283.00000000
NS
250947.64000000
0.089917788797
Long
EC
CORP
GB
N
2
N
N
N
Tokyo Electric Power Co Holdings Inc
5299004EMJ3R4RVR5Y75
Tokyo Electric Power Co Holdings Inc
000000000
151300.00000000
NS
474929.44000000
0.170173367957
Long
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 2.54 %
000000000
2820000.00000000
OU
Notional Amount
14189.01000000
0.005084106008
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
2820000.00000000
AUD
14189.01000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON -0.24 %
000000000
16280000.00000000
OU
Notional Amount
-16898.56000000
-0.00605497285
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CHF
0.00000000
CHF
16280000.00000000
CHF
-16898.56000000
N
N
N
Wendel SE
969500M98ZMIZYJD5O34
Wendel SE
000000000
-1621.00000000
NS
-164561.47000000
-0.05896450551
Short
EC
CORP
FR
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.529 %
000000000
1420000.00000000
OU
Notional Amount
-3861.36000000
-0.00138357528
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
0.00000000
CHF
1420000.00000000
CHF
-3861.36000000
N
N
N
Expedia Group Inc
N/A
Expedia Group Inc
30212P303
-2100.00000000
NS
USD
-411831.00000000
-0.14756437987
Short
EC
CORP
US
N
1
N
N
N
Simon Property Group Inc
529900GQL5X8H7AO3T64
Simon Property Group Inc
828806109
-2100.00000000
NS
USD
-288876.00000000
-0.10350801129
Short
EC
US
N
1
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030N101
8800.00000000
NS
USD
411488.00000000
0.147441478536
Long
EC
CORP
US
N
1
N
N
N
Upstart Holdings Inc
549300WNB47JRNENIC75
Upstart Holdings Inc
91680M107
-3800.00000000
NS
USD
-600362.00000000
-0.21511747836
Short
EC
CORP
US
N
1
N
N
N
Guidewire Software Inc
549300WXSG0J8IXZCK32
Guidewire Software Inc
40171V100
-4300.00000000
NS
USD
-379045.00000000
-0.13581673154
Short
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-2772.81000000
-0.00099353372
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
306946.00000000
AUD
220212.27000000
USD
2022-03-18
-2772.81000000
N
N
N
Realty Income Corp
549300CUWDAUZSH43859
Realty Income Corp
756109104
-1.00000000
NS
USD
-66.09000000
-0.00002368090
Short
EC
US
N
1
N
N
N
Invesco Ltd
ECPGFXU8A2SHKVVGJI15
Invesco Ltd
000000000
18000.00000000
NS
USD
382320.00000000
0.136990206455
Long
EC
CORP
BM
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
9917.89000000
0.003553708408
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
682500.00000000
EUR
776662.61000000
USD
2022-04-21
9917.89000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.13
000000000
576500.00000000
OU
Notional Amount
USD
56513.25000000
0.020249429234
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.13
137BERAM9
Y
buy protection
2072-12-17
35495.86000000
USD
0.00000000
USD
576500.00000000
USD
21017.39000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-996.75000000
-0.00035714843
N/A
DFE
KR
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
500000.00000000
USD
600425500.00000000
KRW
2022-05-09
-996.75000000
N
N
N
Dexus
N/A
Dexus
000000000
41316.00000000
NS
327056.67000000
0.117188639741
Long
EC
AU
N
2
N
N
N
Ubisoft Entertainment SA
969500I7C8V1LBIMSM05
Ubisoft Entertainment SA
000000000
-3433.00000000
NS
-184067.00000000
-0.06595358948
Short
EC
CORP
FR
N
2
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-70676.45000000
-0.02532428718
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
4870000.00000000
AUD
3469875.00000000
USD
2022-05-09
-70676.45000000
N
N
N
ONEOK Inc
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680103
-600.00000000
NS
USD
-39180.00000000
-0.01403870132
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.64 %
000000000
92400000.00000000
OU
Notional Amount
1608.10000000
0.000576203052
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
SEK
0.00000000
SEK
92400000.00000000
SEK
1608.10000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-23695.60000000
-0.00849044030
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
4160000.00000000
NZD
2790960.64000000
USD
2022-03-01
-23695.60000000
N
N
N
Fox Corp
549300DDU6FDRBIELS05
Fox Corp
35137L105
2100.00000000
NS
USD
87843.00000000
0.031475284331
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 1.4 %
000000000
17000000.00000000
OU
Notional Amount
4181.46000000
0.001498271261
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
SEK
0.00000000
SEK
17000000.00000000
SEK
4181.46000000
N
N
N
China Railway Group Ltd
529900TFRLG8UDJ7QA89
China Railway Group Ltd
000000000
610000.00000000
NS
358165.06000000
0.128335178684
Long
EC
CORP
CN
N
2
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-3133.57000000
-0.00112279870
N/A
DFE
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
386129.67000000
USD
285450.00000000
GBP
2022-03-21
-3133.57000000
N
N
N
Palantir Technologies Inc
549300UVN46B3BBDHO85
Palantir Technologies Inc
69608A108
-24700.00000000
NS
USD
-292695.00000000
-0.10487640844
Short
EC
CORP
US
N
1
N
N
N
Kingboard Holdings Ltd
529900G89MY26MMSDR76
Kingboard Holdings Ltd
000000000
26500.00000000
NS
123970.92000000
0.044420385868
Long
EC
CORP
KY
N
2
N
N
N
Yuzhou Group Holdings Co Ltd
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
461616.00000000
NS
36675.63000000
0.013141353121
Long
EC
CORP
KY
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.788 %
000000000
2640000.00000000
OU
Notional Amount
USD
-29373.35000000
-0.01052485164
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
USD
0.00000000
USD
2640000.00000000
USD
-29373.35000000
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
15352.00000000
NS
434116.68000000
0.155549627587
Long
EC
CORP
FR
N
2
N
N
N
Franco-Nevada Corp
N/A
Franco-Nevada Corp
351858105
-3100.00000000
NS
USD
-456072.00000000
-0.16341650303
Short
EC
CORP
CA
N
1
N
N
N
FleetCor Technologies Inc
549300DG6RR0NQSFLN74
FleetCor Technologies Inc
339041105
1800.00000000
NS
USD
421560.00000000
0.151050406553
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
33812.45000000
0.012115438654
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
9534304.00000000
SEK
1040484.66000000
USD
2022-03-07
33812.45000000
N
N
N
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
HANG SENG IDX FUT MAR22
000000000
39.00000000
NC
-232326.15000000
-0.08324546781
N/A
DE
HK
N
2
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
Long
HKG Hang Seng Index Future
HIH2 INDEX
2022-03-30
46030997.00000000
HKD
-232326.15000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL S ZA
000000000
137939.73205400
OU
Notional Amount
USD
-2930.99000000
-0.00105021166
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL S ZA
BTFH
Custom equity basket swap which has a notional amount of less than 1% of the Funds total net assets.
Y
equity-performance leg
2022-05-24
0.00000000
USD
0.00000000
USD
137939.73205400
USD
-2930.99000000
N
N
N
China Overseas Land & Investment Ltd
529900I6W35GYKRIZ151
China Overseas Land & Investment Ltd
000000000
181500.00000000
NS
554149.77000000
0.198559037977
Long
EC
CORP
HK
N
2
N
N
N
Qurate Retail Inc
549300PSXEKU4PHLCR04
Qurate Retail Inc
74915M100
54000.00000000
NS
USD
297540.00000000
0.106612434685
Long
EC
CORP
US
N
1
N
N
N
Just Eat Takeaway.com NV
724500FVZIBSSQ7SHI95
Just Eat Takeaway.com NV
000000000
-8450.00000000
NS
-341989.77000000
-0.12253936283
Short
EC
CORP
NL
Y
2
N
N
N
Embracer Group AB
549300RFXXKT652HB549
Embracer Group AB
000000000
-42154.00000000
NS
-361855.63000000
-0.12965755770
Short
EC
CORP
SE
N
2
N
N
N
Advanced Micro Devices Inc
R2I72C950HOYXII45366
Advanced Micro Devices Inc
007903107
15.00000000
NS
USD
1850.10000000
0.000662914785
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
11471.73000000
0.004110469400
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
711468.00000000
EUR
809821.34000000
USD
2022-03-21
11471.73000000
N
N
N
Aerojet Rocketdyne Holdings Inc
549300VULNLWHE8QWI76
Aerojet Rocketdyne Holdings Inc
007800105
3628.00000000
NS
USD
140585.00000000
0.050373425859
Long
EC
CORP
US
N
1
N
N
N
Marvell Technology Inc
N/A
Marvell Technology Inc
573874104
-2300.00000000
NS
USD
-157159.00000000
-0.05631210466
Short
EC
CORP
US
N
1
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
OBA22H16USDP1 CDX S37 V1
000000000
41720000.00000000
NC
USD
253342.20000000
0.090775790651
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
41720000.00000000
OU
Notional Amount
N/A
253342.20000000
0.09000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
41720000.00000000
USD
1.00000000
55.00000000
USD
2022-03-16
XXXX
180332.20000000
N
N
N
Shimizu Corp
353800BRAE0QFP3ZLY22
Shimizu Corp
000000000
44400.00000000
NS
293890.75000000
0.105304861158
Long
EC
CORP
JP
N
2
N
N
N
Sinch AB
549300UXY7QM6IDCGI12
Sinch AB
000000000
-38234.00000000
NS
-322519.07000000
-0.11556275890
Short
EC
CORP
SE
Y
2
N
N
N
Centene Corp
549300Z7JJ4TQSQGT333
Centene Corp
15135B101
6000.00000000
NS
USD
495720.00000000
0.177622894811
Long
EC
CORP
US
N
1
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
33917.52000000
0.012153086595
N/A
DFE
NO
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
12141736.39000000
USD
107411871.00000000
NOK
2022-05-16
33917.52000000
N
N
N
Snap Inc
549300JNC0L6VP8A2Q35
Snap Inc
83304A106
-12700.00000000
NS
USD
-507238.00000000
-0.18174994335
Short
EC
CORP
US
N
1
N
N
N
Meridian Energy Ltd
254900IFKXIGNCY3A092
Meridian Energy Ltd
000000000
50699.00000000
NS
172127.79000000
0.061675615947
Long
EC
CORP
NZ
N
2
N
N
N
Zillow Group Inc
2549002XEELQDIR6FU05
Zillow Group Inc
98954M101
-7800.00000000
NS
USD
-446706.00000000
-0.16006054395
Short
EC
CORP
US
N
1
N
N
N
Lumen Technologies Inc
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
550241103
32000.00000000
NS
USD
331520.00000000
0.118787908673
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.4225 %
000000000
5240000.00000000
OU
Notional Amount
-19954.12000000
-0.00714981957
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
5240000.00000000
CAD
-19954.12000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-41753.93000000
-0.01496097376
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1772674.53000000
USD
1542748.00000000
EUR
2022-03-18
-41753.93000000
N
N
N
Lincoln National Corp
EFQMQROEDSNBRIP7LE47
Lincoln National Corp
534187109
7100.00000000
NS
USD
478682.00000000
0.171517958795
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 1.38 %
000000000
29800000.00000000
OU
Notional Amount
-13296.00000000
-0.00476412896
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
SEK
0.00000000
SEK
29800000.00000000
SEK
-13296.00000000
N
N
N
Ageas SA/NV
5493005DJBML6LY3RV36
Ageas SA/NV
000000000
7921.00000000
NS
381048.87000000
0.136534744117
Long
EC
CORP
BE
N
2
N
N
N
Seagen Inc
N/A
Seagen Inc
81181C104
-3200.00000000
NS
USD
-412384.00000000
-0.14776252693
Short
EC
CORP
US
N
1
N
N
N
Pandora A/S
5299007OWYZ6I1E46843
Pandora A/S
000000000
3960.00000000
NS
405493.31000000
0.145293503487
Long
EC
CORP
DK
N
2
N
N
N
IQVIA Holdings Inc
549300W3R20NM4KQPH86
IQVIA Holdings Inc
46266C105
-2200.00000000
NS
USD
-506264.00000000
-0.18140094653
Short
EC
CORP
US
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AAA.13
000000000
1730000.00000000
OU
Notional Amount
USD
-10396.43000000
-0.00372517548
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AAA.13
137BENAM8
Y
sell protection
2072-12-17
4051.17000000
USD
0.00000000
USD
1730000.00000000
USD
-14447.60000000
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377508
4400.00000000
NS
USD
166496.00000000
0.059657672667
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
88.26000000
0.000031624700
N/A
DFE
CA
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
34041.77000000
USD
43255.00000000
CAD
2022-03-25
88.26000000
N
N
N
Securitas AB
635400TTYKE8EIWDS617
Securitas AB
000000000
1952.00000000
NS
23632.62000000
0.008467873752
Long
EC
CORP
SE
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.03 %
000000000
13760000.00000000
OU
Notional Amount
-2848.46000000
-0.00102064010
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CAD
0.00000000
CAD
13760000.00000000
CAD
-2848.46000000
N
N
N
UDR Inc
P3CH2EG5X6Z1XWU1OO74
UDR Inc
902653104
-5400.00000000
NS
USD
-296298.00000000
-0.10616741000
Short
EC
US
N
1
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122108
-1.00000000
NS
USD
-68.67000000
-0.00002460535
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON -0.171 %
000000000
6860000.00000000
OU
Notional Amount
17696.79000000
0.006340989003
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CHF
0.00000000
CHF
6860000.00000000
CHF
17696.79000000
N
N
N
FinecoBank Banca Fineco SpA
549300L7YCATGO57ZE10
FinecoBank Banca Fineco SpA
000000000
-27501.00000000
NS
-458326.76000000
-0.16422441273
Short
EC
CORP
IT
N
2
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
EQUITY: NDUVEAFE TRS GOLD
000000000
3406276.57700000
OU
Notional Amount
USD
-134820.31000000
-0.04830786278
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
MSCI Daily TR Net Value EAFE
NDUVEAFE Index
Y
equity-performance leg
2022-05-06
0.00000000
USD
0.00000000
USD
3406276.57700000
USD
-134820.31000000
N
N
N
Singapore Exchange Ltd
549300IQ650PPXM76X03
Singapore Exchange Ltd
000000000
-40500.00000000
NS
-280980.35000000
-0.10067889766
Short
EC
CORP
SG
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.877 %
000000000
4450000.00000000
OU
Notional Amount
156655.46000000
0.056131679765
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
4450000.00000000
CAD
156655.46000000
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp
526057104
5100.00000000
NS
USD
458388.00000000
0.164246355819
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
-104381.61000000
-0.03740128244
N/A
DFE
CZ
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2441021.61000000
USD
52862764.00000000
CZK
2022-05-18
-104381.61000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
33376.07000000
0.011959078049
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2440930.00000000
EUR
2775603.47000000
USD
2022-04-21
33376.07000000
N
N
N
Nippon Telegraph & Telephone Corp
353800VHQU5VIXVUA841
Nippon Telegraph & Telephone Corp
000000000
19700.00000000
NS
566195.50000000
0.202875179010
Long
EC
CORP
JP
N
2
N
N
N
Leidos Holdings Inc
549300IUTGTP6EJP8124
Leidos Holdings Inc
525327102
3700.00000000
NS
USD
376808.00000000
0.135015185483
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AAA.10
000000000
4610000.00000000
OU
Notional Amount
USD
12705.15000000
0.004552419757
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.AAA.10
137BENAJ5
Y
sell protection
2059-11-18
42162.58000000
USD
0.00000000
USD
4610000.00000000
USD
-29457.43000000
N
N
N
CBRE Group Inc
52990016II9MJ2OSWA10
CBRE Group Inc
12504L109
5300.00000000
NS
USD
513305.00000000
0.183923828010
Long
EC
CORP
US
N
1
N
N
N
Hello Group Inc
549300YMGLID32W48529
Hello Group Inc
423403104
38700.00000000
NS
USD
368811.00000000
0.132149756835
Long
EC
CORP
KY
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON -0.57 %
000000000
6200000.00000000
OU
Notional Amount
-39279.56000000
-0.01407437495
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CHF
-1502.55000000
CHF
6200000.00000000
CHF
-37654.83000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.198 %
000000000
1930000.00000000
OU
Notional Amount
-64362.47000000
-0.02306190639
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
0.00000000
CHF
1930000.00000000
CHF
-64362.47000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
14771.37000000
0.005292773137
N/A
DFE
BR
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
510000.00000000
USD
2726817.00000000
BRL
2022-04-04
14771.37000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.5475 %
000000000
3340000.00000000
OU
Notional Amount
15815.35000000
0.005666844689
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
0.00000000
CHF
3340000.00000000
CHF
15815.35000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
31817.64000000
0.011400672401
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1505944.00000000
GBP
2052514.33000000
USD
2022-04-21
31817.64000000
N
N
N
Biogen Inc
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062X103
1800.00000000
NS
USD
379818.00000000
0.136093707458
Long
EC
CORP
US
N
1
N
N
N
WPP PLC
549300LSGBXPYHXGDT93
WPP PLC
000000000
21192.00000000
NS
298063.11000000
0.106799871771
Long
EC
CORP
JE
N
2
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
2461.57000000
0.000882012404
N/A
DFE
JP
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
537588.82000000
USD
61993082.00000000
JPY
2022-05-09
2461.57000000
N
N
N
Canadian Tire Corp Ltd
549300RLHDA7VQYMUB14
Canadian Tire Corp Ltd
136681202
2800.00000000
NS
412809.47000000
0.147914978348
Long
EC
CORP
CA
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
S+P 500 INDEX
000000000
-16.00000000
NC
USD
-117120.00000000
-0.04196561252
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
S&P 500 Index
SPX INDEX
100.00000000
4350.00000000
USD
2022-03-11
XXXX
49185.26000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.348 %
000000000
1640000.00000000
OU
Notional Amount
11609.51000000
0.004159837758
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
GBP
0.00000000
GBP
1640000.00000000
GBP
11609.51000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.951 %
000000000
12210000.00000000
OU
Notional Amount
12474.13000000
0.004469642299
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CAD
0.00000000
CAD
12210000.00000000
CAD
12474.13000000
N
N
N
salesforce.com Inc
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466L302
-7.00000000
NS
USD
-1473.71000000
-0.00052804937
Short
EC
CORP
US
N
1
N
N
N
Power Corp of Canada
549300BE2CB8T87IJV50
Power Corp of Canada
739239101
1100.00000000
NS
33924.26000000
0.012155501624
Long
EC
CORP
CA
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-1020.29000000
-0.00036558311
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
264312.00000000
GBP
353637.24000000
USD
2022-04-21
-1020.29000000
N
N
N
Sumitomo Dainippon Pharma Co Ltd
529900D60UKVYLJ2OJ79
Sumitomo Dainippon Pharma Co Ltd
000000000
28400.00000000
NS
311680.93000000
0.111679313007
Long
EC
CORP
JP
N
2
N
N
N
London Stock Exchange Group PLC
213800QAUUUP6I445N30
London Stock Exchange Group PLC
000000000
-4804.00000000
NS
-419661.39000000
-0.15037011000
Short
EC
CORP
GB
N
2
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
15383.74000000
0.005512193237
N/A
DFE
BR
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
430000.00000000
USD
2314303.00000000
BRL
2022-04-04
15383.74000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
-2369.48000000
-0.00084901536
N/A
DFE
TH
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
340000.00000000
USD
11028954.00000000
THB
2022-05-18
-2369.48000000
N
N
N
AP Moller - Maersk A/S
549300D2K6PKKKXVNN73
AP Moller - Maersk A/S
000000000
46.00000000
NS
137929.51000000
0.049421929407
Long
EC
CORP
DK
N
2
N
N
N
Hermes International
969500Y4IJGHJE2MTJ13
Hermes International
000000000
-312.00000000
NS
-430259.43000000
-0.15416752496
Short
EC
CORP
FR
N
2
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR MAR22
000000000
-35.00000000
NC
243300.70000000
0.087177791179
N/A
DE
JP
N
2
Osaka Exchange
3538001249AILNPRUX57
Short
TSE TOPIX (Tokyo Price Index) Future
TPH2 INDEX
2022-03-10
-690866986.00000000
JPY
243300.70000000
N
N
N
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
EQUITY: NDUVEAFE TRS UBSD
000000000
2703455.16200000
OU
Notional Amount
USD
-95063.82000000
-0.03406259763
N/A
DE
US
N
2
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
MSCI Daily TR Net Value EAFE
NDUVEAFE Index
Y
equity-performance leg
2022-05-20
0.00000000
USD
0.00000000
USD
2703455.16200000
USD
-95063.82000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.325 %
000000000
9910000.00000000
OU
Notional Amount
-31362.05000000
-0.01123742860
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
9910000.00000000
CAD
-31362.05000000
N
N
N
Teck Resources Ltd
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742204
3300.00000000
NS
118826.04000000
0.042576908746
Long
EC
CORP
CA
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.223 %
000000000
11990000.00000000
OU
Notional Amount
USD
39660.75000000
0.014210960270
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
USD
-2553.92000000
USD
11990000.00000000
USD
42214.67000000
N
N
N
West Japan Railway Co
353800QGUXHZ7EBCR121
West Japan Railway Co
000000000
-9200.00000000
NS
-396923.77000000
-0.14222292634
Short
EC
CORP
JP
N
2
N
N
N
MarketAxess Holdings Inc
5493002U1CA1XJOVID83
MarketAxess Holdings Inc
57060D108
-1100.00000000
NS
USD
-419573.00000000
-0.15033843872
Short
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
ALTA MORD SUPERVAL S HK
000000000
4508932.34064300
OU
Notional Amount
USD
256694.80000000
0.091977070642
N/A
DE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
ALTA MORD SUPERVAL S HK
BTFP
HONG KONG EXCHANGES + CLEAR COMMON STOCK
-8800.00000000
USD
-426418.55000000
USD
GANFENG LITHIUM CO LTD H COMMON STOCK CNY1.0
-24600.00000000
USD
-417515.95000000
USD
KINGDEE INTERNATIONAL SFTWR COMMON STOCK HKD.025
-169000.00000000
USD
-417707.46000000
USD
CHINA MOLYBDENUM CO LTD H COMMON STOCK CNY.2
-729000.00000000
USD
-438787.08000000
USD
GREENTOWN SERVICE GROUP CO L COMMON STOCK HKD.00001
-192000.00000000
USD
-192868.36000000
USD
NEW WORLD DEVELOPMENT COMMON STOCK
-43000.00000000
USD
-171984.55000000
USD
COUNTRY GARDEN SERVICES HOLD COMMON STOCK USD.0001
-7000.00000000
USD
-41873.70000000
USD
WEIMOB INC COMMON STOCK USD.0001
-169000.00000000
USD
-111768.78000000
USD
ALIBABA PICTURES GROUP LTD COMMON STOCK HKD.25
-1100000.00000000
USD
-109977.20000000
USD
SANDS CHINA LTD COMMON STOCK USD.01
-172800.00000000
USD
-455756.72000000
USD
CHINA RESOURCES BEER HOLDING COMMON STOCK
-50000.00000000
USD
-396470.08000000
USD
CITIC SECURITIES CO LTD H COMMON STOCK CNY1.0
-70000.00000000
USD
-169589.09000000
USD
ZIJIN MINING GROUP CO LTD H COMMON STOCK CNY.1
-396000.00000000
USD
-587735.84000000
USD
ALIBABA HEALTH INFORMATION T COMMON STOCK HKD.01
-240000.00000000
USD
-168055.59000000
USD
COSCO SHIPPING HOLDINGS CO H COMMON STOCK CNY1.0
-72000.00000000
USD
-145528.18000000
USD
Y
equity-performance leg
2022-10-18
0.00000000
USD
0.00000000
USD
4508932.34064300
USD
256694.80000000
N
N
N
ASX Ltd
N/A
ASX Ltd
000000000
-6284.00000000
NS
-377426.18000000
-0.13523668738
Short
EC
CORP
AU
N
2
N
N
N
EQT AB
213800U7P9GOIRKCTB34
EQT AB
000000000
-1384.00000000
NS
-46322.52000000
-0.01659795872
Short
EC
CORP
SE
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.636 %
000000000
9860000.00000000
OU
Notional Amount
224325.37000000
0.080378684739
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
NZD
-4591.43000000
NZD
9860000.00000000
NZD
227450.30000000
N
N
N
Pembina Pipeline Corp
5493002W3L9YICM6FU21
Pembina Pipeline Corp
706327103
-12400.00000000
NS
USD
-421104.00000000
-0.15088701584
Short
EC
CORP
CA
N
1
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
OBA22H16USDP CDX S37 V1
000000000
41720000.00000000
NC
USD
96182.96000000
0.034463599989
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
41720000.00000000
OU
Notional Amount
N/A
96182.96000000
0.03000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
41720000.00000000
USD
1.00000000
65.00000000
USD
2022-03-16
XXXX
57591.96000000
N
N
N
Paramount Global
5KYC8KF17ROCY24M3H09
Paramount Global
92556H206
12600.00000000
NS
USD
385686.00000000
0.138196287840
Long
EC
CORP
US
N
1
N
N
N
Change Healthcare Inc
549300GS1BPJEDOZHM07
Change Healthcare Inc
15912K100
346453.00000000
NS
USD
7421023.26000000
2.659048724892
Long
EC
CORP
US
N
1
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494103
6200.00000000
NS
USD
574492.00000000
0.205847922387
Long
EC
CORP
US
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-3630.09000000
-0.00130070825
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1294020.40000000
ILS
400000.00000000
USD
2022-04-29
-3630.09000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
20112.44000000
0.007206547677
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
13447912.32000000
SEK
1440000.00000000
USD
2022-03-07
20112.44000000
N
N
N
BioMarin Pharmaceutical Inc
NSLL8ITTRR0J5HEMR848
BioMarin Pharmaceutical Inc
09061G101
-4700.00000000
NS
USD
-367164.00000000
-0.13155961540
Short
EC
CORP
US
N
1
N
N
N
Teladoc Health Inc
549300I2PVFBC9MFAC61
Teladoc Health Inc
87918A105
-5500.00000000
NS
USD
-417505.00000000
-0.14959744754
Short
EC
CORP
US
N
1
N
N
N
Kohl's Corp
549300JF6LPRTRJ0FH50
Kohl's Corp
500255104
6600.00000000
NS
USD
367092.00000000
0.131533816876
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
8993.46000000
0.003222473169
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
732384.00000000
EUR
831779.64000000
USD
2022-04-21
8993.46000000
N
N
N
adidas AG
549300JSX0Z4CW0V5023
adidas AG
000000000
-62.00000000
NS
-14659.39000000
-0.00525264925
Short
EC
CORP
DE
N
2
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
S+P/TSX 60 IX FUT MAR22
000000000
3.00000000
NC
-6424.80000000
-0.00230208903
N/A
DE
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
MSE S&P/TSX 60 Index Future
PTH2 INDEX
2022-03-17
773383.44000000
CAD
-6424.80000000
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
OBC22H16USDP1 CDX NAHY S37 V1
000000000
-44500000.00000000
NC
USD
-256259.93000000
-0.09182125109
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
44500000.00000000
OU
Notional Amount
N/A
-256259.93000000
-0.09000000
DCR
US
CDX.NA.HY.S37
2I65BRYQ7
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
44500000.00000000
USD
1.00000000
105.00000000
USD
2022-03-16
XXXX
162040.07000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796T41
42050000.00000000
PA
USD
41923577.51000000
15.02176066766
Long
STIV
UST
US
N
1
2022-08-18
None
0.00000000
N
N
N
N
N
N
Twitter Inc
549300I8RX485XMK6836
Twitter Inc
90184L102
-10900.00000000
NS
USD
-387495.00000000
-0.13884447596
Short
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
E-MINI RUSS 2000 MAR22
000000000
-113.00000000
NC
USD
768702.36000000
0.275436009100
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME E-mini Russell 2000 Index Futures
RTYH2 INDEX
2022-03-18
-12320127.36000000
USD
768702.36000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.8335 %
000000000
2960000.00000000
OU
Notional Amount
11934.35000000
0.004276232136
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
0.00000000
EUR
2960000.00000000
EUR
11934.35000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 1.385 %
000000000
255800000.00000000
OU
Notional Amount
-101328.29000000
-0.03630723835
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
491573.44000000
SEK
0.00000000
SEK
255800000.00000000
SEK
-155040.72000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.224 %
000000000
2590000.00000000
OU
Notional Amount
-79034.67000000
-0.02831914563
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
0.00000000
CHF
2590000.00000000
CHF
-79034.67000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.8205 %
000000000
2000000.00000000
OU
Notional Amount
5199.93000000
0.001863202250
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
0.00000000
EUR
2000000.00000000
EUR
5199.93000000
N
N
N
Seazen Group Ltd
5493006M8GRAQRCSCD67
Seazen Group Ltd
000000000
44000.00000000
NS
23216.88000000
0.008318908726
Long
EC
CORP
KY
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-1456.67000000
-0.00052194372
N/A
DFE
MX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
450000.00000000
USD
9217374.75000000
MXN
2022-03-22
-1456.67000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.045 %
000000000
10640000.00000000
OU
Notional Amount
USD
-77551.61000000
-0.02778774603
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
USD
-1603.97000000
USD
10640000.00000000
USD
-75947.64000000
N
N
N
Royal Caribbean Cruises Ltd
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd
000000000
-5800.00000000
NS
USD
-468176.00000000
-0.16775352295
Short
EC
CORP
LR
N
1
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
ODB22H16USDP CDX S37 V1
000000000
-11125000.00000000
NC
USD
-8961.41000000
-0.00321098923
N/A
DCR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
11125000.00000000
OU
Notional Amount
N/A
-8961.41000000
0.00000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
11125000.00000000
USD
1.00000000
75.00000000
USD
2022-03-16
XXXX
2386.09000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Cash Management Bill
912796V22
8200000.00000000
PA
USD
8193992.11000000
2.936013472604
Long
STIV
UST
US
N
1
2022-05-24
None
0.00000000
N
N
N
N
N
N
Charter Communications Inc
0J0XRGZE3PBRFEZ7MV65
Charter Communications Inc
16119P108
-3520.00000000
NS
USD
-2118265.60000000
-0.75900199276
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.601 %
000000000
55800000.00000000
OU
Notional Amount
-143548.07000000
-0.05143513220
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
7494.86000000
NZD
0.00000000
NZD
55800000.00000000
NZD
-148656.57000000
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO
000000000
162.00000000
NS
38543.65000000
0.013810688875
Long
EC
CORP
KR
N
2
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ITRAXX-EUROPES34V1-5Y 12-100%
000000000
17800000.00000000
OU
Notional Amount
629487.90000000
0.225553665469
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S34
2I666VCX1
Y
sell protection
2025-12-21
706688.86000000
EUR
0.00000000
EUR
17800000.00000000
EUR
-227479.79000000
N
N
N
Willis Towers Watson PLC
549300WHC56FF48KL350
Willis Towers Watson PLC
000000000
23408.00000000
NS
USD
5203598.40000000
1.864516685313
Long
EC
CORP
IE
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.781 %
000000000
3560000.00000000
OU
Notional Amount
-52919.57000000
-0.01896176715
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
NZD
0.00000000
NZD
3560000.00000000
NZD
-52919.57000000
N
N
N
Electric Power Development Co Ltd
549300KMHPUAQI8VEH90
Electric Power Development Co Ltd
000000000
9000.00000000
NS
142795.71000000
0.051165551877
Long
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 1.5975 %
000000000
10100000.00000000
OU
Notional Amount
-26313.13000000
-0.00942833519
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
AUD
0.00000000
AUD
10100000.00000000
AUD
-26313.13000000
N
N
N
Nuance Communications Inc
AEMSOT3SS15TNMJCE605
Nuance Communications Inc
67020Y100
118386.00000000
NS
USD
6572790.72000000
2.355116022503
Long
EC
CORP
US
N
1
N
N
N
Best Buy Co Inc
HL5XPTVRV0O8TUN5LL90
Best Buy Co Inc
086516101
4200.00000000
NS
USD
405888.00000000
0.145434926025
Long
EC
CORP
US
N
1
N
N
N
CNH Industrial NV
549300WGC2HZ5J67V817
CNH Industrial NV
000000000
-1500.00000000
NS
USD
-21495.00000000
-0.00770193682
Short
EC
CORP
NL
N
1
N
N
N
Mastercard Inc
AR5L2ODV9HN37376R084
Mastercard Inc
57636Q104
-100.00000000
NS
USD
-36082.00000000
-0.01292864780
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.8385 %
000000000
1890000.00000000
OU
Notional Amount
USD
-29901.48000000
-0.01071408746
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
USD
0.00000000
USD
1890000.00000000
USD
-29901.48000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.234 %
000000000
3020000.00000000
OU
Notional Amount
29211.15000000
0.010466733284
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
3020000.00000000
CAD
29211.15000000
N
N
N
Bank of Communications Co Ltd
549300AX1UM10U30HK09
Bank of Communications Co Ltd
000000000
581000.00000000
NS
398292.50000000
0.142713360025
Long
EC
CORP
CN
N
2
N
N
N
Agnico Eagle Mines Ltd
YGE0EUBRF7IJOB3QRX76
Agnico Eagle Mines Ltd
008474108
-2301.00000000
NS
USD
-116177.49000000
-0.04162789898
Short
EC
CORP
CA
N
1
N
N
N
NTPC Ltd
335800Q4TRGJXNLVMB81
NTPC Ltd
000000000
102719.00000000
NS
182921.89000000
0.065543281744
Long
EC
CORP
IN
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.032 %
000000000
4080000.00000000
OU
Notional Amount
98403.99000000
0.035259423797
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
4080000.00000000
CAD
98403.99000000
N
N
N
Infrastrutture Wireless Italiane SpA
81560066183FE361C071
Infrastrutture Wireless Italiane SpA
000000000
-37205.00000000
NS
-379911.77000000
-0.13612730646
Short
EC
CORP
IT
Y
2
N
N
N
Isetan Mitsukoshi Holdings Ltd
529900SY5RZO92EFG035
Isetan Mitsukoshi Holdings Ltd
000000000
-26800.00000000
NS
-216129.81000000
-0.07744210947
Short
EC
CORP
JP
N
2
N
N
N
Twilio Inc
5493004W8TRGD63APX93
Twilio Inc
90138F102
-2100.00000000
NS
USD
-367080.00000000
-0.13152951712
Short
EC
CORP
US
N
1
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
000000000
29834.00000000
NS
505328.68000000
0.181065809272
Long
EC
CORP
DK
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
1010.25000000
0.000361985656
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
205002.40000000
USD
261092.00000000
CAD
2022-03-25
1010.25000000
N
N
N
Avalara Inc
549300Q16CMW239SS315
Avalara Inc
05338G106
-4000.00000000
NS
USD
-415640.00000000
-0.14892919389
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.9875 %
000000000
14790000.00000000
OU
Notional Amount
6714.19000000
0.002405781215
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CAD
0.00000000
CAD
14790000.00000000
CAD
6714.19000000
N
N
N
Liberty Media Corp-Liberty Formula One
N/A
Liberty Media Corp-Liberty Formula One
531229854
-8800.00000000
NS
USD
-534424.00000000
-0.19149103916
Short
EC
CORP
US
N
1
N
N
N
T-Mobile US Inc
549300QHIJYOHPACPG31
T-Mobile US Inc
872590104
-3000.00000000
NS
USD
-369630.00000000
-0.13244321513
Short
EC
CORP
US
N
1
N
N
N
AstraZeneca PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353108
82.00000000
NS
USD
4992.16000000
0.001788755568
Long
EC
CORP
GB
N
1
N
N
N
Citrix Systems Inc
HCTKJGUQOPZ5NBK7NP58
Citrix Systems Inc
177376100
19204.00000000
NS
USD
1968410.00000000
0.705306790881
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
8430.86000000
0.003020886304
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
138456156.00000000
INR
1845171.80000000
USD
2022-03-08
8430.86000000
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
Cigna Corp
125523100
2500.00000000
NS
USD
594450.00000000
0.212999132212
Long
EC
CORP
US
N
1
N
N
N
Stockland
N/A
Stockland
000000000
85657.00000000
NS
259188.94000000
0.092870753300
Long
EC
AU
N
2
N
N
N
People's United Financial Inc
ROPY7PEPIPIDJNF0BO69
People's United Financial Inc
712704105
187286.00000000
NS
USD
3947988.88000000
1.414615536086
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.7565 %
000000000
1250000.00000000
OU
Notional Amount
-5561.81000000
-0.00199286853
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
0.00000000
EUR
1250000.00000000
EUR
-5561.81000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 2.07 %
000000000
3060000.00000000
OU
Notional Amount
-77575.82000000
-0.02779642079
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
3060000.00000000
AUD
-77575.82000000
N
N
N
Sunac China Holdings Ltd
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
214000.00000000
NS
174923.43000000
0.062677329958
Long
EC
CORP
KY
N
2
N
N
N
Oil & Natural Gas Corp Ltd
335800FPDZ9MRSNO7N41
Oil & Natural Gas Corp Ltd
000000000
259110.00000000
NS
557193.43000000
0.199649620766
Long
EC
CORP
IN
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.3395 %
000000000
2440000.00000000
OU
Notional Amount
-19844.47000000
-0.00711053055
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
GBP
-2548.89000000
GBP
2440000.00000000
GBP
-16395.31000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
117115.55000000
0.041964018031
N/A
DFE
CA
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
15526955.30000000
USD
19825950.00000000
CAD
2022-05-02
117115.55000000
N
N
N
Cellnex Telecom SA
5493008T4YG3AQUI7P67
Cellnex Telecom SA
000000000
-8628.00000000
NS
-390263.50000000
-0.13983646536
Short
EC
CORP
ES
Y
2
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650100
3800.00000000
NS
USD
393870.00000000
0.141128721010
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
EQUITY: NDUGEAFE TRS GOLD SHORT
000000000
3198610.82800000
OU
Notional Amount
USD
89489.52000000
0.032065253767
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
MSCI Daily TR Net Growth EAFE
NDUGEAFE Index
Y
equity-performance leg
2022-05-06
0.00000000
USD
0.00000000
USD
3198610.82800000
USD
89489.52000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.9
000000000
1112500.00000000
OU
Notional Amount
USD
-10749.80000000
-0.00385179253
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
0.00000000
USD
-33096.26000000
USD
1112500.00000000
USD
22346.46000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBN0
39025000.00000000
PA
USD
38653042.97000000
13.84988579358
Long
DBT
UST
US
N
1
2023-02-28
Fixed
0.13000000
N
N
N
N
N
N
Kintetsu Group Holdings Co Ltd
N/A
Kintetsu Group Holdings Co Ltd
000000000
-3800.00000000
NS
-114160.80000000
-0.04090529284
Short
EC
CORP
JP
N
2
N
N
N
Subaru Corp
549300N244BVAEE6HH86
Subaru Corp
000000000
11600.00000000
NS
190249.18000000
0.068168744628
Long
EC
CORP
JP
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-834.64000000
-0.00029906231
N/A
DFE
KR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
360000.00000000
USD
432165600.00000000
KRW
2022-05-09
-834.64000000
N
N
N
Principal Financial Group Inc
CUMYEZJOAF02RYZ1JJ85
Principal Financial Group Inc
74251V102
1500.00000000
NS
USD
105960.00000000
0.037966840018
Long
EC
CORP
US
N
1
N
N
N
Petroleo Brasileiro SA
5493000J801JZRCMFE49
Petroleo Brasileiro SA
71654V101
24100.00000000
NS
USD
315469.00000000
0.113036627538
Long
EC
CORP
BR
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.8165 %
000000000
2110000.00000000
OU
Notional Amount
USD
-29066.74000000
-0.01041498931
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
USD
0.00000000
USD
2110000.00000000
USD
-29066.74000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
3018.48000000
0.001081560468
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
29171220.00000000
INR
390000.00000000
USD
2022-03-08
3018.48000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 1.96 %
000000000
3970000.00000000
OU
Notional Amount
128876.23000000
0.046178021957
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
3970000.00000000
AUD
128876.23000000
N
N
N
Astellas Pharma Inc
529900IB708DY2HBBB35
Astellas Pharma Inc
000000000
12800.00000000
NS
213557.97000000
0.076520585898
Long
EC
CORP
JP
N
2
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS35V1-5Y 15-25%
000000000
1780000.00000000
OU
Notional Amount
USD
89695.51000000
0.032139062651
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S35
2I65BRYO2
Y
sell protection
2025-12-21
129939.98000000
USD
0.00000000
USD
1780000.00000000
USD
-40244.47000000
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
OBC22J20USDP1 CDX NAIG S37 V1
000000000
-59630000.00000000
NC
USD
-135754.85000000
-0.04864272057
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
59630000.00000000
OU
Notional Amount
N/A
-135754.85000000
-0.05000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
59630000.00000000
USD
1.00000000
75.00000000
USD
2022-04-20
XXXX
17792.40000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.3375 %
000000000
3000000.00000000
OU
Notional Amount
6812.25000000
0.002440917383
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
3000000.00000000
CAD
6812.25000000
N
N
N
Enbridge Inc
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250N105
-10300.00000000
NS
USD
-444754.00000000
-0.15936111708
Short
EC
CORP
CA
N
1
N
N
N
Skyworth Group Ltd
529900LRFQSJWSSXY627
Skyworth Group Ltd
000000000
282000.00000000
NS
159309.54000000
0.057082670995
Long
EC
CORP
BM
N
2
N
N
N
Sinopharm Group Co Ltd
529900N54X78YH9JYK92
Sinopharm Group Co Ltd
000000000
120800.00000000
NS
292841.33000000
0.104928840383
Long
EC
CORP
CN
N
2
N
N
N
ICE Futures Europe - Financial Products Division
N/A
FTSE 100 IDX FUT MAR22
000000000
102.00000000
NC
250796.58000000
0.089863662043
N/A
DE
GB
N
2
ICE Futures Europe - Financial Products Division
N/A
Long
ICF FTSE 100 Index Future
Z H2 INDEX
2022-03-18
7375788.87000000
GBP
250796.58000000
N
N
N
InterContinental Hotels Group PLC
2138007ZFQYRUSLU3J98
InterContinental Hotels Group PLC
000000000
-1992.00000000
NS
-138708.70000000
-0.04970112327
Short
EC
CORP
GB
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.2035 %
000000000
6160000.00000000
OU
Notional Amount
21942.08000000
0.007862131380
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-20
0.00000000
EUR
-5016.42000000
EUR
6160000.00000000
EUR
27673.09000000
N
N
N
Magna International Inc
95RWVLFZX6VGDZNNTN43
Magna International Inc
559222401
4600.00000000
NS
341760.95000000
0.122457373663
Long
EC
CORP
CA
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.121 %
000000000
52300000.00000000
OU
Notional Amount
-928522.54000000
-0.33270164902
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
16953.30000000
CAD
0.00000000
CAD
52300000.00000000
CAD
-941856.90000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.4 %
000000000
11450000.00000000
OU
Notional Amount
59812.43000000
0.021431568147
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
NZD
0.00000000
NZD
11450000.00000000
NZD
59812.43000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
897.00000000
0.000321406714
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
590000.00000000
USD
3070419.00000000
BRL
2022-04-04
897.00000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
5759.72000000
0.002063782255
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
7209730000.00000000
COP
1834210.19000000
USD
2022-03-17
5759.72000000
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE JUN22
000000000
-33.00000000
NC
-26699.77000000
-0.00956687331
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Short
Long Gilt Future
G M2 COMDTY
2022-06-28
-4041737.08000000
GBP
-26699.77000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 1.452 %
000000000
35600000.00000000
OU
Notional Amount
-9774.65000000
-0.00350238366
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
SEK
0.00000000
SEK
35600000.00000000
SEK
-9774.65000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
19548.90000000
0.007004623998
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
500000.00000000
USD
2699680.00000000
BRL
2022-04-04
19548.90000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.77 %
000000000
1280000.00000000
OU
Notional Amount
-5485.31000000
-0.00196545759
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
-4060.25000000
EUR
1280000.00000000
EUR
-846.68000000
N
N
N
Invitation Homes Inc
N/A
Invitation Homes Inc
46187W107
-1700.00000000
NS
USD
-64260.00000000
-0.02302519006
Short
EC
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.735 %
000000000
15820000.00000000
OU
Notional Amount
-69306.81000000
-0.02483352743
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CAD
0.00000000
CAD
15820000.00000000
CAD
-69306.81000000
N
N
N
Franklin Resources Inc
RIFQSET379FOGTEFKS80
Franklin Resources Inc
354613101
12900.00000000
NS
USD
383517.00000000
0.137419107055
Long
EC
CORP
US
N
1
N
N
N
Ambu A/S
5299008W2A69WX355710
Ambu A/S
000000000
-13383.00000000
NS
-246792.60000000
-0.08842898416
Short
EC
CORP
DK
N
2
N
N
N
Spark New Zealand Ltd
529900HUN51H3Y7QBB66
Spark New Zealand Ltd
000000000
10696.00000000
NS
32839.93000000
0.011766972145
Long
EC
CORP
NZ
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 1.42 %
000000000
21000000.00000000
OU
Notional Amount
960.99000000
0.000344335160
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
SEK
0.00000000
SEK
21000000.00000000
SEK
960.99000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.2775 %
000000000
6050000.00000000
OU
Notional Amount
-39698.02000000
-0.01422431459
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
6050000.00000000
CAD
-39698.02000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.4465 %
000000000
2580000.00000000
OU
Notional Amount
99575.07000000
0.035679036924
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
0.00000000
EUR
2580000.00000000
EUR
99575.07000000
N
N
N
Straumann Holding AG
50670046ML5FVIM60Z37
Straumann Holding AG
000000000
-247.00000000
NS
-392350.38000000
-0.14058422148
Short
EC
CORP
CH
N
2
N
N
N
NiSource Inc
549300D8GOWWH0SJB189
NiSource Inc
65473P105
-900.00000000
NS
USD
-26037.00000000
-0.00932939423
Short
EC
CORP
US
N
1
N
N
N
JDE Peet's NV
724500EHG519SE5ZRT89
JDE Peet's NV
000000000
11728.00000000
NS
385021.39000000
0.137958149471
Long
EC
CORP
NL
N
2
N
N
N
Steel Dynamics Inc
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119100
3200.00000000
NS
USD
225856.00000000
0.080927129287
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
21167.46000000
0.007584575004
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1194717.00000000
GBP
1624152.05000000
USD
2022-03-21
21167.46000000
N
N
N
Zogenix Inc
54930089H3HF4C32SK78
Zogenix Inc
98978L204
24954.00000000
NS
USD
655292.04000000
0.234799622955
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 1.386 %
000000000
23100000.00000000
OU
Notional Amount
-8919.20000000
-0.00319586484
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
SEK
0.00000000
SEK
23100000.00000000
SEK
-8919.20000000
N
N
N
First Republic Bank/CA
YWC0TIKBQM2JV8L4IV08
First Republic Bank/CA
33616C100
-1500.00000000
NS
USD
-259890.00000000
-0.09312195217
Short
EC
CORP
US
N
1
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
OBC22J20USDP CDX NAIG S37 V1
000000000
29815000.00000000
NC
USD
98174.83000000
0.035177312802
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
29815000.00000000
OU
Notional Amount
N/A
98174.83000000
0.04000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
29815000.00000000
USD
1.00000000
67.50000000
USD
2022-04-20
XXXX
-6177.67000000
N
N
N
Nissin Foods Holdings Co Ltd
529900YMZMNSHC1W6V41
Nissin Foods Holdings Co Ltd
000000000
-4200.00000000
NS
-335568.11000000
-0.12023839890
Short
EC
CORP
JP
N
2
N
N
N
Activision Blizzard Inc
549300TPQQDBP9GNOF40
Activision Blizzard Inc
00507V109
59680.00000000
NS
USD
4863920.00000000
1.742805516280
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.35 %
000000000
16760000.00000000
OU
Notional Amount
171579.35000000
0.061479102793
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
21095.32000000
GBP
0.00000000
GBP
16760000.00000000
GBP
143033.16000000
N
N
N
JFE Holdings Inc
N/A
JFE Holdings Inc
000000000
24000.00000000
NS
357301.35000000
0.128025700207
Long
EC
CORP
JP
N
2
N
N
N
NortonLifeLock Inc
YF6ZV0M6AU4FY94MK914
NortonLifeLock Inc
668771108
-14418.00000000
NS
USD
-417833.64000000
-0.14971520351
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.99 %
000000000
3950000.00000000
OU
Notional Amount
-10209.51000000
-0.00365819963
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
NZD
-5211.95000000
NZD
3950000.00000000
NZD
-6725.84000000
N
N
N
Pershing Square Tontine Holdings Ltd
549300ZDVEYEVCF35B08
Pershing Square Tontine Holdings Ltd
71531R109
189448.00000000
NS
USD
3752964.88000000
1.344735911625
Long
EC
CORP
US
N
1
N
N
N
Asahi Kasei Corp
353800GPI4Z3MGDGN142
Asahi Kasei Corp
000000000
52000.00000000
NS
488010.99000000
0.174860656708
Long
EC
CORP
JP
N
2
N
N
N
CyrusOne Inc
5493006S177ZK2ZNBU43
CyrusOne Inc
23283R100
66081.00000000
NS
USD
5970418.35000000
2.139278202537
Long
EC
US
N
1
N
N
N
Crown Castle International Corp
54930012H97VSM0I2R19
Crown Castle International Corp
22822V101
-1700.00000000
NS
USD
-283203.00000000
-0.10147530194
Short
EC
US
N
1
N
N
N
Citizens Financial Group Inc
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610105
-79627.00000000
NS
USD
-4174047.34000000
-1.49561520941
Short
EC
CORP
US
N
1
N
N
N
M&T Bank Corp
549300WYXDDBYRASEG81
M&T Bank Corp
55261F104
-22101.00000000
NS
USD
-4027465.23000000
-1.44309294138
Short
EC
CORP
US
N
1
N
N
N
Getlink SE
9695007ZEQ7M0OE74G82
Getlink SE
000000000
-32724.00000000
NS
-533706.60000000
-0.19123398545
Short
EC
CORP
FR
N
2
N
N
N
Incyte Corp
549300Z4WN6JVZ3T4680
Incyte Corp
45337C102
5700.00000000
NS
USD
389310.00000000
0.139494813965
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.12
000000000
1260000.00000000
OU
Notional Amount
USD
116746.26000000
0.041831696642
N/A
DCR
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.12
137BERAL1
Y
buy protection
2061-08-18
49804.05000000
USD
0.00000000
USD
1260000.00000000
USD
66942.21000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ZYNGA INC
000000000
-1802.00000000
NC
USD
-102714.00000000
-0.03680375618
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Zynga Inc
Zynga Inc
100.00000000
9.00000000
USD
2022-05-20
XXXX
10347.13000000
N
N
N
Pan American Silver Corp
549300MKTF5851TYIB83
Pan American Silver Corp
697900108
-3700.00000000
NS
USD
-87431.00000000
-0.03132765939
Short
EC
CORP
CA
N
1
N
N
N
Beijing Enterprises Holdings Ltd
529900896ODARUEY2V26
Beijing Enterprises Holdings Ltd
000000000
29500.00000000
NS
100845.81000000
0.036134359521
Long
EC
CORP
HK
N
2
N
N
N
Keikyu Corp
N/A
Keikyu Corp
000000000
-18600.00000000
NS
-194893.52000000
-0.06983287178
Short
EC
CORP
JP
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD RON
000000000
1.00000000
NC
-31761.21000000
-0.01138045280
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
12392218.00000000
RON
2768220.97000000
USD
2022-03-31
-31761.21000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.045 %
000000000
5460000.00000000
OU
Notional Amount
-273110.31000000
-0.09785896043
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
0.00000000
CHF
5460000.00000000
CHF
-273110.31000000
N
N
N
Catalent Inc
N/A
Catalent Inc
148806102
-2500.00000000
NS
USD
-255100.00000000
-0.09140563315
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.975 %
000000000
3670000.00000000
OU
Notional Amount
12720.41000000
0.004557887612
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
NZD
0.00000000
NZD
3670000.00000000
NZD
12720.41000000
N
N
N
Cerner Corp
549300L4UJ40IEVVI304
Cerner Corp
156782104
35790.00000000
NS
USD
3337417.50000000
1.195839904672
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-15317.63000000
-0.00548850516
N/A
DFE
JP
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
6548914.28000000
USD
750000000.00000000
JPY
2022-05-09
-15317.63000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL S KR
000000000
502772.26913400
OU
Notional Amount
USD
-26075.93000000
-0.00934334336
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL S KR
BTEF
Custom equity basket swap which has a notional amount of less than 1% of the Funds total net assets.
Y
equity-performance leg
2022-05-24
0.00000000
USD
0.00000000
USD
502772.26913400
USD
-26075.93000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.33 %
000000000
108000000.00000000
OU
Notional Amount
-68934.15000000
-0.02469999853
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
25980.00000000
SEK
0.00000000
SEK
108000000.00000000
SEK
-71789.38000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
6922.40000000
0.002480385554
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
5454175.00000000
CAD
4310652.79000000
USD
2022-04-12
6922.40000000
N
N
N
Zendesk Inc
549300SLI6BN94BKKO36
Zendesk Inc
98936J101
-4200.00000000
NS
USD
-490014.00000000
-0.17557836112
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.323 %
000000000
1410000.00000000
OU
Notional Amount
-4663.89000000
-0.00167113217
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
1410000.00000000
CAD
-4663.89000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON -0.5355 %
000000000
26650000.00000000
OU
Notional Amount
148295.42000000
0.053136169183
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CHF
0.00000000
CHF
26650000.00000000
CHF
148295.42000000
N
N
N
ORIX Corp
35380016EMHNBOVYE123
ORIX Corp
000000000
16200.00000000
NS
321134.68000000
0.115066714044
Long
EC
CORP
JP
N
2
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-321620.19000000
-0.11524067856
N/A
DFE
SE
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
8291286.92000000
USD
75481596.00000000
SEK
2022-03-07
-321620.19000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-14184.34000000
-0.00508243268
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
207393696.00000000
JPY
1790000.00000000
USD
2022-03-09
-14184.34000000
N
N
N
Unilever PLC
549300MKFYEKVRWML317
Unilever PLC
000000000
2926.00000000
NS
146810.56000000
0.052604124618
Long
EC
CORP
GB
N
2
N
N
N
BlueScope Steel Ltd
529900H6UQI16XACWC95
BlueScope Steel Ltd
000000000
32619.00000000
NS
483017.38000000
0.173071381585
Long
EC
CORP
AU
N
2
N
N
N
Adyen NV
724500973ODKK3IFQ447
Adyen NV
000000000
-215.00000000
NS
-448118.54000000
-0.16056667532
Short
EC
CORP
NL
Y
2
N
N
N
Oak Street Health Inc
2549007CJE6GSEURLA30
Oak Street Health Inc
67181A107
-24400.00000000
NS
USD
-427244.00000000
-0.15308705735
Short
EC
CORP
US
N
1
N
N
N
Fresenius SE & Co KGaA
XDFJ0CYCOO1FXRFTQS51
Fresenius SE & Co KGaA
000000000
6817.00000000
NS
237860.33000000
0.085228436164
Long
EC
CORP
DE
N
2
N
N
N
Telefonica Deutschland Holding AG
391200ECRPJ3SWQJUM30
Telefonica Deutschland Holding AG
000000000
-188893.00000000
NS
-515459.69000000
-0.18469588133
Short
EC
CORP
DE
N
2
N
N
N
Benefit One Inc
N/A
Benefit One Inc
000000000
-1300.00000000
NS
-30110.52000000
-0.01078898920
Short
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 2.245 %
000000000
3020000.00000000
OU
Notional Amount
-42396.89000000
-0.01519135466
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
3020000.00000000
AUD
-42396.89000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.32 %
000000000
1100000.00000000
OU
Notional Amount
-22060.06000000
-0.00790440514
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
0.00000000
CHF
1100000.00000000
CHF
-22060.06000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.82 %
000000000
2960000.00000000
OU
Notional Amount
7532.87000000
0.002699124860
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
0.00000000
EUR
2960000.00000000
EUR
7532.87000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206R102
17300.00000000
NS
USD
409837.00000000
0.146849903858
Long
EC
CORP
US
N
1
N
N
N
First Pacific Co Ltd
254900VS1MDQSDM9DE09
First Pacific Co Ltd
000000000
110000.00000000
NS
43062.50000000
0.015429851343
Long
EC
CORP
BM
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 3.048 %
000000000
1810000.00000000
OU
Notional Amount
-1490.11000000
-0.00053392570
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
NZD
0.00000000
NZD
1810000.00000000
NZD
-1490.11000000
N
N
N
Aramark
549300MR6PG2DWZUIL39
Aramark
03852U106
-11300.00000000
NS
USD
-417648.00000000
-0.14964868629
Short
EC
CORP
US
N
1
N
N
N
Euronext N.V.
724500QJ4QSZ3H9QU415
CAC40 10 EURO FUT MAR22
000000000
52.00000000
NC
-201708.32000000
-0.07227470286
N/A
DE
FR
N
2
Euronext N.V.
724500QJ4QSZ3H9QU415
Long
Euronext CAC 40 Index Future
CFH2 INDEX
2022-03-18
3614323.82000000
EUR
-201708.32000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON -0.011 %
000000000
810000.00000000
OU
Notional Amount
-45459.05000000
-0.01628856623
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
1939.80000000
CHF
0.00000000
CHF
810000.00000000
CHF
-47565.93000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.427 %
000000000
2070000.00000000
OU
Notional Amount
5624.47000000
0.002015320429
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
GBP
0.00000000
GBP
2070000.00000000
GBP
5624.47000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
284.49000000
0.000101936450
N/A
DFE
NZ
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
13723.79000000
USD
20708.00000000
NZD
2022-03-18
284.49000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.8115 %
000000000
1810000.00000000
OU
Notional Amount
-2509.28000000
-0.00089910751
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
177.09000000
EUR
0.00000000
EUR
1810000.00000000
EUR
-2710.46000000
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978V103
-600.00000000
NS
USD
-116190.00000000
-0.04163238148
Short
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
4781.95000000
0.001713434603
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
293834.00000000
EUR
334885.49000000
USD
2022-04-21
4781.95000000
N
N
N
Liberty Broadband Corp
549300MIX43II8JLN536
Liberty Broadband Corp
530307305
-2700.00000000
NS
USD
-396090.00000000
-0.14192417575
Short
EC
CORP
US
N
1
N
N
N
Bayerische Motoren Werke AG
YEH5ZCD6E441RHVHD759
Bayerische Motoren Werke AG
000000000
3665.00000000
NS
352965.78000000
0.126472209337
Long
EC
CORP
DE
N
2
N
N
N
Delta Air Lines Inc
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361702
-7700.00000000
NS
USD
-307384.00000000
-0.11013966734
Short
EC
CORP
US
N
1
N
N
N
Paycom Software Inc
254900LSB0HNJUDC6Q18
Paycom Software Inc
70432V102
-500.00000000
NS
USD
-169605.00000000
-0.06077166762
Short
EC
CORP
US
N
1
N
N
N
Shaw Communications Inc
549300SCT0RG6178CI40
Shaw Communications Inc
82028K200
88397.00000000
NS
2650863.88000000
0.949838852812
Long
EC
CORP
CA
N
1
N
N
N
Schibsted ASA
5967007LIEEXZXHT0O36
Schibsted ASA
000000000
-1416.00000000
NS
-40692.95000000
-0.01458081089
Short
EC
CORP
NO
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
-3156.46000000
-0.00113100048
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1656291.00000000
PLN
390000.00000000
USD
2022-04-19
-3156.46000000
N
N
N
Erie Indemnity Co
549300WA5KP94KRUFZ80
Erie Indemnity Co
29530P102
-200.00000000
NS
USD
-35020.00000000
-0.01254811945
Short
EC
CORP
US
N
1
N
N
N
Volkswagen AG
529900NNUPAGGOMPXZ31
Volkswagen AG
000000000
443.00000000
NS
87083.88000000
0.031203281806
Long
EP
CORP
DE
N
2
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-939.78000000
-0.00033673534
N/A
DFE
CO
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
630000.00000000
USD
2480436000.00000000
COP
2022-03-17
-939.78000000
N
N
N
Autohome Inc
529900NYB6ZGZN3MVT56
Autohome Inc
05278C107
1700.00000000
NS
USD
52003.00000000
0.018633348258
Long
EC
CORP
KY
N
1
N
N
N
GPT Group/The
N/A
GPT Group/The
000000000
83955.00000000
NS
299557.76000000
0.107335424220
Long
EC
AU
N
2
N
N
N
Inpex Corp
353800VHYYADPR6MXQ47
Inpex Corp
000000000
58300.00000000
NS
600928.17000000
0.215320344406
Long
EC
CORP
JP
N
2
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
ALTA MORD SUPERVAL S BR
000000000
25626.60002200
OU
Notional Amount
USD
1646.62000000
0.000590005267
N/A
DE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
ALTA MORD SUPERVAL S BR
BTFM
Custom equity basket swap which has a notional amount of less than 1% of the Funds total net assets.
Y
equity-performance leg
2022-12-19
0.00000000
USD
0.00000000
USD
25626.60002200
USD
1646.62000000
N
N
N
Bank of America Merrill Lynch International Limited
N/A
CMBX.NA.A.9
000000000
4750000.00000000
OU
Notional Amount
USD
-45897.99000000
-0.01644584412
N/A
DCR
US
N
2
Bank of America Merrill Lynch International Limited
EYKN6V0ZCB8VD9IULB80
CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
9294.19000000
USD
0.00000000
USD
4750000.00000000
USD
-55192.18000000
N
N
N
Aon PLC
635400FALWQYX5E6QC64
Aon PLC
000000000
-19252.00000000
NS
USD
-5624279.28000000
-2.01525209178
Short
EC
CORP
IE
N
1
N
N
N
Rollins Inc
549300F2A0BXT4SGWD84
Rollins Inc
775711104
-6900.00000000
NS
USD
-225147.00000000
-0.08067308540
Short
EC
CORP
US
N
1
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
000000000
25955.00000000
NS
303115.19000000
0.108610097452
Long
EC
CORP
NL
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.53 %
000000000
44640000.00000000
OU
Notional Amount
-156644.26000000
-0.05612766666
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
NZD
0.00000000
NZD
44640000.00000000
NZD
-156644.26000000
N
N
N
Okta Inc
549300N8J06I8MRHU620
Okta Inc
679295105
-2200.00000000
NS
USD
-402248.00000000
-0.14413066689
Short
EC
CORP
US
N
1
N
N
N
Taylor Wimpey PLC
21380089BTRXTD8S3R66
Taylor Wimpey PLC
000000000
116432.00000000
NS
233537.66000000
0.083679567531
Long
EC
CORP
GB
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 2.145 %
000000000
3230000.00000000
OU
Notional Amount
66225.35000000
0.023729400421
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
3230000.00000000
AUD
66225.35000000
N
N
N
Tradeweb Markets Inc
N/A
Tradeweb Markets Inc
892672106
-600.00000000
NS
USD
-50688.00000000
-0.01816216673
Short
EC
CORP
US
N
1
N
N
N
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
EQUITY: NDUGEAFE TRS UBSD SHORT
000000000
3702346.15300000
OU
Notional Amount
USD
22107.10000000
0.007921260182
N/A
DE
US
N
2
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
MSCI Daily TR Net Growth EAFE
NDUGEAFE Index
Y
equity-performance leg
2022-05-12
0.00000000
USD
0.00000000
USD
3702346.15300000
USD
22107.10000000
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
Intel Corp
458140100
9800.00000000
NS
USD
467460.00000000
0.167496970887
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-3203.78000000
-0.00114795585
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2564034.48000000
CAD
2020000.00000000
USD
2022-05-02
-3203.78000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-21698.69000000
-0.00777492159
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1540000.00000000
NZD
1020265.40000000
USD
2022-03-01
-21698.69000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.BBB-.13
000000000
1780000.00000000
OU
Notional Amount
USD
174490.18000000
0.062522090873
N/A
DCR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
CMBX.NA.BBB-.13
137BERAM9
Y
buy protection
2072-12-17
99709.07000000
USD
0.00000000
USD
1780000.00000000
USD
74781.11000000
N
N
N
ZoomInfo Technologies Inc
N/A
ZoomInfo Technologies Inc
98980F104
-5200.00000000
NS
USD
-284388.00000000
-0.10189990278
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.369 %
000000000
7990000.00000000
OU
Notional Amount
-143.98000000
-0.00005158989
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
7990000.00000000
CAD
-143.98000000
N
N
N
SS&C Technologies Holdings Inc
529900POY8H7NPPNKK71
SS&C Technologies Holdings Inc
78467J100
3800.00000000
NS
USD
284886.00000000
0.102078342635
Long
EC
CORP
US
N
1
N
N
N
Linamar Corp
549300LW6VIYFRMFBU20
Linamar Corp
53278L107
2100.00000000
NS
109663.91000000
0.039293998931
Long
EC
CORP
CA
N
1
N
N
N
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
EQUITY: NDUGEAFE TRS UBSD SHORT
000000000
2492851.07200000
OU
Notional Amount
USD
14836.61000000
0.005316149474
N/A
DE
US
N
2
UBSDXXXXXXX
BFM8T61CT2L1QCEMIK50
MSCI Daily TR Net Growth EAFE
NDUGEAFE Index
Y
equity-performance leg
2022-05-20
0.00000000
USD
0.00000000
USD
2492851.07200000
USD
14836.61000000
N
N
N
MTU Aero Engines AG
529900807L67JY81RD65
MTU Aero Engines AG
000000000
-342.00000000
NS
-81870.08000000
-0.02933510975
Short
EC
CORP
DE
N
2
N
N
N
Hindustan Petroleum Corp Ltd
335800DWLXIP7HFFY564
Hindustan Petroleum Corp Ltd
000000000
20309.00000000
NS
73880.78000000
0.026472440116
Long
EC
CORP
IN
N
2
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS35V1-5Y 15-25%
000000000
2160000.00000000
OU
Notional Amount
USD
108843.99000000
0.039000210979
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S35
2I65BRYO2
Y
sell protection
2025-12-21
158760.00000000
USD
0.00000000
USD
2160000.00000000
USD
-49916.01000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1892.03000000
0.000677938847
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
172050.00000000
EUR
195179.11000000
USD
2022-04-21
1892.03000000
N
N
N
Boeing Co/The
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023105
-2100.00000000
NS
USD
-431214.00000000
-0.15450955975
Short
EC
CORP
US
N
1
N
N
N
Honda Motor Co Ltd
549300P7ZYCQJ36CCS16
Honda Motor Co Ltd
000000000
18100.00000000
NS
549894.14000000
0.197034190645
Long
EC
CORP
JP
N
2
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
40793.85000000
0.014616964672
N/A
DFE
JP
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
15860493.08000000
USD
1827876784.00000000
JPY
2022-03-09
40793.85000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
876.74000000
0.000314147294
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
70391498.00000000
JPY
613214.43000000
USD
2022-03-07
876.74000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.7105 %
000000000
1610000.00000000
OU
Notional Amount
USD
-4721.26000000
-0.00169168859
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
796.30000000
USD
0.00000000
USD
1610000.00000000
USD
-5517.56000000
N
N
N
Kinnevik AB
2138006PZH76JOS6MN27
Kinnevik AB
000000000
7320.00000000
NS
186369.53000000
0.066778615797
Long
EC
CORP
SE
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.509 %
000000000
1780000.00000000
OU
Notional Amount
961.11000000
0.000344378157
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
0.00000000
CHF
1780000.00000000
CHF
961.11000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS33V12-5Y 35-100%
000000000
4388726.92000000
OU
Notional Amount
USD
604198.91000000
0.216492292899
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S33
2I65BRYN4
Y
sell protection
2024-12-21
756836.02000000
USD
0.00000000
USD
4388726.92000000
USD
-152637.11000000
N
N
N
Rakuten Group Inc
529900IMXUCQKUL1H943
Rakuten Group Inc
000000000
-33600.00000000
NS
-285621.07000000
-0.10234172773
Short
EC
CORP
JP
N
2
N
N
N
Koninklijke Ahold Delhaize NV
724500C9GNBV20UYRX36
Koninklijke Ahold Delhaize NV
000000000
15312.00000000
NS
471031.44000000
0.168776664084
Long
EC
CORP
NL
N
2
N
N
N
BorgWarner Inc
549300DSFX2IE88NSX47
BorgWarner Inc
099724106
8800.00000000
NS
USD
360888.00000000
0.129310843344
Long
EC
CORP
US
N
1
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR22
000000000
-47.00000000
NC
329371.62000000
0.118018116301
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX 10 Year Euro BUND Future
RXH2 COMDTY
2022-03-08
-8144634.03000000
EUR
329371.62000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.803 %
000000000
14070000.00000000
OU
Notional Amount
-46760.17000000
-0.01675477438
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CAD
0.00000000
CAD
14070000.00000000
CAD
-46760.17000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ITRAXX-EUROPES34V1-5Y
000000000
9968000.00000000
OU
Notional Amount
-204288.69000000
-0.07319928285
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S34
2I666VCX1
Y
buy protection
2025-12-21
0.00000000
EUR
-258295.26000000
EUR
9968000.00000000
EUR
108851.34000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
6350.33000000
0.002275405466
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1554056.70000000
USD
1390000.00000000
EUR
2022-03-31
6350.33000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-4235.51000000
-0.00151763807
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
6961693.00000000
AUD
5055772.21000000
USD
2022-04-21
-4235.51000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.353 %
000000000
4000000.00000000
OU
Notional Amount
-4649.05000000
-0.00166581481
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
4000000.00000000
CAD
-4649.05000000
N
N
N
Anheuser-Busch InBev SA/NV
5493008H3828EMEXB082
Anheuser-Busch InBev SA/NV
000000000
-7093.00000000
NS
-437693.48000000
-0.15683124134
Short
EC
CORP
BE
N
2
N
N
N
Fastenal Co
529900PP0C7H2HHPSJ32
Fastenal Co
311900104
-3500.00000000
NS
USD
-180110.00000000
-0.06453574514
Short
EC
CORP
US
N
1
N
N
N
Synchrony Financial
549300RS7EWPM9MA6C78
Synchrony Financial
87165B103
11400.00000000
NS
USD
487692.00000000
0.174746358461
Long
EC
CORP
US
N
1
N
N
N
PNM Resources Inc
5493003JOBJGLZSDDQ28
PNM Resources Inc
69349H107
29020.00000000
NS
USD
1310833.40000000
0.469688580495
Long
EC
CORP
US
N
1
N
N
N
Ford Motor Co
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370860
24200.00000000
NS
USD
424952.00000000
0.152265804074
Long
EC
CORP
US
N
1
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT JUN22
000000000
3.00000000
NC
2196.24000000
0.000786941229
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Montreal Exchange 10 Year Canadian Bond Future
CNM2 COMDTY
2022-06-21
407226.27000000
CAD
2196.24000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.702 %
000000000
2390000.00000000
OU
Notional Amount
USD
-3052.36000000
-0.00109370011
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
2215.93000000
USD
0.00000000
USD
2390000.00000000
USD
-5268.29000000
N
N
N
Acom Co Ltd
N/A
Acom Co Ltd
000000000
-27200.00000000
NS
-75768.98000000
-0.02714900662
Short
EC
CORP
JP
N
2
N
N
N
Roku Inc
549300KR6ITU0YIR1T71
Roku Inc
77543R102
-2600.00000000
NS
USD
-362778.00000000
-0.12998805481
Short
EC
CORP
US
N
1
N
N
N
Kajima Corp
N/A
Kajima Corp
000000000
2500.00000000
NS
33646.21000000
0.012055872709
Long
EC
CORP
JP
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-42161.75000000
-0.01510710095
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
5030000.00000000
NZD
3361136.54000000
USD
2022-03-01
-42161.75000000
N
N
N
MSCI Inc
549300HTIN2PD78UB763
MSCI Inc
55354G100
-900.00000000
NS
USD
-451521.00000000
-0.16178582080
Short
EC
CORP
US
N
1
N
N
N
Cochlear Ltd
5493001OLLWY8KV5UC08
Cochlear Ltd
000000000
-1270.00000000
NS
-207319.90000000
-0.07428540464
Short
EC
CORP
AU
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
11140.23000000
0.003991688657
N/A
DFE
AU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1610097.91000000
USD
2230000.00000000
AUD
2022-05-09
11140.23000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.809 %
000000000
4960000.00000000
OU
Notional Amount
6613.04000000
0.002369537860
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
0.00000000
EUR
4960000.00000000
EUR
6613.04000000
N
N
N
Mirvac Group
N/A
Mirvac Group
000000000
150357.00000000
NS
280402.89000000
0.100471986273
Long
EC
AU
N
2
N
N
N
ANA Holdings Inc
5493008IRKIY0G3TE305
ANA Holdings Inc
000000000
-18200.00000000
NS
-400730.95000000
-0.14358708823
Short
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.69 %
000000000
12350000.00000000
OU
Notional Amount
255317.25000000
0.091483476640
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
4180.54000000
NZD
0.00000000
NZD
12350000.00000000
NZD
252467.70000000
N
N
N
Liberty Global PLC
549300BSGXG3QLIQYT84
Liberty Global PLC
000000000
7100.00000000
NS
USD
183038.00000000
0.065584885460
Long
EC
CORP
GB
N
1
N
N
N
Schibsted ASA
5967007LIEEXZXHT0O36
Schibsted ASA
000000000
-1246.00000000
NS
-32345.12000000
-0.01158967531
Short
EC
CORP
NO
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.2025 %
000000000
8560000.00000000
OU
Notional Amount
30297.13000000
0.010855853980
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-20
0.00000000
EUR
-1175.91000000
EUR
8560000.00000000
EUR
31642.37000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 1.895 %
000000000
27730000.00000000
OU
Notional Amount
52480.96000000
0.018804607515
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CAD
0.00000000
CAD
27730000.00000000
CAD
52480.96000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
ACTIVISION BLIZZARD INC
000000000
-166.00000000
NC
USD
-29050.00000000
-0.01040899115
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Activision Blizzard Inc
Activision Blizzard Inc
100.00000000
82.50000000
USD
2022-06-17
XXXX
3929.18000000
N
N
N
Burlington Stores Inc
5299003Z37DVGKKC1W09
Burlington Stores Inc
122017106
-1900.00000000
NS
USD
-429191.00000000
-0.15378469266
Short
EC
CORP
US
N
1
N
N
N
Land Securities Group PLC
213800V8IAVKS37D6B88
Land Securities Group PLC
000000000
-19566.00000000
NS
-207335.34000000
-0.07429093699
Short
EC
GB
N
2
N
N
N
Avast PLC
213800IR8G8LCZH4BO27
Avast PLC
000000000
476720.00000000
NS
4015416.03000000
1.438775557008
Long
EC
CORP
GB
Y
2
N
N
N
Columbia Banking System Inc
N/A
Columbia Banking System Inc
197236102
-78059.00000000
NS
USD
-2859301.17000000
-1.02452463276
Short
EC
CORP
US
N
1
N
N
N
Kinder Morgan Inc
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456B101
32700.00000000
NS
USD
568980.00000000
0.203872901415
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141G104
1100.00000000
NS
USD
375419.00000000
0.134517488798
Long
EC
CORP
US
N
1
N
N
N
Coca-Cola HBC AG
549300EFP3TNG7JGVE49
Coca-Cola HBC AG
000000000
6138.00000000
NS
155945.33000000
0.055877230991
Long
EC
CORP
CH
N
2
N
N
N
Leonardo SpA
529900X4EEX1U9LN3U39
Leonardo SpA
000000000
33207.00000000
NS
296035.72000000
0.106073431683
Long
EC
CORP
IT
N
2
N
N
N
Logitech International SA
549300SN6PRK6IJJC215
Logitech International SA
000000000
3319.00000000
NS
248357.07000000
0.088989554022
Long
EC
CORP
CH
N
2
N
N
N
Sekisui House Ltd
529900GMNDOYQSAJAE76
Sekisui House Ltd
000000000
25700.00000000
NS
523973.91000000
0.187746636609
Long
EC
CORP
JP
N
2
N
N
N
Carvana Co
5493003WEAK2PJ5WS063
Carvana Co
146869102
-2900.00000000
NS
USD
-436363.00000000
-0.15635451312
Short
EC
CORP
US
N
1
N
N
N
REC Ltd
335800B4YRYWAMIJZ374
REC Ltd
000000000
88036.00000000
NS
143582.71000000
0.051447544168
Long
EC
CORP
IN
N
2
N
N
N
Admiral Group PLC
213800FGVM7Z9EJB2685
Admiral Group PLC
000000000
-5295.00000000
NS
-210929.43000000
-0.07557874598
Short
EC
CORP
GB
N
2
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS31V14-5Y 25-35%
000000000
1928000.00000000
OU
Notional Amount
USD
158544.21000000
0.056808443346
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S31
2I65BRYE4
Y
sell protection
2023-12-21
203886.03000000
USD
0.00000000
USD
1928000.00000000
USD
-45341.82000000
N
N
N
Dexcom Inc
549300YSK3QDSFR5EU59
Dexcom Inc
252131107
-1000.00000000
NS
USD
-413910.00000000
-0.14830931249
Short
EC
CORP
US
N
1
N
N
N
Sportsman's Warehouse Holdings Inc
549300JVV8YLQSRSF462
Sportsman's Warehouse Holdings Inc
84920Y106
62736.00000000
NS
USD
715817.76000000
0.256486772146
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
226276.06000000
0.081077642224
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
78335878.00000000
RUB
900133.04000000
USD
2022-05-11
226276.06000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
EQUITY: BCOM SHORT TRS MS
000000000
3813678.98600000
OU
Notional Amount
USD
-167394.64000000
-0.05997966701
N/A
DCO
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Bloomberg Commodity Index
BCOM Index
Y
equity-performance leg
2022-03-09
0.00000000
USD
0.00000000
USD
3813678.98600000
USD
-167394.64000000
N
N
N
Nippon Paint Holdings Co Ltd
529900RYRJUN78A7PL87
Nippon Paint Holdings Co Ltd
000000000
-43600.00000000
NS
-390224.07000000
-0.13982233708
Short
EC
CORP
JP
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-11028.94000000
-0.00395181200
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2006209.00000000
AUD
1447155.59000000
USD
2022-04-21
-11028.94000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 1.4325 %
000000000
19800000.00000000
OU
Notional Amount
-1571.47000000
-0.00056307804
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
SEK
0.00000000
SEK
19800000.00000000
SEK
-1571.47000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-207122.99000000
-0.07421484924
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
9939000.00000000
AUD
7018655.43000000
USD
2022-05-09
-207122.99000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.635 %
000000000
81760000.00000000
OU
Notional Amount
54839.54000000
0.019649717269
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
25248.36000000
GBP
0.00000000
GBP
81760000.00000000
GBP
20673.46000000
N
N
N
Ceridian HCM Holding Inc
549300T64GVCHFJ8L449
Ceridian HCM Holding Inc
15677J108
-5200.00000000
NS
USD
-379132.00000000
-0.13584790477
Short
EC
CORP
US
N
1
N
N
N
Equinix Inc
549300EVUN2BTLJ3GT74
Equinix Inc
29444U700
-400.00000000
NS
USD
-283892.00000000
-0.10172217956
Short
EC
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON -0.25 %
000000000
16080000.00000000
OU
Notional Amount
-13098.10000000
-0.00469321883
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CHF
0.00000000
CHF
16080000.00000000
CHF
-13098.10000000
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
OBC22H16USDP CDX NAHY S37 V1
000000000
22250000.00000000
NC
USD
96358.30000000
0.034526426581
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
22250000.00000000
OU
Notional Amount
N/A
96358.30000000
0.03000000
DCR
US
CDX.NA.HY.S37
2I65BRYQ7
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
22250000.00000000
USD
1.00000000
104.50000000
USD
2022-03-16
XXXX
-83866.70000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
DAX INDEX FUTURE MAR22
000000000
29.00000000
NC
-934396.88000000
-0.33480650110
N/A
DE
DE
N
2
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex DAX Index Future
GXH2 INDEX
2022-03-18
11271198.46000000
EUR
-934396.88000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
S+P 500 INDEX
000000000
-15.00000000
NC
USD
-120000.00000000
-0.04299755381
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
S&P 500 Index
SPX INDEX
100.00000000
4420.00000000
USD
2022-03-04
XXXX
32096.53000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.56 %
000000000
3840000.00000000
OU
Notional Amount
USD
42021.84000000
0.015056969390
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
1677.98000000
USD
0.00000000
USD
3840000.00000000
USD
40343.86000000
N
N
N
Prosus NV
635400Z5LQ5F9OLVT688
Prosus NV
000000000
1098.00000000
NS
68165.61000000
0.024424620702
Long
EC
CORP
NL
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.464 %
000000000
1780000.00000000
OU
Notional Amount
-7865.92000000
-0.00281846098
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
1890.94000000
GBP
0.00000000
GBP
1780000.00000000
GBP
-10434.57000000
N
N
N
Croda International PLC
2138004WCNBFJEEOXV26
Croda International PLC
000000000
-970.00000000
NS
-97095.93000000
-0.03479072896
Short
EC
CORP
GB
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
3800.80000000
0.001361875854
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
13586213.00000000
TWD
490246.92000000
USD
2022-05-17
3800.80000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN22
000000000
-29.00000000
NC
USD
-27895.60000000
-0.00999535468
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 10 Year US Treasury Note
TYM2 COMDTY
2022-06-21
-3667791.90000000
USD
-27895.60000000
N
N
N
ServiceNow Inc
549300HJTQM36M0E1G39
ServiceNow Inc
81762P102
-800.00000000
NS
USD
-463936.00000000
-0.16623427605
Short
EC
CORP
US
N
1
N
N
N
Trade Desk Inc/The
549300GXPD31VT3E0P46
Trade Desk Inc/The
88339J105
-1700.00000000
NS
USD
-145044.00000000
-0.05197114329
Short
EC
CORP
US
N
1
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
ALTA MORD SUPERVAL S TH
000000000
534382.01001000
OU
Notional Amount
USD
17363.96000000
0.006221731704
N/A
DE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
ALTA MORD SUPERVAL S TH
BTHM
Custom equity basket swap which has a notional amount of less than 1% of the Funds total net assets.
Y
equity-performance leg
2023-11-20
0.00000000
USD
0.00000000
USD
534382.01001000
USD
17363.96000000
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122157
195149.00000000
NS
USD
263451.15000000
0.094397958332
N/A
DE
US
N
3
N/A
N/A
Bristol-Myers Squibb Co
Bristol-Myers Squibb Co
2021-03-31
XXXX
-20977.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.8615 %
000000000
3180000.00000000
OU
Notional Amount
22628.83000000
0.008108202797
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
0.00000000
EUR
3180000.00000000
EUR
22628.83000000
N
N
N
Carlsberg AS
5299001O0WJQYB5GYZ19
Carlsberg AS
000000000
541.00000000
NS
79337.44000000
0.028427632049
Long
EC
CORP
DK
N
2
N
N
N
Suzuki Motor Corp
353800D83H0V3ZV1SV24
Suzuki Motor Corp
000000000
1400.00000000
NS
55745.11000000
0.019974194726
Long
EC
CORP
JP
N
2
N
N
N
Japan Real Estate Investment Corp
3538003YAIR3CBGJJ928
Japan Real Estate Investment Corp
000000000
-20.00000000
NS
-106835.03000000
-0.03828037459
Short
EC
JP
N
2
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156R108
8500.00000000
NS
USD
574175.00000000
0.205734337182
Long
EC
CORP
US
N
1
N
N
N
Qantas Airways Ltd
YLXNW6TI6QSK1H8H0N82
Qantas Airways Ltd
000000000
-111793.00000000
NS
-414246.20000000
-0.14842977731
Short
EC
CORP
AU
N
2
N
N
N
Aflac Inc
549300N0B7DOGLXWPP39
Aflac Inc
001055102
6700.00000000
NS
USD
409303.00000000
0.146658564744
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.62 %
000000000
11580000.00000000
OU
Notional Amount
-10714.76000000
-0.00383923724
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
GBP
-2778.87000000
GBP
11580000.00000000
GBP
-6954.39000000
N
N
N
Telefonica SA
549300EEJH4FEPDBBR25
Telefonica SA
000000000
9557.00000000
NS
45643.45000000
0.016354639147
Long
EC
CORP
ES
N
2
N
N
N
Informa PLC
5493006VM2LKUPSEDU20
Informa PLC
000000000
-69320.00000000
NS
-548864.47000000
-0.19666524655
Short
EC
CORP
GB
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.69 %
000000000
166200000.00000000
OU
Notional Amount
20469.03000000
0.007334318491
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
SEK
0.00000000
SEK
166200000.00000000
SEK
20469.03000000
N
N
N
Insulet Corp
549300TZTYD2PYN92D43
Insulet Corp
45784P101
-1700.00000000
NS
USD
-449973.00000000
-0.16123115235
Short
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
9203.60000000
0.003297769052
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
800032.00000000
GBP
1082697.71000000
USD
2022-04-21
9203.60000000
N
N
N
Extra Space Storage Inc
N/A
Extra Space Storage Inc
30225T102
-100.00000000
NS
USD
-18815.00000000
-0.00674165812
Short
EC
US
N
1
N
N
N
AerCap Holdings NV
549300SZYINBBLJQU475
AerCap Holdings NV
000000000
5900.00000000
NS
USD
321137.00000000
0.115067545330
Long
EC
CORP
NL
N
1
N
N
N
Meta Platforms Inc
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M102
600.00000000
NS
USD
126618.00000000
0.045368868908
Long
EC
CORP
US
N
1
N
N
N
Bank of America Merrill Lynch International Limited
N/A
CMBX.NA.BBB-.9
000000000
2750000.00000000
OU
Notional Amount
USD
301465.24000000
0.108018899003
N/A
DCR
US
N
2
Bank of America Merrill Lynch International Limited
EYKN6V0ZCB8VD9IULB80
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-18
221087.43000000
USD
0.00000000
USD
2750000.00000000
USD
80377.81000000
N
N
N
Jazz Pharmaceuticals PLC
635400GAUMJCLEZRRV50
Jazz Pharmaceuticals PLC
000000000
3200.00000000
NS
USD
439744.00000000
0.157565969208
Long
EC
CORP
IE
N
1
N
N
N
Siltronic AG
5299003NKV26NNGHHR90
Siltronic AG
000000000
18019.00000000
NS
2047783.13000000
0.733747211120
Long
EC
CORP
DE
N
2
N
N
N
Keio Corp
N/A
Keio Corp
000000000
-5600.00000000
NS
-229135.44000000
-0.08210219510
Short
EC
CORP
JP
N
2
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
9682.45000000
0.003469347207
N/A
DFE
CL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
692625.50000000
USD
567052500.00000000
CLP
2022-05-16
9682.45000000
N
N
N
Tosoh Corp
529900YSLFVJF2MDBX02
Tosoh Corp
000000000
16300.00000000
NS
252944.70000000
0.090633361254
Long
EC
CORP
JP
N
2
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343V104
8200.00000000
NS
USD
440094.00000000
0.157691378740
Long
EC
CORP
US
N
1
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389X105
5700.00000000
NS
USD
433029.00000000
0.155159897759
Long
EC
CORP
US
N
1
N
N
N
Block Inc
549300OHIIUWSTIZME52
Block Inc
852234103
-3903.00000000
NS
USD
-497632.50000000
-0.17830816832
Short
EC
CORP
US
N
1
N
N
N
UCB SA
2138008J191VLSGY5A09
UCB SA
000000000
3561.00000000
NS
388635.87000000
0.139253264457
Long
EC
CORP
BE
N
2
N
N
N
Bath & Body Works Inc
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
070830104
800.00000000
NS
USD
42696.00000000
0.015298529647
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
2170.82000000
0.000777832914
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1149685.90000000
ILS
360780.17000000
USD
2022-04-29
2170.82000000
N
N
N
Umpqua Holdings Corp
5299002ENJ7CY215BW86
Umpqua Holdings Corp
904214103
131015.00000000
NS
USD
2797170.25000000
1.002262319626
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
82314.89000000
0.029494490938
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
392623910.00000000
HUF
1257040.12000000
USD
2022-05-16
82314.89000000
N
N
N
Liberty Global PLC
549300BSGXG3QLIQYT84
Liberty Global PLC
000000000
13500.00000000
NS
USD
349245.00000000
0.125139005685
Long
EC
CORP
GB
N
1
N
N
N
Ruentex Development Co Ltd
N/A
Ruentex Development Co Ltd
000000000
106000.00000000
NS
273694.75000000
0.098068372850
Long
EC
CORP
TW
N
2
N
N
N
Vipshop Holdings Ltd
549300I9F52K06HPZX60
Vipshop Holdings Ltd
92763W103
19100.00000000
NS
USD
165597.00000000
0.059335549326
Long
EC
CORP
KY
N
1
N
N
N
Zynga Inc
549300XNQ0U2EL088Z74
Zynga Inc
98986T108
619478.00000000
NS
USD
5624860.24000000
2.015460257278
Long
EC
CORP
US
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.9
000000000
666000.00000000
OU
Notional Amount
USD
73009.40000000
0.026160213379
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-18
77752.94000000
USD
0.00000000
USD
666000.00000000
USD
-4743.54000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL S PL
000000000
107440.19408100
OU
Notional Amount
USD
5492.93000000
0.001968187943
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL S PL
BTFE
Custom equity basket swap which has a notional amount of less than 1% of the Funds total net assets.
Y
equity-performance leg
2022-05-24
0.00000000
USD
0.00000000
USD
107440.19408100
USD
5492.93000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-25141.91000000
-0.00900867190
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1530000.00000000
AUD
1087187.40000000
USD
2022-05-09
-25141.91000000
N
N
N
Nippon Steel Corp
35380065QWQ4U2V3PA33
Nippon Steel Corp
000000000
20700.00000000
NS
378995.59000000
0.135799027306
Long
EC
CORP
JP
N
2
N
N
N
Fox Corp
549300DDU6FDRBIELS05
Fox Corp
35137L204
95651.00000000
NS
USD
3659607.26000000
1.311284667541
Long
EC
CORP
US
N
1
N
N
N
Delivery Hero SE
529900C3EX1FZGE48X78
Delivery Hero SE
000000000
-5270.00000000
NS
-282475.28000000
-0.10121455044
Short
EC
CORP
DE
Y
2
N
N
N
Sartorius Stedim Biotech
52990006IVXY7GCSSR39
Sartorius Stedim Biotech
000000000
-313.00000000
NS
-120026.25000000
-0.04300695953
Short
EC
CORP
FR
N
2
N
N
N
IMCD NV
724500NSJPNFJPDAUP02
IMCD NV
000000000
-1150.00000000
NS
-186807.51000000
-0.06693554970
Short
EC
CORP
NL
N
2
N
N
N
Sarepta Therapeutics Inc
549300IKDPIED8J8IG21
Sarepta Therapeutics Inc
803607100
-5700.00000000
NS
USD
-436677.00000000
-0.15646702339
Short
EC
CORP
US
N
1
N
N
N
Allstate Corp/The
OBT0W1ED8G0NWVOLOJ77
Allstate Corp/The
020002101
1100.00000000
NS
USD
134596.00000000
0.048227489611
Long
EC
CORP
US
N
1
N
N
N
Rolls-Royce Holdings PLC
213800EC7997ZBLZJH69
Rolls-Royce Holdings PLC
000000000
-281555.00000000
NS
-388394.09000000
-0.13916663155
Short
EC
CORP
GB
N
2
N
N
N
Top Glove Corp Bhd
N/A
Top Glove Corp Bhd
000000000
87400.00000000
NS
42655.30000000
0.015283946310
Long
EC
CORP
MY
N
2
N
N
N
MonotaRO Co Ltd
N/A
MonotaRO Co Ltd
000000000
-24000.00000000
NS
-451751.91000000
-0.16186855884
Short
EC
CORP
JP
N
2
N
N
N
Scout24 SE
5493007EIKM2ENQS7U66
Scout24 SE
000000000
-3813.00000000
NS
-222413.64000000
-0.07969368712
Short
EC
CORP
DE
Y
2
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-115938.40000000
-0.04154222994
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
14440792.00000000
CHF
15679640.39000000
USD
2022-05-16
-115938.40000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.5225 %
000000000
3550000.00000000
OU
Notional Amount
7139.02000000
0.002558003305
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
0.00000000
CHF
3550000.00000000
CHF
7139.02000000
N
N
N
GMO Emerging Markets Fund
DOSKAMXF8YE41HIDZR39
GMO Emerging Markets Fund
362008278
331930.76000000
NS
USD
9861662.88000000
3.533561503266
Long
EC
RF
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 2.52 %
000000000
8960000.00000000
OU
Notional Amount
33498.42000000
0.012002917639
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
8960000.00000000
AUD
33498.42000000
N
N
N
Aena SME SA
959800R7QMXKF0NFMT29
Aena SME SA
000000000
-2384.00000000
NS
-389081.16000000
-0.13941281763
Short
EC
CORP
ES
Y
2
N
N
N
II-VI Inc
549300O5C25A0MMHHU33
II-VI Inc
902104108
-10558.00000000
NS
USD
-733358.68000000
-0.26277191091
Short
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
S+P 500 INDEX
000000000
-15.00000000
NC
USD
-164100.00000000
-0.05879915484
N/A
DE
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
S&P 500 Index
SPX INDEX
100.00000000
4385.00000000
USD
2022-03-18
XXXX
-11879.34000000
N
N
N
HeidelbergCement AG
LZ2C6E0W5W7LQMX5ZI37
HeidelbergCement AG
000000000
5680.00000000
NS
368557.67000000
0.132058985415
Long
EC
CORP
DE
N
2
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
-6163.43000000
-0.00220843677
N/A
DFE
SG
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
731115.00000000
USD
982911.00000000
SGD
2022-03-18
-6163.43000000
N
N
N
Bayer AG
549300J4U55H3WP1XT59
Bayer AG
000000000
7724.00000000
NS
446161.13000000
0.159865309979
Long
EC
CORP
DE
N
2
N
N
N
Monolithic Power Systems Inc
529900TB7O85LSZ1XU31
Monolithic Power Systems Inc
609839105
-600.00000000
NS
USD
-275220.00000000
-0.09861488967
Short
EC
CORP
US
N
1
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
OBC22H16USDP2 CDX NAHY S37 V1
000000000
22250000.00000000
NC
USD
170499.08000000
0.061092028064
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
22250000.00000000
OU
Notional Amount
N/A
170499.08000000
0.06000000
DCR
US
CDX.NA.HY.S37
2I65BRYQ7
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
22250000.00000000
USD
1.00000000
105.50000000
USD
2022-03-16
XXXX
-74584.67000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.44 %
000000000
3540000.00000000
OU
Notional Amount
-17910.82000000
-0.00641767872
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
3540000.00000000
CAD
-17910.82000000
N
N
N
Carrier Global Corp
549300JE3W6CWY2NAN77
Carrier Global Corp
14448C104
9900.00000000
NS
USD
444312.00000000
0.159202742756
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-960.46000000
-0.00034414525
N/A
DFE
TW
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
310000.00000000
USD
8631330.00000000
TWD
2022-05-17
-960.46000000
N
N
N
LyondellBasell Industries NV
BN6WCCZ8OVP3ITUUVN49
LyondellBasell Industries NV
000000000
5800.00000000
NS
USD
563934.00000000
0.202064854277
Long
EC
CORP
NL
N
1
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
OBA22H16USDP2 CDX S37 V1
000000000
-83440000.00000000
NC
USD
-324225.31000000
-0.11617412679
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
83440000.00000000
OU
Notional Amount
N/A
-324225.31000000
-0.12000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
sell protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
83440000.00000000
USD
1.00000000
60.00000000
USD
2022-03-16
XXXX
-219925.31000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.3225 %
000000000
60300000.00000000
OU
Notional Amount
39444.79000000
0.014133579006
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
SEK
0.00000000
SEK
60300000.00000000
SEK
39444.79000000
N
N
N
Zillow Group Inc
2549002XEELQDIR6FU05
Zillow Group Inc
98954M200
-3488.00000000
NS
USD
-200629.76000000
-0.07188824085
Short
EC
CORP
US
N
1
N
N
N
Skyworks Solutions Inc
549300WZ3ORQ2BVKBD96
Skyworks Solutions Inc
83088M102
800.00000000
NS
USD
110536.00000000
0.039606480071
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.566 %
000000000
1530000.00000000
OU
Notional Amount
USD
14722.72000000
0.005275341212
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
85.09000000
USD
0.00000000
USD
1530000.00000000
USD
14637.63000000
N
N
N
LKQ Corp
DS830JTTZQN6GK0I2E41
LKQ Corp
501889208
7000.00000000
NS
USD
328650.00000000
0.117759550511
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.7475 %
000000000
3930000.00000000
OU
Notional Amount
USD
-28929.82000000
-0.01036592910
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
USD
0.00000000
USD
3930000.00000000
USD
-28929.82000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-36313.18000000
-0.01301148259
N/A
DFE
XX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
4830599.18000000
USD
4266797.00000000
EUR
2022-04-26
-36313.18000000
N
N
N
Lamb Weston Holdings Inc
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272104
-7400.00000000
NS
USD
-491582.00000000
-0.17614019583
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 2.42875 %
000000000
6060000.00000000
OU
Notional Amount
13090.76000000
0.004690588813
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
6060000.00000000
AUD
13090.76000000
N
N
N
Camden Property Trust
5493002MYX22OHYJBD89
Camden Property Trust
133131102
-300.00000000
NS
USD
-49533.00000000
-0.01774831527
Short
EC
US
N
1
N
N
N
Japan Exchange Group Inc
353800578ADEGIJTVW07
Japan Exchange Group Inc
000000000
-9600.00000000
NS
-179770.20000000
-0.06441399040
Short
EC
CORP
JP
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
14833.19000000
0.005314924043
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
290000.00000000
USD
1583974.20000000
BRL
2022-04-04
14833.19000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.57 %
000000000
7310000.00000000
OU
Notional Amount
-199291.95000000
-0.07140888620
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
NZD
0.00000000
NZD
7310000.00000000
NZD
-199291.95000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
15955.17000000
0.005716944005
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
6881638.00000000
CAD
5445859.05000000
USD
2022-03-25
15955.17000000
N
N
N
Lixil Corp
353800KB8G4F9WUJJ886
Lixil Corp
000000000
-9100.00000000
NS
-202814.98000000
-0.07267123347
Short
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 1.967 %
000000000
6940000.00000000
OU
Notional Amount
-222149.47000000
-0.07959903159
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
6940000.00000000
AUD
-222149.47000000
N
N
N
CME Group Inc
LCZ7XYGSLJUHFXXNXD88
CME Group Inc
12572Q105
-1900.00000000
NS
USD
-449407.00000000
-0.16102834722
Short
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
2923.74000000
0.001047613899
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3450000.00000000
USD
4375938.60000000
CAD
2022-05-02
2923.74000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.845 %
000000000
12500000.00000000
OU
Notional Amount
-72521.26000000
-0.02598530649
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
SEK
0.00000000
SEK
12500000.00000000
SEK
-72521.26000000
N
N
N
Marriott International Inc/MD
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903202
-2600.00000000
NS
USD
-442364.00000000
-0.15850474913
Short
EC
CORP
US
N
1
N
N
N
Citizens Financial Group Inc
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610105
3200.00000000
NS
USD
167744.00000000
0.060104847226
Long
EC
CORP
US
N
1
N
N
N
Japan Airport Terminal Co Ltd
353800W9WEQSGUY2EO26
Japan Airport Terminal Co Ltd
000000000
-6300.00000000
NS
-294187.35000000
-0.10541113677
Short
EC
CORP
JP
N
2
N
N
N
IDEXX Laboratories Inc
OGMTXK0LUU1HKV2P0J84
IDEXX Laboratories Inc
45168D104
-800.00000000
NS
USD
-425880.00000000
-0.15259831849
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.63 %
000000000
79600000.00000000
OU
Notional Amount
-298.29000000
-0.00010688116
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
SEK
0.00000000
SEK
79600000.00000000
SEK
-298.29000000
N
N
N
Tata Steel Ltd
335800E6C75YGSGD5T66
Tata Steel Ltd
000000000
24127.00000000
NS
394126.57000000
0.141220653363
Long
EC
CORP
IN
N
2
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-24743.29000000
-0.00886584119
N/A
DFE
JP
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
6481319.29000000
USD
742218000.00000000
JPY
2022-03-07
-24743.29000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-150.63000000
-0.00005397267
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
28553440.00000000
JPY
248236.58000000
USD
2022-03-07
-150.63000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-41563.85000000
-0.01489286564
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2080000.00000000
AUD
1470622.40000000
USD
2022-05-09
-41563.85000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.7077 %
000000000
2570000.00000000
OU
Notional Amount
17638.53000000
0.006320113690
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
-3322.30000000
EUR
2570000.00000000
EUR
21443.89000000
N
N
N
Liberty Broadband Corp
549300MIX43II8JLN536
Liberty Broadband Corp
530307107
-1400.00000000
NS
USD
-202734.00000000
-0.07264221729
Short
EC
CORP
US
N
1
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135F101
-800.00000000
NS
USD
-469952.00000000
-0.16838988675
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.3371 %
000000000
809500000.00000000
OU
Notional Amount
504530.50000000
0.180779811043
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
SEK
0.00000000
SEK
809500000.00000000
SEK
504530.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.866 %
000000000
1570000.00000000
OU
Notional Amount
USD
28852.46000000
0.010338210012
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
4848.02000000
USD
0.00000000
USD
1570000.00000000
USD
24004.44000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
2286.30000000
0.000819210894
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1339171.85000000
ILS
420000.00000000
USD
2022-04-29
2286.30000000
N
N
N
Zoom Video Communications Inc
549300T9GCHU0ODOM055
Zoom Video Communications Inc
98980L101
1600.00000000
NS
USD
212160.00000000
0.076019675145
Long
EC
CORP
US
N
1
N
N
N
AP Moller - Maersk A/S
549300D2K6PKKKXVNN73
AP Moller - Maersk A/S
000000000
136.00000000
NS
430237.58000000
0.154159695828
Long
EC
CORP
DK
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
2537.02000000
0.000909047116
N/A
DFE
CH
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1860000.00000000
USD
1702787.22000000
CHF
2022-05-16
2537.02000000
N
N
N
Investor AB
549300VEBQPHRZBKUX38
Investor AB
000000000
1747.00000000
NS
38630.51000000
0.013841811938
Long
EC
CORP
SE
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.82 %
000000000
2560000.00000000
OU
Notional Amount
-32188.15000000
-0.01153343093
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
NZD
-138.91000000
NZD
2560000.00000000
NZD
-32093.77000000
N
N
N
Sumitomo Corp
V82KK8NH1P0JS71FJC05
Sumitomo Corp
000000000
15500.00000000
NS
252891.95000000
0.090614460246
Long
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 2.097 %
000000000
2900000.00000000
OU
Notional Amount
68457.87000000
0.024529341245
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
2900000.00000000
AUD
68457.87000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-13989.44000000
-0.00501259749
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1680271.00000000
AUD
1207291.68000000
USD
2022-04-21
-13989.44000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
5704.17000000
0.002043877971
N/A
DFE
NZ
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
410843.36000000
USD
615769.00000000
NZD
2022-03-18
5704.17000000
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027X100
-1300.00000000
NS
USD
-294931.00000000
-0.10567759620
Short
EC
US
N
1
N
N
N
Linde PLC
8945002PAZHZLBGKGF02
Linde PLC
000000000
-1500.00000000
NS
USD
-439860.00000000
-0.15760753351
Short
EC
CORP
IE
N
1
N
N
N
CK Hutchison Holdings Ltd
254900Z8HM1VEPOQ2G79
CK Hutchison Holdings Ltd
000000000
75000.00000000
NS
525829.73000000
0.188411600945
Long
EC
CORP
KY
N
2
N
N
N
PulteGroup Inc
N/A
PulteGroup Inc
745867101
9300.00000000
NS
USD
461838.00000000
0.165482535491
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
5294.93000000
0.001897241980
N/A
DFE
NZ
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1462927.20000000
USD
2170000.00000000
NZD
2022-03-01
5294.93000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5737.85000000
0.002055945951
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
472873.00000000
EUR
536356.20000000
USD
2022-03-21
5737.85000000
N
N
N
Aurizon Holdings Ltd
5299005PC1O6NOWL3H48
Aurizon Holdings Ltd
000000000
18532.00000000
NS
47273.48000000
0.016938700002
Long
EC
CORP
AU
N
2
N
N
N
Experian PLC
635400RXXHHYT1JTSZ26
Experian PLC
000000000
-548.00000000
NS
-21407.31000000
-0.00767051636
Short
EC
CORP
JE
N
2
N
N
N
Laboratory Corp of America Holdings
OZ7UA8IXAIFILY2VZH07
Laboratory Corp of America Holdings
50540R409
1900.00000000
NS
USD
515394.00000000
0.184672343759
Long
EC
CORP
US
N
1
N
N
N
AGC Inc
JE4WFFEELMVPFZ0G1E77
AGC Inc
000000000
3400.00000000
NS
150832.63000000
0.054045284379
Long
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 1.948 %
000000000
2210000.00000000
OU
Notional Amount
73456.57000000
0.026320440180
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
2210000.00000000
AUD
73456.57000000
N
N
N
Coupa Software Inc
549300Q95ICR2GFL2K37
Coupa Software Inc
22266L106
-3100.00000000
NS
USD
-375131.00000000
-0.13441429466
Short
EC
CORP
US
N
1
N
N
N
Fortescue Metals Group Ltd
529900VEJFORCO6I4826
Fortescue Metals Group Ltd
000000000
38021.00000000
NS
506528.57000000
0.181495745396
Long
EC
CORP
AU
N
2
N
N
N
Barclays Capital Inc.
AC28XWWI3WIBK2824319
OBC22J20USDP2 CDX NAIG S37 V1
000000000
29815000.00000000
NC
USD
48283.60000000
0.017300639078
N/A
DCR
US
N
2
Barclays Capital Inc.
AC28XWWI3WIBK2824319
Put
Purchased
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
29815000.00000000
OU
Notional Amount
N/A
48283.60000000
0.02000000
DCR
US
CDX.NA.IG.S37
2I65BYDZ5
buy protection
2026-12-20
0.00000000
N/A
0.00000000
N/A
29815000.00000000
USD
1.00000000
82.50000000
USD
2022-04-20
XXXX
-9855.65000000
N
N
N
Xero Ltd
254900UG5D8YST164N14
Xero Ltd
000000000
-4729.00000000
NS
-325156.55000000
-0.11650780214
Short
EC
CORP
NZ
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.84 %
000000000
22400000.00000000
OU
Notional Amount
135489.39000000
0.048547602816
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
20064.17000000
SEK
0.00000000
SEK
22400000.00000000
SEK
133284.32000000
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
145629.00000000
NS
484946.79000000
0.173762714171
Long
EC
CORP
ES
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.9
000000000
1780000.00000000
OU
Notional Amount
USD
-17199.67000000
-0.00616286447
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
0.00000000
USD
-44602.09000000
USD
1780000.00000000
USD
27402.42000000
N
N
N
Airbnb Inc
549300HMUDNO0RY56D37
Airbnb Inc
009066101
-2500.00000000
NS
USD
-378725.00000000
-0.13570207140
Short
EC
CORP
US
N
1
N
N
N
Petroleo Brasileiro SA
5493000J801JZRCMFE49
Petroleo Brasileiro SA
71654V408
23300.00000000
NS
USD
332957.00000000
0.119302804380
Long
EC
CORP
BR
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.38 %
000000000
15920000.00000000
OU
Notional Amount
87362.57000000
0.031303140041
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
NZD
0.00000000
NZD
15920000.00000000
NZD
87362.57000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
1577.55000000
0.000565256591
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1025416.00000000
CAD
810703.14000000
USD
2022-04-25
1577.55000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
ALTA MS SUPERVAL L TW
000000000
102281.40000000
OU
Notional Amount
USD
-2002.96000000
-0.00071768650
N/A
DE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
ALTA MS SUPERVAL L TW
BTHP
Custom equity basket swap which has a notional amount of less than 1% of the Funds total net assets.
Y
equity-performance leg
2022-10-18
0.00000000
USD
0.00000000
USD
102281.40000000
USD
-2002.96000000
N
N
N
Verbund AG
5299006UDSEJCTTEJS30
Verbund AG
000000000
-5064.00000000
NS
-610802.06000000
-0.21885828704
Short
EC
CORP
AT
N
2
N
N
N
Uber Technologies Inc
549300B2FTG34FILDR98
Uber Technologies Inc
90353T100
-11500.00000000
NS
USD
-414345.00000000
-0.14846517863
Short
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-1766.83000000
-0.00063307806
N/A
DFE
KR
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
440000.00000000
USD
527303920.00000000
KRW
2022-05-09
-1766.83000000
N
N
N
RioCan Real Estate Investment Trust
549300S8HVUSEU3JBY60
RioCan Real Estate Investment Trust
766910103
4000.00000000
NS
79274.16000000
0.028404958006
Long
EC
CA
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.392 %
000000000
3170000.00000000
OU
Notional Amount
-5157.05000000
-0.00184783779
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
3170000.00000000
CAD
-5157.05000000
N
N
N
Canadian Pacific Railway Ltd
N/A
Canadian Pacific Railway Ltd
13645T100
-2.00000000
NS
USD
-140.56000000
-0.00005036446
Short
EC
CORP
CA
N
1
N
N
N
GMO Payment Gateway Inc
353800Q6U21E2PM83F86
GMO Payment Gateway Inc
000000000
-4200.00000000
NS
-406256.74000000
-0.14556705034
Short
EC
CORP
JP
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
7654.75000000
0.002742796042
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
764890.00000000
EUR
865840.18000000
USD
2022-03-18
7654.75000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
37799.32000000
0.013543985799
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
8334208.00000000
AUD
6092297.71000000
USD
2022-03-18
37799.32000000
N
N
N
Bidvest Group Ltd/The
5299002ARE4TRMIRGM72
Bidvest Group Ltd/The
000000000
23649.00000000
NS
324022.22000000
0.116101357015
Long
EC
CORP
ZA
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 1.412 %
000000000
38500000.00000000
OU
Notional Amount
4845.00000000
0.001736026235
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
SEK
0.00000000
SEK
38500000.00000000
SEK
4845.00000000
N
N
N
Textron Inc
3PPKBHUG1HD6BO7RNR87
Textron Inc
883203101
5100.00000000
NS
USD
372963.00000000
0.133637472197
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
12787.60000000
0.004581962659
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
6000000.00000000
CAD
4747211.01000000
USD
2022-04-25
12787.60000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-280380.42000000
-0.10046393498
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
18210000.00000000
NZD
12040506.63000000
USD
2022-03-01
-280380.42000000
N
N
N
NN Group NV
724500OHYNDT9OY6Q215
NN Group NV
000000000
7952.00000000
NS
381655.31000000
0.136752039422
Long
EC
CORP
NL
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON -0.0795 %
000000000
12660000.00000000
OU
Notional Amount
-58541.76000000
-0.02097627063
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CHF
0.00000000
CHF
12660000.00000000
CHF
-58541.76000000
N
N
N
Novocure Ltd
213800YPP55UMHWA4826
Novocure Ltd
000000000
-5900.00000000
NS
USD
-482974.00000000
-0.17305583797
Short
EC
CORP
JE
N
1
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005N100
9100.00000000
NS
USD
454090.00000000
0.162706326766
Long
EC
CORP
US
N
1
N
N
N
Analog Devices Inc
GYVOE5EZ4GDAVTU4CQ61
Analog Devices Inc
032654105
-1.00000000
NS
USD
-160.29000000
-0.00005743398
Short
EC
CORP
US
N
1
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-18037.52000000
-0.00646307697
N/A
DFE
XX
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2405069.26000000
USD
2126624.00000000
EUR
2022-03-28
-18037.52000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON -0.543 %
000000000
4070000.00000000
OU
Notional Amount
25795.34000000
0.009242804331
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
1135.02000000
CHF
0.00000000
CHF
4070000.00000000
CHF
24562.56000000
N
N
N
Imperial Oil Ltd
549300JZNB745JT5WY51
Imperial Oil Ltd
453038408
2300.00000000
NS
103232.35000000
0.036989487705
Long
EC
CORP
CA
N
1
N
N
N
Bio-Rad Laboratories Inc
549300ZC1GPV35XYDK53
Bio-Rad Laboratories Inc
090572207
700.00000000
NS
USD
438172.00000000
0.157002701253
Long
EC
CORP
US
N
1
N
N
N
Spirit Airlines Inc
549300DCAFIXFNFR3304
Spirit Airlines Inc
848577102
-77031.00000000
NS
USD
-1931937.48000000
-0.69223821470
Short
EC
CORP
US
N
1
N
N
N
Mercari Inc
3538009SK4V5AXSTUJ26
Mercari Inc
000000000
-9200.00000000
NS
-288144.35000000
-0.10324585163
Short
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.406 %
000000000
1540000.00000000
OU
Notional Amount
174.18000000
0.000062410949
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
2326.70000000
GBP
0.00000000
GBP
1540000.00000000
GBP
-2975.47000000
N
N
N
NVR Inc
529900RWXR4JI3JYTV70
NVR Inc
62944T105
20.00000000
NS
USD
99168.80000000
0.035533465123
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1327.47000000
0.000475649689
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1390000.00000000
EUR
1561734.50000000
USD
2022-03-31
1327.47000000
N
N
N
Idemitsu Kosan Co Ltd
549300P0R46FF6DUA630
Idemitsu Kosan Co Ltd
000000000
4300.00000000
NS
115268.13000000
0.041302063523
Long
EC
CORP
JP
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
4446.49000000
0.001593234942
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
526228.00000000
EUR
594935.33000000
USD
2022-03-21
4446.49000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS31V14-5Y 25-35%
000000000
1187000.00000000
OU
Notional Amount
USD
97609.95000000
0.034974908983
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S31
2I65BRYE4
Y
sell protection
2023-12-21
121667.55000000
USD
0.00000000
USD
1187000.00000000
USD
-24057.60000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
32336.07000000
0.011586432583
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2364870.00000000
EUR
2689114.96000000
USD
2022-04-21
32336.07000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.665 %
000000000
6950000.00000000
OU
Notional Amount
-10566.08000000
-0.00378596327
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
GBP
-153.17000000
GBP
6950000.00000000
GBP
-10358.52000000
N
N
N
Regions Financial Corp
CW05CS5KW59QTC0DG824
Regions Financial Corp
7591EP100
2100.00000000
NS
USD
50799.00000000
0.018201939468
Long
EC
CORP
US
N
1
N
N
N
Onex Corp
894500LB8PNE5C7CEN88
Onex Corp
68272K103
1000.00000000
NS
67155.82000000
0.024062799870
Long
EC
CORP
CA
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-16083.52000000
-0.00576293347
N/A
DFE
JP
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2970000.00000000
USD
339557130.00000000
JPY
2022-03-09
-16083.52000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.515 %
000000000
3380000.00000000
OU
Notional Amount
4034.86000000
0.001445742583
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
0.00000000
CHF
3380000.00000000
CHF
4034.86000000
N
N
N
Kroger Co/The
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044101
8500.00000000
NS
USD
397800.00000000
0.142536890897
Long
EC
CORP
US
N
1
N
N
N
Aeon Co Ltd
5299009MXFL34SA71416
Aeon Co Ltd
000000000
-8300.00000000
NS
-188025.58000000
-0.06737199995
Short
EC
CORP
JP
N
2
N
N
N
Hess Corp
UASVRYNXNK17ULIGK870
Hess Corp
42809H107
-2600.00000000
NS
USD
-262756.00000000
-0.09414887708
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.358 %
000000000
1580000.00000000
OU
Notional Amount
76068.69000000
0.027256396599
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
-138.79000000
EUR
1580000.00000000
EUR
76225.31000000
N
N
N
Canadian Apartment Properties REIT
549300B1MYVTQEB2DI90
Canadian Apartment Properties REIT
134921105
6700.00000000
NS
278889.15000000
0.099929593630
Long
EC
CA
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL L TW
000000000
115795.10200000
OU
Notional Amount
USD
2109.33000000
0.000755800251
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL L TW
BTFL
Custom equity basket swap which has a notional amount of less than 1% of the Funds total net assets.
Y
equity-performance leg
2022-05-24
0.00000000
USD
0.00000000
USD
115795.10200000
USD
2109.33000000
N
N
N
Haier Smart Home Co Ltd
3003002BYTNGNJTWSH07
Haier Smart Home Co Ltd
000000000
8000.00000000
NS
28032.64000000
0.010044457891
Long
EC
CORP
CN
N
2
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBU4
17025000.00000000
PA
USD
16836793.90000000
6.032841264947
Long
DBT
UST
US
N
1
2023-03-31
Fixed
0.13000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
8921.05000000
0.003196527728
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
24093955.00000000
MXN
1181400.53000000
USD
2022-03-22
8921.05000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON -0.058 %
000000000
1300000.00000000
OU
Notional Amount
78386.79000000
0.028087001845
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
-568.75000000
CHF
1300000.00000000
CHF
79001.79000000
N
N
N
Adecco Group AG
NI14Y5UMU60O7JE9P611
Adecco Group AG
000000000
7777.00000000
NS
367297.03000000
0.131607281780
Long
EC
CORP
CH
N
2
N
N
N
Accor SA
969500QZC2Q0TK11NV07
Accor SA
000000000
-12804.00000000
NS
-437298.30000000
-0.15668964323
Short
EC
CORP
FR
N
2
N
N
N
DoorDash Inc
N/A
DoorDash Inc
25809K105
-1200.00000000
NS
USD
-125940.00000000
-0.04512593272
Short
EC
CORP
US
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX-NAHYS31V14-5Y 15-25%
000000000
1631000.00000000
OU
Notional Amount
USD
-37201.36000000
-0.01332972898
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S31
2I65BRYE4
Y
buy protection
2023-12-21
0.00000000
USD
-6360.92000000
USD
1631000.00000000
USD
-30840.44000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.811 %
000000000
1950000.00000000
OU
Notional Amount
3029.45000000
0.001085491161
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
0.00000000
EUR
1950000.00000000
EUR
3029.45000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
2588.44000000
0.000927471568
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
9252540.00000000
TWD
333870.02000000
USD
2022-05-17
2588.44000000
N
N
N
Auckland International Airport Ltd
549300HFZIZDJWB7AK60
Auckland International Airport Ltd
000000000
15249.00000000
NS
73836.01000000
0.026456398445
Long
EC
CORP
NZ
N
2
N
N
N
Chocoladefabriken Lindt & Spruengli AG
529900JYJNNOKKAGK736
Chocoladefabriken Lindt & Spruengli AG
000000000
-6.00000000
NS
-63646.16000000
-0.02280524324
Short
EC
CORP
CH
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
NZD INT RATE SWAP 2.61 %
000000000
17600000.00000000
OU
Notional Amount
43187.46000000
0.015474626129
N/A
DIR
NZ
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
NZD
0.00000000
NZD
17600000.00000000
NZD
43187.46000000
N
N
N
KDDI Corp
5299003FU7V4I45FU310
KDDI Corp
000000000
14900.00000000
NS
484864.48000000
0.173733221433
Long
EC
CORP
JP
N
2
N
N
N
Autodesk Inc
FRKKVKAIQEF3FCSTPG55
Autodesk Inc
052769106
-1700.00000000
NS
USD
-374391.00000000
-0.13414914308
Short
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-206.17000000
-0.00007387338
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
567052500.00000000
CLP
702101.78000000
USD
2022-05-16
-206.17000000
N
N
N
Regeneron Pharmaceuticals Inc
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals Inc
75886F107
800.00000000
NS
USD
494688.00000000
0.177253115848
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT MAR22
000000000
-93.00000000
NC
USD
386197.62000000
0.138379607911
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME E-Mini Standard & Poor's 500 Index Future
ESH2 INDEX
2022-03-18
-20697397.62000000
USD
386197.62000000
N
N
N
Restaurant Brands International Inc
5299009RXTX9DN9AKJ98
Restaurant Brands International Inc
76131D103
-5700.00000000
NS
USD
-319086.00000000
-0.11433264547
Short
EC
CORP
CA
N
1
N
N
N
State Street Global Advisors
549300Q3FHSMZ70NLT76
State Street Institutional Treasury Money Market Fund
857492870
569327.28000000
NS
USD
569327.28000000
0.203997336336
Long
STIV
RF
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.385 %
000000000
3240000.00000000
OU
Notional Amount
3648.95000000
0.001307466033
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
3240000.00000000
CAD
3648.95000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP -0.196 %
000000000
9150000.00000000
OU
Notional Amount
-50171.74000000
-0.01797718408
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-20
0.00000000
EUR
-23.37000000
EUR
9150000.00000000
EUR
-50145.18000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.2178 %
000000000
12420000.00000000
OU
Notional Amount
48261.63000000
0.017292766942
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-20
307.93000000
EUR
0.00000000
EUR
12420000.00000000
EUR
47908.93000000
N
N
N
Sofina SA
5493000GMVR38VUO5D39
Sofina SA
000000000
299.00000000
NS
116118.27000000
0.041606679693
Long
EC
CORP
BE
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.5085 %
000000000
2620000.00000000
OU
Notional Amount
1271.92000000
0.000455745405
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CHF
0.00000000
CHF
2620000.00000000
CHF
1271.92000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 1.424 %
000000000
20900000.00000000
OU
Notional Amount
-119.56000000
-0.00004283989
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
SEK
0.00000000
SEK
20900000.00000000
SEK
-119.56000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-285.88000000
-0.00010243450
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
26405050.00000000
INR
350000.00000000
USD
2022-03-08
-285.88000000
N
N
N
Oriental Land Co Ltd/Japan
353800PIFKBZ6KTU5994
Oriental Land Co Ltd/Japan
000000000
-2900.00000000
NS
-536107.79000000
-0.19209436292
Short
EC
CORP
JP
N
2
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL S TH
000000000
40877.97300400
OU
Notional Amount
USD
-1106.48000000
-0.00039646611
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Altarea SCA
Altarea SCA
Y
equity-performance leg
2024-05-24
0.00000000
USD
0.00000000
USD
40877.97300400
USD
-1106.48000000
N
N
N
IAC/InterActiveCorp
549300TO56L57RP6P031
IAC/InterActiveCorp
44891N208
3500.00000000
NS
USD
401660.00000000
0.143919978879
Long
EC
CORP
US
N
1
N
N
N
Fosun International Ltd
213800Z99WQEXDF82F09
Fosun International Ltd
000000000
50500.00000000
NS
54792.67000000
0.019632923141
Long
EC
CORP
HK
N
2
N
N
N
Wayfair Inc
54930027N9ZAVYFDHK53
Wayfair Inc
94419L101
-1900.00000000
NS
USD
-267653.00000000
-0.09590353559
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON 0.23 %
000000000
26040000.00000000
OU
Notional Amount
-777594.03000000
-0.27862200959
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
23887.50000000
CHF
0.00000000
CHF
26040000.00000000
CHF
-803803.71000000
N
N
N
China Zhongwang Holdings Ltd
529900J21TD2P9K4YC63
China Zhongwang Holdings Ltd
000000000
308000.00000000
NS
66214.52000000
0.023725519892
Long
EC
CORP
KY
N
3
N
N
N
Singapore Airlines Ltd
549300ZG62N2599PWR15
Singapore Airlines Ltd
000000000
-107700.00000000
NS
-407804.30000000
-0.14612156112
Short
EC
CORP
SG
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 2.52 %
000000000
4650000.00000000
OU
Notional Amount
17384.78000000
0.006229191780
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
4650000.00000000
AUD
17384.78000000
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320102
4800.00000000
NS
USD
535968.00000000
0.192044274361
Long
EC
CORP
US
N
1
N
N
N
ArcelorMittal SA
2EULGUTUI56JI9SAL165
ArcelorMittal SA
000000000
14074.00000000
NS
436696.84000000
0.156474132324
Long
EC
CORP
LU
N
2
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-10808.05000000
-0.00387266426
N/A
DFE
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
842630.96000000
USD
620000.00000000
GBP
2022-05-16
-10808.05000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 1.9905 %
000000000
16650000.00000000
OU
Notional Amount
-507672.72000000
-0.18190570915
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
-2106.95000000
AUD
16650000.00000000
AUD
-506166.15000000
N
N
N
South Jersey Industries Inc
549300DJYWYT5VXLFA46
South Jersey Industries Inc
838518108
38741.00000000
NS
USD
1314482.13000000
0.470995967700
Long
EC
CORP
US
N
1
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-2195.91000000
-0.00078682298
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
600000.00000000
GBP
802794.00000000
USD
2022-05-16
-2195.91000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.412 %
000000000
1470000.00000000
OU
Notional Amount
1259.96000000
0.000451459982
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
GBP
-2827.39000000
GBP
1470000.00000000
GBP
5091.36000000
N
N
N
Cameco Corp
N4BHALMXL3GMZKCUON55
Cameco Corp
13321L108
-8500.00000000
NS
USD
-208930.00000000
-0.07486232432
Short
EC
CORP
CA
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.01 %
000000000
17820000.00000000
OU
Notional Amount
USD
-142340.36000000
-0.05100239407
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
USD
-3396.93000000
USD
17820000.00000000
USD
-138943.43000000
N
N
N
Galapagos NV
549300QKJ78IY0IOV655
Galapagos NV
000000000
-351.00000000
NS
-23185.44000000
-0.00830764336
Short
EC
CORP
BE
N
2
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-872969.79000000
-0.31279637937
N/A
DFE
RU
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2665477.54000000
USD
208379038.00000000
RUB
2022-05-11
-872969.79000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.332 %
000000000
119180000.00000000
OU
Notional Amount
92982.55000000
0.033316851645
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
79090.07000000
SEK
0.00000000
SEK
119180000.00000000
SEK
84274.25000000
N
N
N
RingCentral Inc
549300C8EH0H1614VE84
RingCentral Inc
76680R206
-2400.00000000
NS
USD
-314016.00000000
-0.11251599882
Short
EC
CORP
US
N
1
N
N
N
Sumitomo Chemical Co Ltd
353800RSAU9BD8U4DM91
Sumitomo Chemical Co Ltd
000000000
68300.00000000
NS
326079.82000000
0.116838621737
Long
EC
CORP
JP
N
2
N
N
N
Honda Motor Co Ltd
549300P7ZYCQJ36CCS16
Honda Motor Co Ltd
438128308
1700.00000000
NS
USD
51952.00000000
0.018615074298
Long
EC
CORP
JP
N
1
N
N
N
Arena Pharmaceuticals Inc
529900CVGQMPJ3A3NI85
Arena Pharmaceuticals Inc
040047607
20928.00000000
NS
USD
1987532.16000000
0.712158508411
Long
EC
CORP
US
N
1
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
MSCI EMGMKT MAR22
000000000
334.00000000
NC
USD
-913459.94000000
-0.32730452440
N/A
DE
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Long
ICE US MSCI Emerging Markets EM Index Futures
MESH2 INDEX
2022-03-18
20544309.94000000
USD
-913459.94000000
N
N
N
Harmonic Drive Systems Inc
353800XFIX2EUARGOE85
Harmonic Drive Systems Inc
000000000
-2900.00000000
NS
-118620.86000000
-0.04250339009
Short
EC
CORP
JP
N
2
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ITRAXX-XOVERS34V2-5Y 35-100%
000000000
13076016.92000000
OU
Notional Amount
2597018.03000000
0.930545187536
N/A
DCR
XX
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S34
2I667KJJ8
Y
sell protection
2025-12-21
2606774.42000000
EUR
0.00000000
EUR
13076016.92000000
EUR
-480778.02000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796S59
1190000.00000000
PA
USD
1187192.59000000
0.425386477314
Long
STIV
UST
US
N
1
2022-07-28
None
0.00000000
N
N
N
N
N
N
Fox Corp
549300DDU6FDRBIELS05
Fox Corp
35137L105
-74925.00000000
NS
USD
-3134112.75000000
-1.12299318026
Short
EC
CORP
US
N
1
N
N
N
Ingersoll Rand Inc
5299004C02FMZCUOIR50
Ingersoll Rand Inc
45687V106
-6700.00000000
NS
USD
-338484.00000000
-0.12128320004
Short
EC
CORP
US
N
1
N
N
N
Sumitomo Electric Industries Ltd
5493005SP87FL5TOS202
Sumitomo Electric Industries Ltd
000000000
4600.00000000
NS
61065.54000000
0.021880573686
Long
EC
CORP
JP
N
2
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
113193.51000000
0.040558700314
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
53163632.00000000
RUB
604063.54000000
USD
2022-03-16
113193.51000000
N
N
N
QIAGEN NV
54930036WK3GMCN17Z57
QIAGEN NV
000000000
-3854.00000000
NS
-193634.15000000
-0.06938162320
Short
EC
CORP
NL
N
2
N
N
N
Tower Semiconductor Ltd
54930086ZSNXZOUX0C54
Tower Semiconductor Ltd
000000000
21611.00000000
NS
USD
1012475.35000000
0.362783027903
Long
EC
CORP
IL
N
1
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
8190.06000000
0.002934604546
N/A
DFE
JP
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
2040000.00000000
USD
235442520.00000000
JPY
2022-03-09
8190.06000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1211.74000000
-0.00043418213
N/A
DFE
XX
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
54160.98000000
USD
47193.00000000
EUR
2022-03-18
-1211.74000000
N
N
N
Teva Pharmaceutical Industries Ltd
549300BAFGM4RC74ZJ94
Teva Pharmaceutical Industries Ltd
881624209
51000.00000000
NS
USD
414630.00000000
0.148567297820
Long
EC
CORP
IL
N
1
N
N
N
Rentokil Initial PLC
549300VN4WV7Z6T14K68
Rentokil Initial PLC
000000000
-284708.00000000
NS
-1932131.19000000
-0.69230762350
Short
EC
CORP
GB
N
2
N
N
N
Bayerische Motoren Werke AG
YEH5ZCD6E441RHVHD759
Bayerische Motoren Werke AG
000000000
2544.00000000
NS
205728.22000000
0.073715085089
Long
EP
CORP
DE
N
2
N
N
N
Hon Hai Precision Industry Co Ltd
30030004CM3GSZXX7O56
Hon Hai Precision Industry Co Ltd
000000000
11000.00000000
NS
40860.14000000
0.014640717237
Long
EC
CORP
TW
N
2
N
N
N
Just Eat Takeaway.com NV
724500FVZIBSSQ7SHI95
Just Eat Takeaway.com NV
48214T305
1.00000000
NS
USD
8.05000000
0.000002884419
Long
EC
CORP
NL
N
1
N
N
N
JGC Holdings Corp
5493003WMGG79YLARU68
JGC Holdings Corp
000000000
-16500.00000000
NS
-165377.95000000
-0.05925706087
Short
EC
CORP
JP
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
14390.42000000
0.005156273819
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2060000.00000000
USD
2628904.02000000
CAD
2022-05-02
14390.42000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-52.95000000
-0.00001897267
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
50856.00000000
GBP
68186.34000000
USD
2022-04-21
-52.95000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCK5
8073000.00000000
PA
USD
7952220.33000000
2.849383513257
Long
DBT
UST
US
N
1
2023-06-30
Fixed
0.13000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
3641.11000000
0.001304656859
N/A
DFE
NZ
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
207580.36000000
USD
312242.00000000
NZD
2022-03-18
3641.11000000
N
N
N
Taisei Corp
529900TF7XJKIOWMLQ79
Taisei Corp
000000000
12200.00000000
NS
405667.60000000
0.145355953851
Long
EC
CORP
JP
N
2
N
N
N
Antofagasta PLC
213800MY6QVH4FVLD628
Antofagasta PLC
000000000
-10252.00000000
NS
-207580.87000000
-0.07437891357
Short
EC
CORP
GB
N
2
N
N
N
Partners Group Holding AG
549300I3IVVWZWDHI788
Partners Group Holding AG
000000000
-310.00000000
NS
-419054.44000000
-0.15015263196
Short
EC
CORP
CH
N
2
N
N
N
Cloudflare Inc
5493007DY18BGNLDWU14
Cloudflare Inc
18915M107
-4600.00000000
NS
USD
-535532.00000000
-0.19188804991
Short
EC
CORP
US
N
1
N
N
N
M3 Inc
N/A
M3 Inc
000000000
-11200.00000000
NS
-421383.13000000
-0.15098703174
Short
EC
CORP
JP
N
2
N
N
N
CITIC Ltd
2549006I3Q3M98KHOT11
CITIC Ltd
000000000
231000.00000000
NS
269559.50000000
0.096586659230
Long
EC
CORP
HK
N
2
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-16422.85000000
-0.00588451980
N/A
DFE
JP
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
6545090.88000000
USD
750000000.00000000
JPY
2022-04-04
-16422.85000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.121 %
000000000
20620000.00000000
OU
Notional Amount
-366082.89000000
-0.13117223969
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
37131.93000000
CAD
0.00000000
CAD
20620000.00000000
CAD
-395288.44000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
ALTA MORD SUPERVAL S KR
000000000
1483100.21123000
OU
Notional Amount
USD
-47388.20000000
-0.01697980566
N/A
DE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
ALTA MORD SUPERVAL S KR
BTM9
Custom equity basket swap which has a notional amount of less than 1% of the Funds total net assets.
Y
equity-performance leg
2023-06-19
0.00000000
USD
0.00000000
USD
1483100.21123000
USD
-47388.20000000
N
N
N
Novartis AG
5493007HIVTX6SY6XD66
Novartis AG
66987V109
900.00000000
NS
USD
78714.00000000
0.028204245425
Long
EC
CORP
CH
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.755 %
000000000
1760000.00000000
OU
Notional Amount
3148.92000000
0.001128298809
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
-2173.46000000
EUR
1760000.00000000
EUR
5635.36000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
7597.27000000
0.002722200213
N/A
DFE
AU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1010220.40000000
USD
1400000.00000000
AUD
2022-05-09
7597.27000000
N
N
N
Algonquin Power & Utilities Corp
549300K5VIUTJXQL7X75
Algonquin Power & Utilities Corp
015857105
-1500.00000000
NS
USD
-21720.00000000
-0.00778255724
Short
EC
CORP
CA
N
1
N
N
N
Ionis Pharmaceuticals Inc
549300SI4ZGLG0BLUZ92
Ionis Pharmaceuticals Inc
462222100
-1300.00000000
NS
USD
-43394.00000000
-0.01554863208
Short
EC
CORP
US
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.9
000000000
1110000.00000000
OU
Notional Amount
USD
121682.33000000
0.043600354437
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CMBX.NA.BBB-.9
137BERAI8
Y
buy protection
2058-09-18
128808.69000000
USD
0.00000000
USD
1110000.00000000
USD
-7126.36000000
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933Y105
5500.00000000
NS
USD
421190.00000000
0.150917830762
Long
EC
CORP
US
N
1
N
N
N
Puma SE
529900GRZ2BQY5ZM9N49
Puma SE
000000000
-4281.00000000
NS
-392586.55000000
-0.14066884425
Short
EC
CORP
DE
N
2
N
N
N
Live Nation Entertainment Inc
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034109
-4700.00000000
NS
USD
-567854.00000000
-0.20346944103
Short
EC
CORP
US
N
1
N
N
N
Tesla Inc
54930043XZGB27CTOV49
Tesla Inc
88160R101
-600.00000000
NS
USD
-522258.00000000
-0.18713180383
Short
EC
CORP
US
N
1
N
N
N
MEIJI Holdings Co Ltd
5299002D52YIP6DWMV49
MEIJI Holdings Co Ltd
000000000
2300.00000000
NS
138041.35000000
0.049462003128
Long
EC
CORP
JP
N
2
N
N
N
Quest Diagnostics Inc
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics Inc
74834L100
3200.00000000
NS
USD
420064.00000000
0.150514370382
Long
EC
CORP
US
N
1
N
N
N
S&P Global Inc
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409V104
9534.54600000
NS
USD
3582128.93000000
1.283523178677
Long
EC
CORP
US
N
1
N
N
N
Frontier Group Holdings Inc
549300DT3Y2BHO6G7T02
Frontier Group Holdings Inc
35909R108
147328.00000000
NS
USD
1897584.64000000
0.679929147313
Long
EC
CORP
US
N
1
N
N
N
AltaGas Ltd
549300D7A8QA85Z2MH11
AltaGas Ltd
021361100
-17200.00000000
NS
-378874.95000000
-0.13575580043
Short
EC
CORP
CA
N
1
N
N
N
Tobu Railway Co Ltd
N/A
Tobu Railway Co Ltd
000000000
-3900.00000000
NS
-95864.28000000
-0.03434941281
Short
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
GBP INT RATE SWAP VS SONIO/N 1.37 %
000000000
56150000.00000000
OU
Notional Amount
566800.62000000
0.203092001342
N/A
DIR
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
119160.27000000
GBP
0.00000000
GBP
56150000.00000000
GBP
405552.93000000
N
N
N
Bill.com Holdings Inc
549300IBF9VZZIGOZW63
Bill.com Holdings Inc
090043100
-2200.00000000
NS
USD
-523336.00000000
-0.18751806519
Short
EC
CORP
US
N
1
N
N
N
Whirlpool Corp
WHENKOULSSK7WUM60H03
Whirlpool Corp
963320106
1900.00000000
NS
USD
382413.00000000
0.137023529560
Long
EC
CORP
US
N
1
N
N
N
Brambles Ltd
N/A
Brambles Ltd
000000000
26458.00000000
NS
190569.58000000
0.068283548096
Long
EC
CORP
AU
N
2
N
N
N
iA Financial Corp Inc
549300ZXLJVHQAIXV215
iA Financial Corp Inc
45075E104
800.00000000
NS
47532.94000000
0.017031667880
Long
EC
CORP
CA
N
1
N
N
N
Coherent Inc
549300RYOCKUMWACR010
Coherent Inc
192479103
11678.00000000
NS
USD
3086728.96000000
1.106014954759
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.687 %
000000000
179800000.00000000
OU
Notional Amount
21003.11000000
0.007525686270
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
SEK
0.00000000
SEK
179800000.00000000
SEK
21003.11000000
N
N
N
Spirax-Sarco Engineering PLC
213800WFVZQMHOZP2W17
Spirax-Sarco Engineering PLC
000000000
-1439.00000000
NS
-229311.10000000
-0.08216513635
Short
EC
CORP
GB
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-3490.53000000
-0.00125070209
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1421811.25000000
ILS
440000.00000000
USD
2022-04-29
-3490.53000000
N
N
N
HP Inc
WHKXQACZ14C5XRO8LW03
HP Inc
40434L105
14500.00000000
NS
USD
498220.00000000
0.178518677182
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED ILS / SOLD USD
000000000
1.00000000
NC
-5755.69000000
-0.00206233825
N/A
DFE
IL
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1225569.28000000
USD
3910669.00000000
ILS
2022-04-29
-5755.69000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 0.97 %
000000000
7110000.00000000
OU
Notional Amount
USD
-62472.15000000
-0.02238458026
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
USD
-2257.33000000
USD
7110000.00000000
USD
-60214.82000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.44 %
000000000
2150000.00000000
OU
Notional Amount
-10878.04000000
-0.00389774258
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
2150000.00000000
CAD
-10878.04000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
18147.25000000
0.006502394653
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1650798.74000000
PLN
410000.00000000
USD
2022-04-19
18147.25000000
N
N
N
Peloton Interactive Inc
5493002YS021166W0339
Peloton Interactive Inc
70614W100
-10200.00000000
NS
USD
-296412.00000000
-0.10620825767
Short
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-9156.75000000
-0.00328098209
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1280000.00000000
USD
1610557.44000000
CAD
2022-05-02
-9156.75000000
N
N
N
Bio-Techne Corp
54930073RLKQ51TILZ35
Bio-Techne Corp
09073M104
-500.00000000
NS
USD
-209705.00000000
-0.07514001685
Short
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
-28450.22000000
-0.01019408221
N/A
DFE
HU
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
520000.00000000
USD
164288800.00000000
HUF
2022-05-16
-28450.22000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796S42
24500000.00000000
PA
USD
24447911.53000000
8.760003264040
Long
STIV
UST
US
N
1
2022-07-21
None
0.00000000
N
N
N
N
N
N
Terminix Global Holdings Inc
549300GS10644JGL8R77
Terminix Global Holdings Inc
88087E100
82904.00000000
NS
USD
3528394.24000000
1.264269343468
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
-64244.82000000
-0.02301975087
N/A
DFE
PL
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1140044.52000000
USD
4532133.00000000
PLN
2022-04-19
-64244.82000000
N
N
N
Obayashi Corp
529900YT4O5S0LCXWD54
Obayashi Corp
000000000
63700.00000000
NS
533359.59000000
0.191109647283
Long
EC
CORP
JP
N
2
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244109
-600.00000000
NS
USD
-55074.00000000
-0.01973372732
Short
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
40413.51000000
0.014480683925
N/A
DFE
AU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3376545.80000000
USD
4700000.00000000
AUD
2022-05-09
40413.51000000
N
N
N
Berkeley Group Holdings PLC
2138009OQSSLVVHQAL78
Berkeley Group Holdings PLC
000000000
7771.00000000
NS
404140.96000000
0.144808938971
Long
EC
CORP
GB
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SEK INT RATE SWAP 0.898 %
000000000
164530000.00000000
OU
Notional Amount
-867262.80000000
-0.31075149095
N/A
DIR
SE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
SEK
0.00000000
SEK
164530000.00000000
SEK
-867262.80000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL S HK
000000000
605783.74003700
OU
Notional Amount
USD
-10034.31000000
-0.00359542320
N/A
DE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
ALTA GS SUPERVAL S HK
BTF9
Custom equity basket swap which has a notional amount of less than 1% of the Funds total net assets.
Y
equity-performance leg
2022-05-24
0.00000000
USD
0.00000000
USD
605783.74003700
USD
-10034.31000000
N
N
N
NIKE Inc
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106103
-300.00000000
NS
USD
-40965.00000000
-0.01467828993
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CHF INT RATE SWAP VS SSARON -0.44 %
000000000
9440000.00000000
OU
Notional Amount
32386.16000000
0.011604380478
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
0.00000000
CHF
0.00000000
CHF
9440000.00000000
CHF
32386.16000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP -0.069 %
000000000
9180000.00000000
OU
Notional Amount
-23939.43000000
-0.00857780774
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-20
96.77000000
EUR
0.00000000
EUR
9180000.00000000
EUR
-24048.15000000
N
N
N
Mohawk Industries Inc
549300JI1115MG3Q6322
Mohawk Industries Inc
608190104
1700.00000000
NS
USD
239326.00000000
0.085753604703
Long
EC
CORP
US
N
1
N
N
N
Sika AG
549300R3N69ECGYPU434
Sika AG
000000000
-198.00000000
NS
-65703.26000000
-0.02354232881
Short
EC
CORP
CH
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP -0.227 %
000000000
7750000.00000000
OU
Notional Amount
-47934.81000000
-0.01717566310
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-20
0.00000000
EUR
-477.93000000
EUR
7750000.00000000
EUR
-47395.47000000
N
N
N
VMware Inc
549300BUDHS3LRWBE814
VMware Inc
928563402
3300.00000000
NS
USD
387156.00000000
0.138723007874
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
AUD INT RATE SWAP 2.5275 %
000000000
2240000.00000000
OU
Notional Amount
9460.64000000
0.003389869812
N/A
DIR
AU
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
AUD
0.00000000
AUD
2240000.00000000
AUD
9460.64000000
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122108
6400.00000000
NS
USD
439488.00000000
0.157474241093
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
3713.74000000
0.001330681129
N/A
DFE
AU
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
205206.28000000
USD
287585.00000000
AUD
2022-03-18
3713.74000000
N
N
N
Mercedes-Benz Group AG
529900R27DL06UVNT076
Mercedes-Benz Group AG
000000000
5579.00000000
NS
435828.56000000
0.156163016357
Long
EC
CORP
DE
N
2
N
N
N
Capital One Financial Corp
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040H105
3700.00000000
NS
USD
567099.00000000
0.203198914759
Long
EC
CORP
US
N
1
N
N
N
Arrow Electronics Inc
549300YNNLBXT8N8R512
Arrow Electronics Inc
042735100
4100.00000000
NS
USD
499708.00000000
0.179051846849
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.165 %
000000000
8720000.00000000
OU
Notional Amount
23459.67000000
0.008405903527
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-20
821.97000000
EUR
0.00000000
EUR
8720000.00000000
EUR
22525.87000000
N
N
N
Investor AB
549300VEBQPHRZBKUX38
Investor AB
000000000
18412.00000000
NS
374913.84000000
0.134336483429
Long
EC
CORP
SE
N
2
N
N
N
Santos Ltd
5299000RK70B5O2M7077
Santos Ltd
000000000
-309.00000000
NS
-1645.69000000
-0.00058967203
Short
EC
CORP
AU
N
2
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
FTSE TAIWAN INDEX MAR22
000000000
-26.00000000
NC
USD
19015.38000000
0.006813456873
N/A
DE
SG
N
2
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Short
SGX FTSE Taiwan Index Futures
TWTH2 INDEX
2022-03-30
-1639615.38000000
USD
19015.38000000
N
N
N
Ecolab Inc
82DYEISM090VG8LTLS26
Ecolab Inc
278865100
-400.00000000
NS
USD
-70504.00000000
-0.02526249611
Short
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
EUR INT RATE SWAP 0.385 %
000000000
1870000.00000000
OU
Notional Amount
83883.82000000
0.030056658872
N/A
DIR
XX
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-17
0.00000000
EUR
-420.65000000
EUR
1870000.00000000
EUR
84361.95000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.76 %
000000000
44250000.00000000
OU
Notional Amount
USD
-224971.68000000
-0.08061026598
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
76092.41000000
USD
0.00000000
USD
44250000.00000000
USD
-301064.09000000
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO
693483109
900.00000000
NS
USD
53388.00000000
0.019129611692
Long
EC
CORP
KR
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
USD INT RATE SWAP VS SOFRRATE 1.605 %
000000000
7230000.00000000
OU
Notional Amount
USD
-23914.60000000
-0.00856891083
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-16
2123.62000000
USD
0.00000000
USD
7230000.00000000
USD
-26038.22000000
N
N
N
Banco Bilbao Vizcaya Argentaria SA
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
000000000
77022.00000000
NS
457027.30000000
0.163758799390
Long
EC
CORP
ES
N
2
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT MAR22
000000000
15.00000000
NC
-51881.01000000
-0.01858963766
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
SFE 10 Year Australian Bond Future
XMH2 COMDTY
2022-03-15
2089384.80000000
AUD
-51881.01000000
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558103
7500.00000000
NS
USD
453000.00000000
0.162315765653
Long
EC
CORP
US
N
1
N
N
N
Mitsubishi Corp
KVIPTY4PULAPGC1VVD26
Mitsubishi Corp
000000000
11900.00000000
NS
400121.73000000
0.143368796819
Long
EC
CORP
JP
N
2
N
N
N
Investors Bancorp Inc
N/A
Investors Bancorp Inc
46146L101
268098.00000000
NS
USD
4487960.52000000
1.608094366500
Long
EC
CORP
US
N
1
N
N
N
DocuSign Inc
549300Q7PVDWRZ39JG09
DocuSign Inc
256163106
-3500.00000000
NS
USD
-414505.00000000
-0.14852250870
Short
EC
CORP
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-162974.11000000
-0.05839573387
N/A
DFE
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
10971305.28000000
USD
8056000.00000000
GBP
2022-05-16
-162974.11000000
N
N
N
Zscaler Inc
529900MZ0RTK1BWRNF46
Zscaler Inc
98980G102
-1600.00000000
NS
USD
-382640.00000000
-0.13710486659
Short
EC
CORP
US
N
1
N
N
N
PCCW Ltd
254900SI7GPUPA1TJX39
PCCW Ltd
000000000
198000.00000000
NS
110770.06000000
0.039690346799
Long
EC
CORP
HK
N
2
N
N
N
Tokyu Corp
3538005PGNIBTZYXAE45
Tokyu Corp
000000000
-5600.00000000
NS
-74683.70000000
-0.02676013674
Short
EC
CORP
JP
N
2
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-3939.36000000
-0.00141152369
N/A
DFE
CO
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
690000.00000000
USD
2705193300.00000000
COP
2022-03-17
-3939.36000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
CAD INT RATE SWAP 2.164 %
000000000
3280000.00000000
OU
Notional Amount
48145.89000000
0.017251295802
N/A
DIR
CA
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2032-03-16
0.00000000
CAD
0.00000000
CAD
3280000.00000000
CAD
48145.89000000
N
N
N
2022-03-25
GMO TRUST
Betty Maganzini
Betty Maganzini
Treasurer