0001752724-20-002095.txt : 20200107
0001752724-20-002095.hdr.sgml : 20200107
20200107102456
ACCESSION NUMBER: 0001752724-20-002095
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191130
FILED AS OF DATE: 20200107
PERIOD START: 20191130
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: AB CAP FUND, INC.
CENTRAL INDEX KEY: 0000081443
IRS NUMBER: 132625045
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0731
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-01716
FILM NUMBER: 20512433
BUSINESS ADDRESS:
STREET 1: ALLIANCEBERNSTEIN LP
STREET 2: 1345 AVENUE OF THE AMERICAS
CITY: NEW YORK
STATE: NY
ZIP: 10105
BUSINESS PHONE: 2129691000
MAIL ADDRESS:
STREET 1: ALLIANCEBERNSTEIN LP
STREET 2: 1345 AVENUE OF THE AMERICAS
CITY: NEW YORK
STATE: NY
ZIP: 10105
FORMER COMPANY:
FORMER CONFORMED NAME: ALLIANCEBERNSTEIN CAP FUND, INC.
DATE OF NAME CHANGE: 20110524
FORMER COMPANY:
FORMER CONFORMED NAME: ALLIANCEBERNSTEIN CAP FUND,INC
DATE OF NAME CHANGE: 20040908
FORMER COMPANY:
FORMER CONFORMED NAME: ALLIANCEBERNSTEIN SMALL CAP GROWTH FUND INC
DATE OF NAME CHANGE: 19931001
0000081443
S000047072
AB All Market Income Portfolio
C000147170
Advisor Class
MRKYX
C000147171
Class A
MRKAX
C000147172
Class C
MRKCX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000081443
XXXXXXXX
S000047072
C000147170
C000147172
C000147171
AB CAP FUND, INC.
811-01716
0000081443
549300I24E20QB4B6Y20
ALLIANCEBERNSTEIN LP
1345 AVENUE OF THE AMERICAS
NEW YORK
10105
212-969-1000
AB All Market Income Portfolio
S000047072
5493004TONCXNNAORV64
2019-11-30
2019-11-30
N
113601237.48
5550645.63
108050591.85
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
UST
HollyFrontier Corp
549300J3U2WK73C9ZK26
HollyFrontier Corp
436106108
3020.00000000
NS
USD
155681.00000000
0.144081580058
Long
EC
CORP
US
N
1
N
N
N
Cummins Inc
ZUNI8PYC725B6H8JU438
Cummins Inc
231021106
814.00000000
NS
USD
148848.04000000
0.137757727608
Long
EC
CORP
US
N
1
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
1781.00000000
NS
99845.86000000
0.092406583148
Long
EC
CORP
FR
N
2
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SS1XX74SP IRS EUR R V 06MLIBOR SPREAD OF IS1XX74 / Short: SS1XX74SP IRS EUR P V 06MLIBOR SPREAD OF IS1XX74
000000000
180000.00000000
OU
Notional Amount
23.92000000
0.000022137777
N/A
DIR
DE
N
N/A
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Euribor 6 Month
EUR006M Index
Y
2029-11-18
0.00000000
EUR
0.00000000
EUR
180000.00000000
EUR
23.92000000
N
N
N
Stryker Corp
5493002F0SC4JTBU5137
Stryker Corp
863667101
901.00000000
NS
USD
184578.86000000
0.170826329444
Long
EC
CORP
US
N
1
N
N
N
DNB ASA
5967007LIEEXZX78M803
DNB ASA
000000000
730.00000000
NS
12246.43000000
0.011333977713
Long
EC
CORP
NO
N
2
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: BS1X7H2SP IRS JPY R F .00500 SPREAD OF BS1X7H2 / Short: BS1X7H2SP IRS JPY P V 06MLIBOR SPREAD OF BS1X7H2
000000000
210000.00000000
OU
Notional Amount
-0.06000000
-0.00000005552
N/A
DIR
JP
N
N/A
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
ICE Libor Japan 6 Months
JPY0006M Index
Y
2029-10-28
0.00000000
JPY
0.00000000
JPY
210000.00000000
JPY
-0.06000000
N
N
N
Compass Group PLC
2138008M6MH9OZ6U2T68
Compass Group PLC
000000000
550.00000000
NS
13476.30000000
0.012472213033
Long
EC
CORP
GB
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
AJ62296 EURO STOXX 50 INDEX DEC19 3475 PUT
000000000
-510.00000000
NC
-2292.40000000
-0.00212159874
N/A
DE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
EURO STOXX 50 Index
SX5E Index
1.00000000
3475.00000000
EUR
2019-12-20
XXXX
4122.47000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-1880.75000000
-0.00174061980
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1384792.00000000
SEK
143081.46000000
USD
2020-01-08
-1880.75000000
N
N
N
Galenica AG
506700W4772BD8016Z20
Galenica AG
000000000
360.00000000
NS
21659.99000000
0.020046155813
Long
EC
CORP
CH
N
2
N
N
N
Vanguard Real Estate ETF
B1HNOZOSPCLXHIVBEI82
Vanguard Real Estate ETF
922908553
12015.00000000
NS
USD
1118236.05000000
1.034918949405
Long
EC
RF
US
N
1
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-5789.46000000
-0.00535810114
N/A
DFE
NO
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
247055.55000000
USD
2223645.66000000
NOK
2020-01-08
-5789.46000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
5553.42000000
0.005139647923
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
699370.00000000
CHF
707504.33000000
USD
2020-01-10
5553.42000000
N
N
N
UMH Properties Inc
529900OM5K3PJ11F0Q09
UMH Properties Inc
903002400
7000.00000000
NS
USD
181020.00000000
0.167532631613
Long
EP
US
N
1
N
N
N
BAE Systems PLC
8SVCSVKSGDWMW2QHOH83
BAE Systems PLC
000000000
2424.00000000
NS
17950.83000000
0.016613356477
Long
EC
CORP
GB
N
2
N
N
N
Aisin Seiki Co Ltd
3538004IOK08PDY6I723
Aisin Seiki Co Ltd
000000000
2200.00000000
NS
83277.60000000
0.077072784678
Long
EC
CORP
JP
N
2
N
N
N
Consolidated Edison Inc
54930033SBW53OO8T749
Consolidated Edison Inc
209115104
851.00000000
NS
USD
73943.39000000
0.068434044398
Long
EC
CORP
US
N
1
N
N
N
Gjensidige Forsikring ASA
5967007LIEEXZX6FAO47
Gjensidige Forsikring ASA
000000000
2601.00000000
NS
48915.75000000
0.045271154153
Long
EC
CORP
NO
N
2
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
-577.48000000
-0.00053445334
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1906000.00000000
CNY
270067.30000000
USD
2020-02-13
-577.48000000
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162100
1108.00000000
NS
USD
260069.76000000
0.240692582564
Long
EC
CORP
US
N
1
N
N
N
Constellation Software Inc/Canada
549300B6PYHMCTDWQV29
Constellation Software Inc/Canada
000000000
35.00000000
NS
37416.51000000
0.034628695094
Long
EC
CORP
CA
N
1
N
N
N
Auto Trader Group PLC
213800QLK9BZILB1DI86
Auto Trader Group PLC
000000000
3870.00000000
NS
28109.87000000
0.026015470640
Long
EC
CORP
GB
N
2
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
31159.94000000
0.028838287200
N/A
DFE
TR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
924800.40000000
USD
5501915.00000000
TRY
2019-12-05
31159.94000000
N
N
N
RELX PLC
549300WSX3VBUFFJOO66
RELX PLC
000000000
1553.00000000
NS
37624.00000000
0.034820725509
Long
EC
CORP
GB
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CZK
000000000
1.00000000
NC
-1260.49000000
-0.00116657389
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
6165000.00000000
CZK
265006.99000000
USD
2020-01-09
-1260.49000000
N
N
N
Pandora A/S
5299007OWYZ6I1E46843
Pandora A/S
000000000
664.00000000
NS
26730.57000000
0.024738938993
Long
EC
CORP
DK
N
1
N
N
N
iShares Mortgage Real Estate ETF
549300WLIJWYXGL2J018
iShares Mortgage Real Estate ETF
46435G342
55160.00000000
NS
USD
2422075.60000000
2.241612524772
Long
EC
RF
US
N
1
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
22976.37000000
0.021264455480
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
6302643.00000000
NOK
706814.66000000
USD
2020-01-08
22976.37000000
N
N
N
Mitsubishi Chemical Holdings Corp
353800YNKX4RQUGAR072
Mitsubishi Chemical Holdings Corp
000000000
20300.00000000
NS
150650.70000000
0.139426075711
Long
EC
CORP
JP
N
2
N
N
N
Fifth Third Bancorp
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773100
1152.00000000
NS
USD
34778.88000000
0.032187588614
Long
EC
CORP
US
N
1
N
N
N
Capgemini SE
96950077L0TN7BAROX36
Capgemini SE
000000000
166.00000000
NS
19636.75000000
0.018173662599
Long
EC
CORP
FR
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
1048.81000000
0.000970665668
N/A
DFE
SE
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
129376.90000000
USD
1245928.00000000
SEK
2020-01-08
1048.81000000
N
N
N
IGM Financial Inc
254900RYHLVJNTUFDA95
IGM Financial Inc
000000000
5405.00000000
NS
155440.04000000
0.143858573413
Long
EC
CORP
CA
N
1
N
N
N
Poste Italiane SpA
815600354DEDBD0BA991
Poste Italiane SpA
000000000
12442.00000000
NS
145038.68000000
0.134232193934
Long
EC
CORP
IT
N
2
N
N
N
Progressive Corp/The
529900TACNVLY9DCR586
Progressive Corp/The
743315103
340.00000000
NS
USD
24837.00000000
0.022986454377
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-146.83000000
-0.00013589004
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
204418.00000000
SEK
21251.97000000
USD
2020-01-08
-146.83000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-3056.82000000
-0.00282906363
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2806000.00000000
TRY
484487.01000000
USD
2019-12-05
-3056.82000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-5546.21000000
-0.00513297512
N/A
DFE
RU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
872723.20000000
USD
56098647.00000000
RUB
2020-01-17
-5546.21000000
N
N
N
Fortescue Metals Group Ltd
529900VEJFORCO6I4826
Fortescue Metals Group Ltd
000000000
26612.00000000
NS
175249.09000000
0.162191698351
Long
EC
CORP
AU
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
860.88000000
0.000796737884
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
100314.00000000
CHF
101545.07000000
USD
2020-01-10
860.88000000
N
N
N
PS Business Parks Inc
N/A
PS Business Parks Inc
69360J628
1600.00000000
NS
USD
40416.00000000
0.037404700250
Long
EP
US
N
1
N
N
London Clearing House
F226TOH6YD6XJB17KS62
Long: SS1XCH7 IRS CHF R F .00000 SS1XCH7 IRSLV511540/-0.23500 / Short: SS1XCH7 IRS CHF P V 06MLIBOR IS1XCI8 IRSLV511540 LCH
000000000
1090000.00000000
OU
Notional Amount
3309.64000000
0.003063046618
N/A
DIR
CH
N
2
London Clearing House
F226TOH6YD6XJB17KS62
ICE Libor CHF 6 Months
SF0006M Index
Y
2029-11-04
0.00000000
CHF
0.00000000
CHF
1090000.00000000
CHF
3309.64000000
N
N
N
ICADE
969500UDH342QLTE1M42
ICADE
000000000
1670.00000000
NS
167164.50000000
0.154709471866
Long
EC
FR
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2589.25000000
-0.00239633115
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
289386.93000000
USD
259435.00000000
EUR
2020-01-16
-2589.25000000
N
N
N
Rexford Industrial Realty Inc
549300MSLO0DF0EMX355
Rexford Industrial Realty Inc
76169C308
4725.00000000
NS
USD
122433.26000000
0.113311049855
Long
EP
US
N
1
N
N
N
Summit Hotel Properties Inc
N/A
Summit Hotel Properties Inc
866082506
3525.00000000
NS
USD
89741.21000000
0.083054806515
Long
EP
US
N
1
N
N
N
Annaly Capital Management Inc
2DTL0G3FPRYUT58TI025
Annaly Capital Management Inc
035710409
13005.00000000
NS
USD
121336.65000000
0.112296145650
Long
EC
US
N
1
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
5429.00000000
NS
170612.88000000
0.157900921298
Long
EC
CORP
FR
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
411.36000000
0.000380710547
N/A
DFE
SE
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
23521.61000000
USD
229000.00000000
SEK
2019-12-16
411.36000000
N
N
N
Aristocrat Leisure Ltd
529900TE2HO3OZKYKC27
Aristocrat Leisure Ltd
000000000
1537.00000000
NS
35300.07000000
0.032669945990
Long
EC
CORP
AU
N
2
N
N
N
Asx - Trade24
549300USWUR0S7VMM868
AUST 10Y BOND FUT DEC19 XSFE 20191216
000000000
10.00000000
NC
10247.67000000
0.009484140553
N/A
DIR
AU
N
1
Asx - Trade24
549300USWUR0S7VMM868
Long
10 Year Commonwealth Treasury Bond
XMZ9 Comdty
2019-12-16
1455365.49000000
AUD
10247.67000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1JNS3 IRS USD R F 2.46800 IS1JNS3 CCPVANILLA / Short: SS1JNS3 IRS USD P V 03MLIBOR IS1JNT4 CCPVANILLA
000000000
1200000.00000000
OU
Notional Amount
USD
82988.15000000
0.076804900907
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2028-01-09
0.00000000
USD
0.00000000
USD
1200000.00000000
USD
82988.15000000
N
N
N
London Clearing House
F226TOH6YD6XJB17KS62
Long: SS1SWH2SP IRS EUR R V 06MEURIB DUMMY FOR SS1SWH2 / Short: SS1SWH2SP IRS EUR P F .00000 DUMMY FOR SS1SWH2
000000000
200000.00000000
OU
Notional Amount
59.74000000
0.000055288915
N/A
DIR
US
N
N/A
London Clearing House
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-05-03
0.00000000
EUR
0.00000000
EUR
200000.00000000
EUR
59.74000000
N
N
N
Pebblebrook Hotel Trust
5493004Q1NNH6JXCSI52
Pebblebrook Hotel Trust
70509V605
1250.00000000
NS
USD
31475.00000000
0.029129872831
Long
EP
US
N
1
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SS1XCX3SP IRS EUR R V 06MLIBOR SPREAD OF SS1XCX3 / Short: SS1XCX3SP IRS EUR P V 06MLIBOR SPREAD OF SS1XCX3
000000000
100000.00000000
OU
Notional Amount
28.82000000
0.000026672690
N/A
DIR
DE
N
N/A
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Euribor 6 Month
EUR006M Index
Y
2029-11-04
0.00000000
EUR
0.00000000
EUR
100000.00000000
EUR
28.82000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1WJ17 IRS NZD R F 1.22000 IS1WJ17 CCPVANILLA / Short: SS1WJ17 IRS NZD P V 03MNZDBB IS1WJ28 CCPVANILLA
000000000
530000.00000000
OU
Notional Amount
-8047.69000000
-0.00744807581
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
New Zealand Bank Bills 3 Months
MNDBB3 Index
Y
2029-10-01
0.00000000
NZD
0.00000000
NZD
530000.00000000
NZD
-8047.69000000
N
N
N
Obayashi Corp
529900YT4O5S0LCXWD54
Obayashi Corp
000000000
8100.00000000
NS
85904.45000000
0.079503914350
Long
EC
CORP
JP
N
2
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
400000.00000000
PA
USD
377000.00000000
0.348910629312
Long
DBT
NUSS
NG
N
2
2047-11-28
Fixed
7.63000000
N
N
N
N
N
N
Investors Real Estate Trust
5493002LG2SH9EEHT720
Investors Real Estate Trust
461730400
1200.00000000
NS
USD
31236.00000000
0.028908680151
Long
EP
US
N
1
N
N
N
Voya Financial Inc
549300T065Z4KJ686G75
Voya Financial Inc
929089100
2800.00000000
NS
USD
163184.00000000
0.151025549426
Long
EC
CORP
US
N
1
N
N
N
Fortinet Inc
549300O0QJWDBAS0QX03
Fortinet Inc
34959E109
340.00000000
NS
USD
35737.40000000
0.033074691575
Long
EC
CORP
US
N
1
N
N
N
Colony Capital Inc
549300XG87L902AGBO89
Colony Capital Inc
19626G504
2500.00000000
NS
USD
57450.00000000
0.053169537543
Long
EP
US
N
1
N
N
N
Salmar ASA
5967007LIEEXZXGDBK67
Salmar ASA
000000000
710.00000000
NS
33798.06000000
0.031279847172
Long
EC
CORP
NO
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
61.99000000
0.000057371272
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4924000.00000000
THB
163170.63000000
USD
2020-01-16
61.99000000
N
N
N
Paycom Software Inc
254900LSB0HNJUDC6Q18
Paycom Software Inc
70432V102
675.00000000
NS
USD
186846.75000000
0.172925244370
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-4052.22000000
-0.00375029875
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1148455.00000000
SEK
116169.86000000
USD
2020-01-08
-4052.22000000
N
N
N
Zurich Insurance Group AG
529900QVNRBND50TXP03
Zurich Insurance Group AG
000000000
548.00000000
NS
215065.34000000
0.199041334543
Long
EC
CORP
CH
N
2
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135106
201.00000000
NS
USD
361960.80000000
0.334991964229
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS1VBG3 IRS AUD R V 06MBBSW IS1VBH4 CCPVANILLA / Short: BS1VBG3 IRS AUD P F 1.15125 IS1VBG3 CCPVANILLA
000000000
300000.00000000
OU
Notional Amount
690.94000000
0.000639459708
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2029-08-12
0.00000000
AUD
0.00000000
AUD
300000.00000000
AUD
690.94000000
N
N
N
Urstadt Biddle Properties Inc
549300XXD0YL0AER3Z82
Urstadt Biddle Properties Inc
917286882
5250.00000000
NS
USD
136237.50000000
0.126086768862
Long
EP
US
N
1
N
N
N
REXFORD INDUSTRIAL REALT
549300MSLO0DF0EMX355
Rexford Industrial Realty Inc
76169C407
3975.00000000
NS
USD
102515.25000000
0.094877083266
Long
EP
US
N
1
N
N
N
Stockland
N/A
Stockland
000000000
48199.00000000
NS
164588.07000000
0.152325005520
Long
EC
AU
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
19.13000000
0.000017704669
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
314000.00000000
NOK
34077.19000000
USD
2019-12-16
19.13000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1WAE7 IRS CHF R F .00000 SS1WAE7 -0.3825 FIX RATE LCH / Short: SS1WAE7 IRS CHF P V 06MLIBOR IS1WAF8 IRSLV511259 LCH
000000000
540000.00000000
OU
Notional Amount
-6089.32000000
-0.00563561929
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 6 Months
SF0006M Index
Y
2029-09-24
0.00000000
CHF
0.00000000
CHF
540000.00000000
CHF
-6089.32000000
N
N
N
Taubman Centers Inc
N/A
Taubman Centers Inc
876664707
2800.00000000
NS
USD
71596.00000000
0.066261552828
Long
EP
US
N
1
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial Inc
03076C106
1071.00000000
NS
USD
175504.77000000
0.162428328244
Long
EC
CORP
US
N
1
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122108
447.00000000
NS
USD
25452.18000000
0.023555798782
Long
EC
CORP
US
N
1
N
N
N
Fidelity National Information Services Inc
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620M106
140.00000000
NS
USD
19341.00000000
0.017899948226
Long
EC
CORP
US
N
1
N
N
N
Ashford Hospitality Trust Inc
N/A
Ashford Hospitality Trust Inc
044103703
4000.00000000
NS
USD
85720.00000000
0.079333207280
Long
EP
US
N
1
N
N
N
Eutelsat Communications SA
549300EFWH9UR17YSK05
Eutelsat Communications SA
000000000
7844.00000000
NS
128680.37000000
0.119092702591
Long
EC
CORP
FR
N
2
N
N
JPMorgan Chase Bank, National Association
549300OA79DKM2EKBT58
Long: IS1XXD0SP TRS USD R F .20000 IS1XXD0/-.2BPS / Short: IS1XXD0SP TRS USD P F .00000 IS1XXD0 IS1XXE1
000000000
0.00000000
OU
Notional Amount
USD
16.60000000
0.000015363173
N/A
DE
US
N
2
JPMorgan Chase Bank, National Association
549300OA79DKM2EKBT58
N/A
N/A
Y
equity-performance leg
2020-02-18
0.00000000
USD
0.00000000
USD
0.00000000
USD
16.60000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
134.77000000
0.000124728608
N/A
DFE
SE
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
21264.03000000
USD
204418.00000000
SEK
2020-01-08
134.77000000
N
N
N
Oracle Corp Japan
529900MIMKY9RU60Z323
Oracle Corp Japan
000000000
400.00000000
NS
36834.44000000
0.034089993742
Long
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1VRT8 IRS CHF R F .00000 SS1VRT8/LCH/-0.61 / Short: SS1VRT8 IRS CHF P V 06MLIBOR IS1VRU9 IRSLV511180 LCH
000000000
210000.00000000
OU
Notional Amount
-7009.70000000
-0.00648742397
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 6 Months
SF0006M Index
Y
2029-09-02
0.00000000
CHF
0.00000000
CHF
210000.00000000
CHF
-7009.70000000
N
N
N
Eli Lilly & Co
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457108
1285.00000000
NS
USD
150794.75000000
0.139559392890
Long
EC
CORP
US
N
1
N
N
N
Aegon NV
O4QK7KMMK83ITNTHUG69
Aegon NV
000000000
17588.00000000
NS
79205.82000000
0.073304383292
Long
EC
CORP
NL
N
2
N
N
N
CenterPoint Energy Inc
21TPXMRRHFKOBHDC8J74
CenterPoint Energy Inc
15189T107
5915.00000000
NS
USD
145272.40000000
0.134448500015
Long
EC
CORP
US
N
1
N
N
N
Ice Futures Europe - Financial Products Division
5R6J7JCQRIPQR1EEP713
LONG GILT FUTURE MAR20 IFLL 20200327
000000000
5.00000000
NC
-147.63000000
-0.00013663044
N/A
DIR
GB
N
1
Ice Futures Europe - Financial Products Division
5R6J7JCQRIPQR1EEP713
Long
United Kingdom Gilt
G H0 Comdty
2020-03-27
663914.15000000
GBP
-147.63000000
N
N
N
JPMorgan Chase Bank, National Association
549300OA79DKM2EKBT58
Long: IS1XXD0 TRS USD R E IS1XXD0 / Short: IS1XXD0 TRS USD P F .20000 IS1XXD0 IS1XXE1
000000000
166050.06000000
OU
Notional Amount
USD
11082.94000000
0.010257176578
N/A
DE
US
N
2
JPMorgan Chase Bank, National Association
549300OA79DKM2EKBT58
JPQABHY1
JPQABHY1
LAMAR ADVERTISING CO-A_LAMR
96.97000000
USD
8090.13000000
USD
CONSTELLIUM SE_CSTM
548.31000000
USD
7753.04000000
USD
SENSATA TECHNOLOGIES HOLDING_ST
151.95000000
USD
7824.00000000
USD
IQVIA HOLDINGS INC_IQV
55.18000000
USD
8054.64000000
USD
MARRIOTT VACATIONS WORLD_VAC
67.59000000
USD
8303.02000000
USD
UBER TECHNOLOGIES INC_UBER
-159.43000000
USD
-4719.24000000
USD
ELDORADO RESORTS INC_ERI
155.83000000
USD
8338.51000000
USD
LIONS GATE ENTERTAINMENT-A_LGF/A
-455.40000000
USD
-4257.96000000
USD
TELEFLEX INC_TFX
23.55000000
USD
8320.77000000
USD
SABRE CORP_SABR
348.82000000
USD
7824.00000000
USD
AES CORP_AES
436.27000000
USD
8249.80000000
USD
CDW CORP/DE_CDW
58.46000000
USD
7894.97000000
USD
VEON LTD_VEON
3272.77000000
USD
8640.11000000
USD
CARVANA CO_CVNA
-56.58000000
USD
-5393.42000000
USD
SRC ENERGY INC_SRCI
-1088.34000000
USD
-3885.39000000
USD
INTELSAT SA_I
-294.72000000
USD
-1791.89000000
USD
STARWOOD PROPERTY TRUST INC_STWD
329.49000000
USD
8072.38000000
USD
OCEANEERING INTL INC_OII
-316.20000000
USD
-4240.22000000
USD
COMMSCOPE HOLDING CO INC_COMM
-285.69000000
USD
-3885.39000000
USD
SPECTRUM BRANDS HOLDINGS INC_SPB
130.82000000
USD
8178.83000000
USD
GENESIS ENERGY L.P._GEL
-230.52000000
USD
-4382.15000000
USD
CARTER'S INC_CRI
75.22000000
USD
7770.78000000
USD
KKR & CO INC -A_KKR
-144.99000000
USD
-4275.70000000
USD
LADDER CAPITAL CORP-REIT_LADR
467.91000000
USD
8090.13000000
USD
J.P. Morgan Cash Index USD 1 M_JPCAUS1M
-550.22000000
USD
-166255.63000000
USD
NORWEGIAN CRUISE LINE HOLDIN_NCLH
151.81000000
USD
8143.35000000
USD
MOLINA HEALTHCARE INC_MOH
65.07000000
USD
8817.53000000
USD
GARTNER INC_IT
49.31000000
USD
7912.71000000
USD
CHEMOURS CO/THE_CC
-225.84000000
USD
-3566.04000000
USD
VECTOR GROUP LTD_VGR
-364.33000000
USD
-4896.66000000
USD
TESLA INC_TSLA
-12.31000000
USD
-4062.80000000
USD
REXNORD CORP_RXN
261.15000000
USD
8249.80000000
USD
CROWN HOLDINGS INC_CCK
106.12000000
USD
8054.64000000
USD
FIVE POINT HOLDINGS LLC-CL A_FPH
-623.35000000
USD
-4382.15000000
USD
PLANTRONICS INC_PLT
-168.73000000
USD
-4275.70000000
USD
LENNAR CORP-A_LEN
133.54000000
USD
7965.94000000
USD
LOEWS CORP_L
-84.70000000
USD
-4311.19000000
USD
HD SUPPLY HOLDINGS INC_HDS
195.59000000
USD
7788.52000000
USD
DELPHI TECHNOLOGIES PLC_DLPH
-346.00000000
USD
-4311.19000000
USD
ARCHROCK INC_AROC
-485.20000000
USD
-4080.55000000
USD
GRUBHUB INC_GRUB
-116.44000000
USD
-5020.85000000
USD
US FOODS HOLDING CORP_USFD
199.85000000
USD
7948.19000000
USD
FIAT CHRYSLER AUTOMOBILES NV_FCAU
497.96000000
USD
7344.98000000
USD
L BRANDS INC_LB
-247.49000000
USD
-4736.98000000
USD
COLFAX CORP_CFX
233.75000000
USD
7877.23000000
USD
TALLGRASS ENERGY LP-CLASS A_TGE
-235.76000000
USD
-4222.48000000
USD
UNITED RENTALS INC_URI
-28.28000000
USD
-4328.93000000
USD
SOUTHWESTERN ENERGY CO_SWN
-1988.61000000
USD
-3619.27000000
USD
CHARTER COMMUNICATIONS INC-A_CHTR
16.50000000
USD
7753.04000000
USD
ADIENT PLC_ADNT
-202.09000000
USD
-4417.63000000
USD
BOYD GAMING CORP_BYD
272.06000000
USD
8001.42000000
USD
HOLOGIC INC_HOLX
168.70000000
USD
8657.85000000
USD
MSCI INC_MSCI
31.76000000
USD
8232.06000000
USD
ACADIA HEALTHCARE CO INC_ACHC
256.52000000
USD
8249.80000000
USD
PEABODY ENERGY CORP_BTU
-439.87000000
USD
-4257.96000000
USD
APOLLO GLOBAL MANAGEMENT INC_APO
-98.83000000
USD
-4328.93000000
USD
QORVO INC_QRVO
76.10000000
USD
7930.45000000
USD
WELLCARE HEALTH PLANS INC_WCG
26.00000000
USD
8373.99000000
USD
NGL ENERGY PARTNERS LP_NGL
-418.08000000
USD
-4151.51000000
USD
BALL CORP_BLL
121.39000000
USD
8019.16000000
USD
TRANSOCEAN LTD_RIG
-879.95000000
USD
-4382.15000000
USD
DISH NETWORK CORP-A_DISH
-125.65000000
USD
-4293.44000000
USD
ENLINK MIDSTREAM LLC_ENLC
-784.36000000
USD
-3725.72000000
USD
HANNON ARMSTRONG SUSTAINABLE_HASI
277.46000000
USD
8143.35000000
USD
WYNDHAM HOTELS & RESORTS INC_WH
146.39000000
USD
8480.44000000
USD
VERISIGN INC_VRSN
42.60000000
USD
8125.61000000
USD
CNX RESOURCES CORP_CNX
-510.93000000
USD
-3530.56000000
USD
HILTON WORLDWIDE HOLDINGS IN_HLT
80.94000000
USD
8498.18000000
USD
CRESTWOOD EQUITY PARTNERS LP_CEQP
-132.00000000
USD
-4186.99000000
USD
PDC ENERGY INC_PDCE
-169.38000000
USD
-3849.91000000
USD
CENTENNIAL RESOURCE DEVELO-A_CDEV
-1303.34000000
USD
-4027.32000000
USD
CIT GROUP INC_CIT
178.12000000
USD
8107.87000000
USD
MATADOR RESOURCES CO_MTDR
-297.37000000
USD
-4186.99000000
USD
SM ENERGY CO_SM
-463.29000000
USD
-3849.91000000
USD
HOLLYFRONTIER CORP_HFC
150.40000000
USD
7753.04000000
USD
LAMB WESTON HOLDINGS INC_LW
97.60000000
USD
8196.57000000
USD
ARES MANAGEMENT CORP - A_ARES
-133.50000000
USD
-4417.63000000
USD
ELANCO ANIMAL HEALTH INC_ELAN
304.12000000
USD
8427.21000000
USD
MICHAELS COS INC/THE_MIK
-477.16000000
USD
-3903.13000000
USD
UNITI GROUP INC_UNIT
-652.11000000
USD
-4382.15000000
USD
YUM! BRANDS INC_YUM
80.36000000
USD
8090.13000000
USD
TRONOX HOLDINGS PLC- A_TROX
-387.62000000
USD
-4488.60000000
USD
Y
equity-performance leg
2020-02-18
0.00000000
USD
0.00000000
USD
166050.06000000
USD
11082.94000000
N
N
N
Target Corp
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612E106
267.00000000
NS
USD
33377.67000000
0.030890779428
Long
EC
CORP
US
N
1
N
N
N
Principal Financial Group Inc
CUMYEZJOAF02RYZ1JJ85
Principal Financial Group Inc
74251V102
2809.00000000
NS
USD
154775.90000000
0.143243916900
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
1579.49000000
0.001461805967
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
862643.00000000
NOK
95176.46000000
USD
2020-01-08
1579.49000000
N
N
N
Leidos Holdings Inc
549300IUTGTP6EJP8124
Leidos Holdings Inc
525327102
578.00000000
NS
USD
52505.52000000
0.048593458953
Long
EC
CORP
US
N
1
N
N
N
PNC Financial Services Group Inc/The
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475105
190.00000000
NS
USD
29109.90000000
0.026940990791
Long
EC
CORP
US
N
1
N
N
N
Enel SpA
WOCMU6HCI0OJWNPRZS33
Enel SpA
000000000
28969.00000000
NS
218949.96000000
0.202636520773
Long
EC
CORP
IT
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-11809.07000000
-0.01092920436
N/A
DFE
MX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
782871.64000000
USD
15162319.00000000
MXN
2020-01-07
-11809.07000000
N
N
N
American International Group Inc
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874784
270.00000000
NS
USD
14218.20000000
0.013158835834
Long
EC
CORP
US
N
1
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718109
2931.00000000
NS
USD
357757.86000000
0.331102175263
Long
EC
CORP
US
N
1
N
N
N
Chevron Corp
N/A
Chevron Corp
166764100
3333.00000000
NS
USD
390394.29000000
0.361306942716
Long
EC
CORP
US
N
1
N
N
N
Citrix Systems Inc
HCTKJGUQOPZ5NBK7NP58
Citrix Systems Inc
177376100
160.00000000
NS
USD
18049.60000000
0.016704767360
Long
EC
CORP
US
N
1
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
3.47000000
0.000003211458
N/A
DFE
PH
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
411725.36000000
USD
20928000.00000000
PHP
2019-12-06
3.47000000
N
N
N
Persimmon PLC
213800XI72Y57UWN6F31
Persimmon PLC
000000000
5164.00000000
NS
170764.09000000
0.158040865002
Long
EC
CORP
GB
N
2
N
N
N
Next PLC
213800WQD8ECPZP9PH98
Next PLC
000000000
798.00000000
NS
69725.92000000
0.064530808028
Long
EC
CORP
GB
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-2062.05000000
-0.00190841157
N/A
DFE
NO
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
160167.52000000
USD
1457190.00000000
NOK
2020-01-08
-2062.05000000
N
N
N
Republic of Senegal
549300NP14ZLQGWIUZ97
Senegal Government International Bond
000000000
400000.00000000
PA
USD
389875.00000000
0.360826343775
Long
DBT
NUSS
SN
N
2
2048-03-13
Fixed
6.75000000
N
N
N
N
N
N
Global Payments Inc
549300NOMHGVQBX6S778
Global Payments Inc
37940X102
78.00000000
NS
USD
14125.80000000
0.013073320338
Long
EC
CORP
US
N
1
N
N
N
BP PLC
213800LH1BZH3DI6G760
BP PLC
055622104
9288.00000000
NS
USD
347556.96000000
0.321661319988
Long
EC
CORP
GB
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
8870.87000000
0.008209922637
N/A
DFE
SE
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
366365.07000000
USD
3584546.00000000
SEK
2020-01-08
8870.87000000
N
N
N
Republic Services Inc
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759100
174.00000000
NS
USD
15425.10000000
0.014275812594
Long
EC
CORP
US
N
1
N
N
N
Experian PLC
635400RXXHHYT1JTSZ26
Experian PLC
000000000
810.00000000
NS
26868.62000000
0.024866703217
Long
EC
CORP
GB
N
2
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933Y105
3898.00000000
NS
USD
339827.64000000
0.314507893183
Long
EC
CORP
US
N
1
N
N
N
Agilent Technologies Inc
QUIX8Y7A2WP0XRMW7G29
Agilent Technologies Inc
00846U101
765.00000000
NS
USD
61789.05000000
0.057185295278
Long
EC
CORP
US
N
1
N
N
N
UMH Properties Inc
529900OM5K3PJ11F0Q09
UMH Properties Inc
903002509
5800.00000000
NS
USD
145000.00000000
0.134196395889
Long
EP
US
N
1
N
N
N
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746101
210.00000000
NS
USD
11436.60000000
0.010584486215
Long
EC
CORP
US
N
1
N
N
N
Invesco KBW Premium Yield Equity REIT ETF
5493000J8NL35GW98S42
Invesco KBW Premium Yield Equity REIT ETF
46138E594
16230.00000000
NS
USD
509459.70000000
0.471501073041
Long
EC
RF
US
N
1
N
N
N
HP Inc
WHKXQACZ14C5XRO8LW03
HP Inc
40434L105
1658.00000000
NS
USD
33292.64000000
0.030812084811
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Alerian MLP Index ETN
8I5DZWZKVSZI1NUHU748
JPMorgan Alerian MLP Index ETN
46625H365
127127.00000000
NS
USD
2560337.78000000
2.369573119557
Long
EC
RF
US
N
1
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1WB66 IRS NZD R F 1.24750 IS1WB66 CCPVANILLA / Short: SS1WB66 IRS NZD P V 03MNZDBB IS1WB77 CCPVANILLA
000000000
290000.00000000
OU
Notional Amount
-3875.62000000
-0.00358685679
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
New Zealand Bank Bills 3 Months
MNDBB3 Index
Y
2029-09-24
0.00000000
NZD
0.00000000
NZD
290000.00000000
NZD
-3875.62000000
N
N
N
AltaGas Ltd
DR5LKEURSR8SXLM64266
AltaGas Ltd
000000000
3169.00000000
NS
46999.40000000
0.043497586820
Long
EC
CORP
CA
N
1
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343V104
5240.00000000
NS
USD
315657.60000000
0.292138705207
Long
EC
CORP
US
N
1
N
N
N
SL Green Realty Corp
549300VQZPJU97H3GT17
SL Green Realty Corp
78440X507
800.00000000
NS
USD
20624.00000000
0.019087354957
Long
EP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
4521.20000000
0.004184336173
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
543000.00000000
CHF
549525.06000000
USD
2020-01-10
4521.20000000
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005N100
5267.00000000
NS
USD
167701.28000000
0.155206257669
Long
EC
CORP
US
N
1
N
N
N
Mastercard Inc
AR5L2ODV9HN37376R084
MasterCard, Inc. Class A
57636Q104
1229.00000000
NS
USD
359150.67000000
0.332391210312
Long
EC
CORP
US
N
1
N
N
N
SAUL CENTERS INC
N/A
Saul Centers Inc
804395879
1500.00000000
NS
USD
40035.00000000
0.037052087651
Long
EP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS1L1V8 IRS USD R F 2.93050 IS1L1V8 CCPVANILLA / Short: SS1L1V8 IRS USD P V 03MLIBOR IS1L1W9 CCPVANILLA
000000000
660000.00000000
OU
Notional Amount
USD
66372.19000000
0.061426956450
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2028-03-09
0.00000000
USD
0.00000000
USD
660000.00000000
USD
66372.19000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SS1VY86SP IRS EUR R V 06MLIBOR SPREAD OF SS1VY86 / Short: SS1VY86SP IRS EUR P F .15700 SPREAD OF SS1VY86
000000000
280000.00000000
OU
Notional Amount
176.59000000
0.000163432700
N/A
DIR
DE
N
N/A
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
N/A
N/A
Y
2029-09-12
0.00000000
EUR
0.00000000
EUR
280000.00000000
EUR
176.72000000
N
N
N
Sysco Corp
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829107
309.00000000
NS
USD
24889.95000000
0.023035459199
Long
EC
CORP
US
N
1
N
N
N
National Retail Properties Inc
5493008JKH5SOTI0JS97
National Retail Properties Inc
637417874
5000.00000000
NS
USD
126250.00000000
0.116843413662
Long
EP
US
N
1
N
N
N
Unilever PLC
549300MKFYEKVRWML317
Unilever PLC
000000000
342.00000000
NS
20259.23000000
0.018749763099
Long
EC
CORP
GB
N
2
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SS1VRT8SP IRS CHF R V 06MLIBOR SPREAD OF SS1VRT8 / Short: SS1VRT8SP IRS CHF P F .61000 SPREAD OF SS1VRT8
000000000
210000.00000000
OU
Notional Amount
131.27000000
0.000121489385
N/A
DIR
CH
N
N/A
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
N/A
N/A
Y
2029-09-02
0.00000000
CHF
0.00000000
CHF
210000.00000000
CHF
131.74000000
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
12029.54000000
0.011133247670
N/A
DFE
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
6838357.00000000
NOK
753992.93000000
USD
2020-01-08
12029.54000000
N
N
N
iShares International Developed Real Estate ETF
INVI5FZOBFS7HNRDSB27
iShares International Developed Real Estate ETF
464288489
31663.00000000
NS
USD
965404.87000000
0.893474856056
Long
EC
RF
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD HKD
000000000
1.00000000
NC
-24.41000000
-0.00002259126
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
112000.00000000
HKD
14281.22000000
USD
2019-12-16
-24.41000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1X835 IRS SEK R F .46500 IS1X835 CCPVANILLA / Short: SS1X835 IRS SEK P V 03MSTIBO IS1X846 CCPVANILLA
000000000
1620000.00000000
OU
Notional Amount
-1598.12000000
-0.00147904789
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Stockholm Interbank Offer Rate 3 Months
STIB3M Index
Y
2029-10-28
0.00000000
SEK
0.00000000
SEK
1620000.00000000
SEK
-1598.12000000
N
N
N
Morinaga & Co Ltd/Japan
N/A
Morinaga & Co Ltd/Japan
000000000
300.00000000
NS
15302.73000000
0.014162560091
Long
EC
CORP
JP
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
283.95000000
0.000262793562
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
44000.00000000
AUD
30056.44000000
USD
2019-12-16
283.95000000
N
N
N
Gladstone Commercial Corp
529900EVVV534W8R0T32
Gladstone Commercial Corp
376536603
7711.00000000
NS
USD
200871.55000000
0.185905089977
Long
EP
US
N
1
N
N
N
Las Vegas Sands Corp
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834107
2512.00000000
NS
USD
157628.00000000
0.145883513732
Long
EC
CORP
US
N
1
N
N
N
GlaxoSmithKline PLC
5493000HZTVUYLO1D793
GlaxoSmithKline PLC
000000000
221.00000000
NS
5021.02000000
0.004646915777
Long
EC
CORP
GB
N
2
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216100
179.00000000
NS
USD
9558.60000000
0.008846411515
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
AJ62348 S+P 500 INDEX DEC19 2945 PUT
000000000
-2100.00000000
NC
USD
-7754.07000000
-0.00717633274
N/A
DE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Put
Written
S&P 500 Index
SPX Index
1.00000000
2945.00000000
USD
2019-12-20
XXXX
23745.93000000
N
N
N
Berkshire Hathaway Inc
5493000C01ZX7D35SD85
Berkshire Hathaway Inc
084670702
177.00000000
NS
USD
38993.10000000
0.036087817134
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-54.60000000
-0.00005053188
N/A
DFE
NZ
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
116933.05000000
USD
181923.00000000
NZD
2020-01-17
-54.60000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
1182.46000000
0.001094357726
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
221921.00000000
CHF
223922.42000000
USD
2020-01-10
1182.46000000
N
N
N
BHP Group Ltd
WZE1WSENV6JSZFK0JC28
BHP Billiton Ltd
000000000
7465.00000000
NS
192486.37000000
0.178144669736
Long
EC
CORP
AU
N
2
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO STOXX 50 DEC19 XEUR 20191220
000000000
-26.00000000
NC
-54870.95000000
-0.05078264640
N/A
DE
DE
N
2
Eurex Deutschland
529900LN3S50JPU47S06
Short
EURO STOXX 50 Index
VGZ9 Index
2019-12-20
-911956.00000000
EUR
-54870.95000000
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K107
114.00000000
NS
USD
148765.44000000
0.137681281937
Long
EC
CORP
US
N
1
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494103
2012.00000000
NS
USD
180858.68000000
0.167383331181
Long
EC
CORP
US
N
1
N
N
N
National Storage Affiliates Trust
N/A
National Storage Affiliates Trust
637870205
5700.00000000
NS
USD
152760.00000000
0.141378216800
Long
EP
US
N
1
N
N
N
Endesa SA
549300LHK07F2CHV4X31
Endesa SA
000000000
5710.00000000
NS
155224.91000000
0.143659472236
Long
EC
CORP
ES
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
153.71000000
0.000142257434
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
135052.00000000
EUR
149449.68000000
USD
2020-01-16
153.71000000
N
N
N
Metso OYJ
2138007FRMWVPUDCMA45
Metso OYJ
000000000
4074.00000000
NS
156207.87000000
0.144569194231
Long
EC
CORP
FI
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS1JSG6 IRS USD R F 2.55750 IS1JSG6 CCPVANILLA / Short: SS1JSG6 IRS USD P V 03MLIBOR IS1JSH7 CCPVANILLA
000000000
300000.00000000
OU
Notional Amount
USD
22728.52000000
0.021035072192
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2028-01-16
0.00000000
USD
0.00000000
USD
300000.00000000
USD
22728.52000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-5087.68000000
-0.00470860909
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
420615.48000000
USD
414000.00000000
CHF
2020-01-10
-5087.68000000
N
N
N
Nippon Building Fund Inc
52990053R8NL2MB32172
Nippon Building Fund Inc
000000000
3.00000000
NS
22508.32000000
0.020831278769
Long
EC
JP
N
2
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: IS19QA6 IRS USD R V 12MLIBOR IS19QB7 CPILV506063 / Short: IS19QA6 IRS USD P F 1.89600 IS19QA6 CPILV506063
000000000
400000.00000000
OU
Notional Amount
USD
3.33000000
0.000003081889
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
US CPI Urban Consumers NSA
CPURNSA Index
Y
2021-11-10
0.00000000
USD
0.00000000
USD
400000.00000000
USD
3.33000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS1EYA7 IRS EUR R F .76200 IS1EYA7 CCPVANILLA / Short: SS1EYA7 IRS EUR P V 06MEURIB IS1EYB8 CCPVANILLA
000000000
110000.00000000
OU
Notional Amount
8358.31000000
0.007735552260
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Euribor 6 Month
EUR006M Index
Y
2027-06-02
0.00000000
EUR
0.00000000
EUR
110000.00000000
EUR
8358.31000000
N
N
N
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
HANG SENG IDX FUT DEC19 XHKF 20191230
000000000
-2.00000000
NC
12149.36000000
0.011244140168
N/A
DE
HK
N
2
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
Short
Hang Seng Index
HIZ9 Index
2019-12-30
-2728716.22000000
HKD
12149.36000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS1VQL3 IRS GBP R V 06MLIBOR IS1VQM4 CCPVANILLA / Short: BS1VQL3 IRS GBP P F .58300 IS1VQL3 CCPVANILLA
000000000
440000.00000000
OU
Notional Amount
17653.17000000
0.016337874413
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2029-08-29
0.00000000
GBP
0.00000000
GBP
440000.00000000
GBP
17653.17000000
N
N
N
SSE PLC
549300KI75VYLLMSK856
SSE PLC
000000000
10100.00000000
NS
169809.74000000
0.157157621344
Long
EC
CORP
GB
N
2
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320102
1764.00000000
NS
USD
165145.68000000
0.152841069329
Long
EC
CORP
US
N
1
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
S+P/TSX 60 IX FUT DEC19 XMOD 20191219
000000000
-6.00000000
NC
-22671.62000000
-0.02098241167
N/A
DE
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
S&P/TSX 60 Index
PTZ9 Index
2019-12-19
-1191125.29000000
CAD
-22671.62000000
N
N
N
ResMed Inc
529900T3QE5253CCXF22
ResMed Inc
761152107
1180.00000000
NS
USD
176528.00000000
0.163375319817
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
13449.71000000
0.012447604191
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1005985.00000000
AUD
694826.04000000
USD
2020-01-23
13449.71000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-121.86000000
-0.00011278050
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
286919.54000000
USD
259435.00000000
EUR
2020-01-16
-121.86000000
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
200000.00000000
PA
USD
194000.00000000
0.179545522776
Long
DBT
NUSS
LK
N
2
2029-03-14
Fixed
7.85000000
N
N
N
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508104
2003.00000000
NS
USD
240780.63000000
0.222840639627
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
3412.21000000
0.003157974372
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
190537.00000000
CHF
194652.36000000
USD
2020-01-10
3412.21000000
N
N
N
Pebblebrook Hotel Trust
5493004Q1NNH6JXCSI52
Pebblebrook Hotel Trust
70509V506
3700.00000000
NS
USD
93980.00000000
0.086977774384
Long
EP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1NK62 IRS EUR R F .87050 IS1NK62 CCPVANILLA / Short: SS1NK62 IRS EUR P V 06MEURIB IS1NK73 CCPVANILLA
000000000
1870000.00000000
OU
Notional Amount
168460.26000000
0.155908687880
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2028-07-16
0.00000000
EUR
0.00000000
EUR
1870000.00000000
EUR
168460.26000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
3012.26000000
0.002787823692
N/A
DFE
SE
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
606234.53000000
USD
5820000.00000000
SEK
2020-01-08
3012.26000000
N
N
N
Omnicom Group Inc
HKUPACFHSSASQK8HLS17
Omnicom Group Inc
681919106
1911.00000000
NS
USD
151886.28000000
0.140569595593
Long
EC
CORP
US
N
1
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-5483.84000000
-0.00507525216
N/A
DFE
NO
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
180980.47000000
USD
1618000.00000000
NOK
2019-12-16
-5483.84000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
4120.28000000
0.003813287765
N/A
DFE
NZ
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
319101.26000000
USD
503099.00000000
NZD
2020-01-17
4120.28000000
N
N
N
Applied Materials Inc
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222105
3380.00000000
NS
USD
195702.00000000
0.181120710816
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
4893.26000000
0.004528674870
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
3913657.00000000
NOK
429525.99000000
USD
2020-01-08
4893.26000000
N
N
N
Vornado Realty Trust
N/A
Vornado Realty Trust
929042109
2520.00000000
NS
USD
162716.40000000
0.150592789187
Long
EC
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT DEC19 XCME 20191220
000000000
9.00000000
NC
USD
46120.30000000
0.042683986464
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
E-mini S&P 500 Index
ESZ9 Index
2019-12-20
1368544.70000000
USD
46120.30000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: IS1XTH6 TRS USD R E IS1XTH6 EQUITYTRS / Short: IS1XTH6 TRS USD P V 03MLIBOR IS1XTI7 EQUITYTRS
000000000
1052897.63000000
OU
Notional Amount
USD
18997.99000000
0.017582495083
N/A
DE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
GSABHY01
GSABHY01
GSABHYS1_GSABHYS1
-11766.92000000
USD
-1193401.00000000
USD
RUSSELL 1000 INDEX_RIY
21.52000000
USD
37375.87000000
USD
RUSSELL 2000 INDEX_RTY
23.50000000
USD
38170.92000000
USD
Y
equity-performance leg
2020-02-18
0.00000000
USD
0.00000000
USD
1052897.63000000
USD
18997.99000000
N
N
N
Air Canada
4B4HI3CGXMBDC0G6BM51
Air Canada
000000000
470.00000000
NS
17709.48000000
0.016389988890
Long
EC
CORP
CA
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED HKD / SOLD USD
000000000
1.00000000
NC
-1.37000000
-0.00000126792
N/A
DFE
HK
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
6375.04000000
USD
49900.00000000
HKD
2019-12-16
-1.37000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-406.36000000
-0.00037608308
N/A
DFE
NZ
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
517587.55000000
USD
805000.00000000
NZD
2020-01-17
-406.36000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
5049.37000000
0.004673153486
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
48384000.00000000
HUF
164760.79000000
USD
2020-01-09
5049.37000000
N
N
N
AGNC Investment Corp
5TRACI5HRMELWV32OF39
AGNC Investment Corp
00123Q104
9753.00000000
NS
USD
168921.96000000
0.156335987714
Long
EC
US
N
1
N
N
N
Elisa OYJ
743700TU2S3DXWGU7H32
Elisa OYJ
000000000
3098.00000000
NS
165582.84000000
0.153245657580
Long
EC
CORP
FI
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
AJ62304 FTSE 100 INDEX DEC19 7050 PUT
000000000
-110.00000000
NC
-2171.54000000
-0.00200974373
N/A
DE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
FTSE 100 Index
UKX Index
1.00000000
7050.00000000
GBP
2019-12-20
XXXX
3342.40000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1532.99000000
-0.00141877057
N/A
DFE
XX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
876555.83000000
USD
791539.00000000
EUR
2020-01-16
-1532.99000000
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
580135101
133.00000000
NS
USD
25865.84000000
0.023938637963
Long
EC
CORP
US
N
1
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-218.98000000
-0.00020266432
N/A
DFE
CH
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
729153.11000000
USD
726254.00000000
CHF
2020-01-10
-218.98000000
N
N
N
Sunstone Hotel Investors Inc
N/A
Sunstone Hotel Investors Inc
867892705
5125.00000000
NS
USD
132635.00000000
0.122752682543
Long
EP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
2235.24000000
0.002068697599
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
161606.00000000
CHF
164437.62000000
USD
2020-01-10
2235.24000000
N
N
N
Barratt Developments PLC
2138006R85VEOF5YNK29
Barratt Developments PLC
000000000
18344.00000000
NS
158147.21000000
0.146364038634
Long
EC
CORP
GB
N
2
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448108
2262.00000000
NS
USD
307247.46000000
0.284355184677
Long
EC
CORP
US
N
1
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460W875
700.00000000
NS
USD
17626.00000000
0.016312728785
Long
EP
US
N
1
N
N
N
Pebblebrook Hotel Trust
5493004Q1NNH6JXCSI52
Pebblebrook Hotel Trust
70509V704
2400.00000000
NS
USD
60576.00000000
0.056062626740
Long
EP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-7.34000000
-0.00000679311
N/A
DFE
AU
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
10833.70000000
USD
16000.00000000
AUD
2019-12-16
-7.34000000
N
N
N
LIXIL Group Corp
353800KB8G4F9WUJJ886
LIXIL Group Corp
000000000
8200.00000000
NS
138628.04000000
0.128299195429
Long
EC
CORP
JP
N
2
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
000000000
23519.00000000
NS
166586.83000000
0.154174842680
Long
EC
CORP
FI
N
1
N
N
N
General Mills Inc
2TGYMUGI08PO8X8L6150
General Mills Inc
370334104
3226.00000000
NS
USD
172010.32000000
0.159194241377
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS0XDA8 IRS USD R F 2.63000 IS0XDA8 CCPVANILLA / Short: SS0XDA8 IRS USD P V 03MLIBOR IS0XDB9 CCPVANILLA
000000000
220000.00000000
OU
Notional Amount
USD
36123.71000000
0.033432218539
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2045-08-21
0.00000000
USD
0.00000000
USD
220000.00000000
USD
36123.71000000
N
N
N
Republic of Gabon
N/A
Gabon Government International Bond
000000000
200000.00000000
PA
USD
199750.00000000
0.184867103992
Long
DBT
NUSS
US
N
2
2024-12-12
Fixed
6.38000000
N
N
N
N
N
N
Ashford Hospitality Trust Inc
N/A
Ashford Hospitality Trust Inc
044103885
2350.00000000
NS
USD
51112.50000000
0.047304229551
Long
EP
US
N
1
N
N
Check Point Software Technologies Ltd
2549003ZVBH73EPNS513
Check Point Software Technologies Ltd
000000000
341.00000000
NS
USD
40197.08000000
0.037202091457
Long
EC
CORP
US
N
1
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
1105000000.00000000
PA
83629.03000000
0.077398030467
Long
DBT
NUSS
ID
N
2
2024-03-15
Fixed
8.38000000
N
N
N
N
N
N
Sydney Airport
N/A
Sydney Airport
000000000
26300.00000000
NS
163505.69000000
0.151323271071
Long
EC
CORP
AU
N
2
N
N
N
Alumina Ltd
2138002VD9MW2WT8HR38
Alumina Ltd
000000000
92154.00000000
NS
144000.95000000
0.133271782721
Long
EC
CORP
AU
N
2
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
Nigeria Treasury Bill
000000000
3470000.00000000
PA
9258.42000000
0.008568597211
Long
STIV
NUSS
NG
N
2
2020-02-27
None
0.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
11709.57000000
0.010837117871
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
689394000.00000000
COP
207243.05000000
USD
2020-01-15
11709.57000000
N
N
N
City Office REIT Inc
5493003J7157VP25NL57
City Office REIT Inc
178587200
7000.00000000
NS
USD
178710.00000000
0.165394744202
Long
EP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-550.40000000
-0.00050939100
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
61900.00000000
GBP
79544.60000000
USD
2019-12-16
-550.40000000
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
89853.20000000
0.083158452407
N/A
DFE
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
857607728.00000000
CLP
1159258.34000000
USD
2020-01-15
89853.20000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
AJ62315 FTSE 100 INDEX DEC19 7550 CALL
000000000
-110.00000000
NC
-4313.79000000
-0.00399237979
N/A
DE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
FTSE 100 Index
UKX Index
1.00000000
7550.00000000
GBP
2019-12-20
XXXX
-1740.62000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS1VA44 IRS USD R V 03MLIBOR IS1VA55 CCPVANILLA / Short: BS1VA44 IRS USD P F 1.60150 IS1VA44 CCPVANILLA
000000000
470000.00000000
OU
Notional Amount
USD
2132.27000000
0.001973399648
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2029-08-13
0.00000000
USD
0.00000000
USD
470000.00000000
USD
2132.27000000
N
N
N
GLOBAL NET LEASE INC
N/A
Global Net Lease Inc
379378409
4450.00000000
NS
USD
110360.00000000
0.102137339657
Long
EP
US
N
1
N
N
N
Colony Capital Inc
549300XG87L902AGBO89
Colony Capital Inc
19626G603
9600.00000000
NS
USD
222048.00000000
0.205503733203
Long
EP
US
N
1
N
N
N
Vornado Realty Trust
N/A
Vornado Realty Trust
929042851
4000.00000000
NS
USD
101440.00000000
0.093881947579
Long
EP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS1V185 IRS AUD R V 06MBBSW IS1V196 CCPVANILLA / Short: BS1V185 IRS AUD P F 1.36000 IS1V185 CCPVANILLA
000000000
190000.00000000
OU
Notional Amount
-2123.13000000
-0.00196494064
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2029-08-02
0.00000000
AUD
0.00000000
AUD
190000.00000000
AUD
-2123.13000000
N
N
N
KLA Corp
549300H0BF5JCG96TJ81
KLA Corp
482480100
979.00000000
NS
USD
160418.94000000
0.148466507451
Long
EC
CORP
US
N
1
N
N
N
American Homes 4 Rent
549300ZJUO7A58PNUW40
American Homes 4 Rent
02665T702
5000.00000000
NS
USD
131550.00000000
0.121748523305
Long
EP
US
N
1
N
N
N
Aena SME SA
959800R7QMXKF0NFMT29
Aena SME SA
000000000
833.00000000
NS
152850.08000000
0.141461585154
Long
EC
CORP
ES
N
2
N
N
N
PPL Corp
9N3UAJSNOUXFKQLF3V18
PPL Corp
69351T106
5080.00000000
NS
USD
172872.40000000
0.159992089853
Long
EC
CORP
US
N
1
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
13779.56000000
0.012752877854
N/A
DFE
SE
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
601723.32000000
USD
5879763.00000000
SEK
2020-01-08
13779.56000000
N
N
N
Nestle SA
KY37LUS27QQX7BB93L28
Nestle SA
000000000
881.00000000
NS
91487.22000000
0.084670725475
Long
EC
CORP
CH
N
2
N
N
N
Alnylam Pharmaceuticals Inc
529900S3ZI14OWRJII50
Alnylam Pharmaceuticals Inc
02043Q107
1790.00000000
NS
USD
209680.60000000
0.194057798675
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625H100
1210.00000000
NS
USD
159429.60000000
0.147550880814
Long
EC
CORP
US
N
1
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-3960.01000000
-0.00366495910
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
12232000.00000000
PHP
236687.31000000
USD
2019-12-06
-3960.01000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
133.28000000
0.000123349625
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
140600.00000000
CAD
105994.25000000
USD
2019-12-16
133.28000000
N
N
N
VEREIT Inc
5493002H54FNIBW75H44
VEREIT Inc
92339V100
17233.00000000
NS
USD
168194.08000000
0.155662340316
Long
EC
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-8566.42000000
-0.00792815648
N/A
DFE
AU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
689942.75000000
USD
1005985.00000000
AUD
2020-01-23
-8566.42000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2604.52000000
-0.00241046342
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
410523.05000000
USD
369000.00000000
EUR
2020-01-16
-2604.52000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
200000.00000000
PA
USD
207437.50000000
0.191981826705
Long
DBT
NUSS
US
N
2
2022-01-31
Fixed
6.13000000
N
N
N
N
N
N
Wesfarmers Ltd
5493003L32ZX9557ST85
Wesfarmers Ltd
000000000
6482.00000000
NS
186380.20000000
0.172493455897
Long
EC
CORP
AU
N
2
N
N
N
Alliance Bernstein
5493006YWHO7MNK2U579
AB Fixed Income Shares, Inc. - Government Money Market Portfolio
018616748
3631826.25000000
NS
USD
3631826.25000000
3.361227539634
Long
STIV
RF
US
N
1
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
1170.06000000
0.001082881620
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2265725.00000000
NOK
247001.77000000
USD
2020-01-08
1170.06000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
29.37000000
0.000027181711
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
11000.00000000
SGD
8073.38000000
USD
2019-12-16
29.37000000
N
N
N
Swedbank AB
M312WZV08Y7LYUC71685
Swedbank AB
000000000
11124.00000000
NS
144852.98000000
0.134060329999
Long
EC
CORP
SE
N
1
N
N
N
Akzo Nobel NV
724500XYIJUGXAA5QD70
Akzo Nobel NV
000000000
1088.00000000
NS
104190.63000000
0.096427634699
Long
EC
CORP
NL
N
2
N
N
N
Altice USA Inc
54930064K3612MGCER95
Altice USA, Inc. Class A
02156K103
1381.00000000
NS
USD
35325.98000000
0.032693925498
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-13.53000000
-0.00001252191
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
84950.00000000
EUR
93672.41000000
USD
2019-12-16
-13.53000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS1EYA7SP IRS EUR R V 06MLIBOR SPREAD OF SS1EYA7 / Short: SS1EYA7SP IRS EUR P V 06MLIBOR SPREAD OF SS1EYA7
000000000
110000.00000000
OU
Notional Amount
152.99000000
0.000141591080
N/A
DIR
DE
N
N/A
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-06-02
0.00000000
EUR
0.00000000
EUR
110000.00000000
EUR
152.99000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1SWH2 IRS EUR R F .52250 IS1SWH2 CCPVANILLA / Short: SS1SWH2 IRS EUR P V 06MEURIB IS1SWI3 CCPVANILLA
000000000
200000.00000000
OU
Notional Amount
11205.38000000
0.010370493866
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2029-05-03
0.00000000
EUR
0.00000000
EUR
200000.00000000
EUR
11205.38000000
N
N
N
Nice Ltd
254900YTY4EF5Z4W0A51
Nice Ltd
000000000
277.00000000
NS
41953.54000000
0.038827681812
Long
EC
CORP
IL
N
2
N
N
N
Hang Seng Bank Ltd
5493009Z5F07LWZYMK62
Hang Seng Bank Ltd
000000000
500.00000000
NS
10192.55000000
0.009433127413
Long
EC
CORP
HK
N
2
N
N
N
PACCAR Inc
KDTEY8BWE486IKZ3CC07
PACCAR Inc
693718108
2195.00000000
NS
USD
178607.15000000
0.165299557311
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS1X6P3 IRS USD R V 03MLIBOR IS1X6Q4 CCPVANILLA / Short: BS1X6P3 IRS USD P F 1.67500 IS1X6P3 CCPVANILLA
000000000
830000.00000000
OU
Notional Amount
USD
2260.64000000
0.002092205106
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2029-10-28
0.00000000
USD
0.00000000
USD
830000.00000000
USD
2260.64000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1UXN1 IRS NZD R F 1.67750 IS1UXN1 CCPVANILLA / Short: SS1UXN1 IRS NZD P V 03MNZDBB IS1UXO2 CCPVANILLA
000000000
80000.00000000
OU
Notional Amount
1228.43000000
0.001136902611
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
New Zealand Bank Bills 3 Months
MNDBB3 Index
Y
2029-07-30
0.00000000
NZD
0.00000000
NZD
80000.00000000
NZD
1228.43000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
1049.08000000
0.000970915551
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
143647132.00000000
KRW
122859.33000000
USD
2020-02-06
1049.08000000
N
N
N
Merlin Properties Socimi SA
959800L8KD863DP30X04
Merlin Properties Socimi SA
000000000
1881.00000000
NS
26841.72000000
0.024841807472
Long
EC
ES
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1WIZ4 IRS CHF R F .00000 SS1WIZ4 IRSLV511299 LCH/-0.42 / Short: SS1WIZ4 IRS CHF P V 06MLIBOR IS1WJ06 IRSLV511299 LCH
000000000
920000.00000000
OU
Notional Amount
-13936.26000000
-0.01289790251
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 6 Months
SF0006M Index
Y
2029-10-01
0.00000000
CHF
0.00000000
CHF
920000.00000000
CHF
-13936.26000000
N
N
N
American Homes 4 Rent
549300ZJUO7A58PNUW40
American Homes 4 Rent
02665T801
5875.00000000
NS
USD
152867.50000000
0.141477707232
Long
EP
US
N
1
N
N
N
Coloplast A/S
529900NN7SOJ5QG82X67
Coloplast A/S
000000000
854.00000000
NS
100896.53000000
0.093378970232
Long
EC
CORP
DK
N
1
N
N
N
Alliance Bernstein
5493006YWHO7MNK2U579
AB Fixed Income Shares, Inc. - Government Money Market Portfolio
018616748
12176199.84000000
NS
USD
12176199.84000000
11.26898023557
Long
STIV
RF
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1RGW2 IRS USD R F 2.70650 IS1RGW2 CCPVANILLA / Short: SS1RGW2 IRS USD P V 03MLIBOR IS1RGX3 CCPVANILLA
000000000
590000.00000000
OU
Notional Amount
USD
56351.68000000
0.052153050747
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2029-02-14
0.00000000
USD
0.00000000
USD
590000.00000000
USD
56351.68000000
N
N
N
Telecom Italia SpA/Milano
549300W384M3RI3VXU42
Telecom Italia SpA/Milano
000000000
230220.00000000
NS
141650.07000000
0.131096061182
Long
EC
CORP
IT
N
2
N
N
N
Fastenal Co
529900PP0C7H2HHPSJ32
Fastenal Co
311900104
3309.00000000
NS
USD
117535.68000000
0.108778376858
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-2738.06000000
-0.00253405368
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
164940.44000000
USD
161606.00000000
CHF
2020-01-10
-2738.06000000
N
N
N
Nomura Real Estate Holdings Inc
N/A
Nomura Real Estate Holdings Inc
000000000
3700.00000000
NS
89503.99000000
0.082835261211
Long
EC
CORP
JP
N
2
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
FTSE 100 IDX FUT DEC19 IFLL 20191220
000000000
5.00000000
NC
4813.86000000
0.004455190774
N/A
DE
GB
N
2
ICE Futures Europe
549300UF4R84F48NCH34
Long
FTSE 100 Index
Z Z9 Index
2019-12-20
364516.03000000
GBP
4813.86000000
N
N
N
Broadridge Financial Solutions Inc
N/A
Broadridge Financial Solutions Inc
11133T103
1242.00000000
NS
USD
153647.82000000
0.142199887450
Long
EC
CORP
US
N
1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS1X4J3 CDS USD R F 5.00000 IS1X4J3 CCPCDX / Short: SS1X4J3 CDS USD P V 03MEVENT IS1X4K4 CCPCDX
000000000
3660000.00000000
OU
Notional Amount
USD
316971.91000000
0.293355089104
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.HY.S33.V1
2I65BRSB7
Y
sell protection
2024-12-20
265570.50000000
USD
0.00000000
USD
3660000.00000000
USD
51401.41000000
N
N
N
RenaissanceRe Holdings Ltd
EK6GB9U3U58PDI411C94
RenaissanceRe Holdings Ltd
000000000
14.00000000
NS
USD
2636.62000000
0.002440171733
Long
EC
CORP
US
N
1
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160104
1083.00000000
NS
USD
148901.67000000
0.137807361765
Long
EC
CORP
US
N
1
N
N
N
Automatic Data Processing Inc
HGBOLILQXWER4SAL2I23
Automatic Data Processing Inc
053015103
1450.00000000
NS
USD
247631.00000000
0.229180604900
Long
EC
CORP
US
N
1
N
N
N
CME Group Inc
LCZ7XYGSLJUHFXXNXD88
CME Group Inc
12572Q105
125.00000000
NS
USD
25341.25000000
0.023453133912
Long
EC
CORP
US
N
1
N
N
N
Manulife Financial Corp
5493007GBX87QOZACS27
Manulife Financial Corp
000000000
9120.00000000
NS
179406.46000000
0.166039312629
Long
EC
CORP
CA
N
1
N
N
N
KBC Group NV
213800X3Q9LSAKRUWY91
KBC Group NV
000000000
328.00000000
NS
23875.46000000
0.022096556428
Long
EC
CORP
BE
N
2
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: IS1XTJ8 TRS USD R E IS1XTJ8 EQUITYTRS / Short: IS1XTJ8 TRS USD P V 03MLIBOR IS1XTK9 EQUITYTRS
000000000
11057.14000000
OU
Notional Amount
USD
199.52000000
0.000184654240
N/A
DE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
GSABHY01
GSABHY01
RUSSELL 1000 INDEX_RIY
0.23000000
USD
392.51000000
USD
RUSSELL 2000 INDEX_RTY
0.25000000
USD
400.86000000
USD
GSABHYS1_GSABHYS1
-123.57000000
USD
-12532.66000000
USD
Y
equity-performance leg
2020-02-18
0.00000000
USD
0.00000000
USD
11057.14000000
USD
199.52000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
7535.44000000
0.006973992340
N/A
DFE
CZ
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
570352.92000000
USD
13380086.00000000
CZK
2020-01-09
7535.44000000
N
N
N
London Clearing House
F226TOH6YD6XJB17KS62
Long: BS1XCL1 IRS AUD R V 06MBBSW IS1XCM2 CCPVANILLA / Short: BS1XCL1 IRS AUD P F 1.31000 IS1XCL1 CCPVANILLA
000000000
120000.00000000
OU
Notional Amount
-831.41000000
-0.00076946362
N/A
DIR
US
N
2
London Clearing House
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2029-11-01
0.00000000
AUD
0.00000000
AUD
120000.00000000
AUD
-831.41000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: IS1JNW7 IRS USD R V 12MUSCPI IS1JNX8 INFLATIONZERO / Short: IS1JNW7 IRS USD P F 2.16250 IS1JNW7 INFLATIONZERO
000000000
8300000.00000000
OU
Notional Amount
USD
-164672.91000000
-0.15240352429
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
US CPI Urban Consumers NSA
CPURNSA Index
Y
2023-01-05
0.00000000
USD
0.00000000
USD
8300000.00000000
USD
-164672.91000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-4906.78000000
-0.00454118752
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
94000.00000000
GBP
116723.75000000
USD
2019-12-16
-4906.78000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS1BBK7 IRS USD R F 1.94050 IS1BBK7 CCPVANILLA / Short: SS1BBK7 IRS USD P V 03MLIBOR IS1BBL8 CCPVANILLA
000000000
1050000.00000000
OU
Notional Amount
USD
11811.15000000
0.010931129388
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2022-01-10
0.00000000
USD
0.00000000
USD
1050000.00000000
USD
11811.15000000
N
N
N
REPUBLIC OF ANGOLA
549300QHR2R3J8JSGK83
Angolan Government International Bond
035198AE0
200000.00000000
PA
USD
199850.00000000
0.184959653231
Long
DBT
NUSS
AO
N
2
2049-11-26
Fixed
9.13000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-551.35000000
-0.00051027022
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
333964.00000000
CAD
250974.74000000
USD
2020-01-23
-551.35000000
N
N
N
Financial Select Sector SPDR Fund
549300Y12KQ6ZG08NY28
Financial Select Sector SPDR Fund
81369Y605
37745.00000000
NS
USD
1138011.75000000
1.053221209171
Long
EC
RF
US
N
1
N
N
N
EPR Properties
549300YSSXFHMPOWZ492
EPR Properties
26884U505
10225.00000000
NS
USD
263600.50000000
0.243960255549
Long
EP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-414.99000000
-0.00038407008
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
3111996.00000000
SEK
325353.67000000
USD
2020-01-08
-414.99000000
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540109
233.00000000
NS
USD
14243.29000000
0.013182056438
Long
EC
CORP
US
N
1
N
N
N
Mitsubishi Heavy Industries Ltd
353800TJ98PCAZROVE69
Mitsubishi Heavy Industries Ltd
000000000
4100.00000000
NS
156992.46000000
0.145295326302
Long
EC
CORP
JP
N
2
N
N
N
Nippon Telegraph & Telephone Corp
353800VHQU5VIXVUA841
Nippon Telegraph & Telephone Corp
000000000
600.00000000
NS
30311.44000000
0.028053006911
Long
EC
CORP
JP
N
2
N
N
N
Atco Ltd/Canada
5299005SPZ1QYL51JD25
Atco Ltd/Canada
000000000
4240.00000000
NS
160847.40000000
0.148863043918
Long
EC
CORP
CA
N
1
N
N
N
Kimco Realty Corp
549300EA7I6T15IBYS12
Kimco Realty Corp
49446R109
7503.00000000
NS
USD
162214.86000000
0.150128617736
Long
EC
US
N
1
N
N
N
Extra Space Storage Inc
N/A
Extra Space Storage Inc
30225T102
1332.00000000
NS
USD
141258.60000000
0.130733758678
Long
EC
US
N
1
N
N
N
Cadence Design Systems Inc
GCT7RXJOGLXPV0NXZY22
Cadence Design Systems Inc
127387108
2490.00000000
NS
USD
174922.50000000
0.161889441793
Long
EC
CORP
US
N
1
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR DEC19 XOSE 20191212
000000000
5.00000000
NC
19120.71000000
0.017696071509
N/A
DE
JP
N
2
Osaka Exchange
3538001249AILNPRUX57
Long
TOPIX Index
TPZ9 Index
2019-12-12
82833600.00000000
JPY
19120.71000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-5335.91000000
-0.00493834407
N/A
DFE
NO
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
227701.32000000
USD
2049446.20000000
NOK
2020-01-08
-5335.91000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
8978.01000000
0.008309079891
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
640946.55000000
CHF
652289.87000000
USD
2020-01-10
8978.01000000
N
N
N
Dollar General Corp
OPX52SQVOZI8IVSWYU66
Dollar General Corp
256677105
222.00000000
NS
USD
34933.92000000
0.032331076953
Long
EC
CORP
US
N
1
N
N
N
Fiat Chrysler Automobiles NV
549300LKT9PW7ZIBDF31
Fiat Chrysler Automobiles NV
000000000
10362.00000000
NS
152505.48000000
0.141142660478
Long
EC
CORP
NL
N
2
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
MSCI SING IX ETS DEC19 XSIM 20191230
000000000
-11.00000000
NC
1602.74000000
0.001483323665
N/A
DE
SG
N
2
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Short
MSCI Singapore Index
QZZ9 Index
2019-12-30
-407263.57000000
SGD
1602.74000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS1HOW8 IRS USD R F 2.35350 IS1HOW8 CCPVANILLA / Short: SS1HOW8 IRS USD P V 03MLIBOR IS1HOX9 CCPVANILLA
000000000
210000.00000000
OU
Notional Amount
USD
11002.24000000
0.010182489342
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2027-10-10
0.00000000
USD
0.00000000
USD
210000.00000000
USD
11002.24000000
N
N
N
Intuit Inc
VI90HBPH7XSFMB9E4M29
Intuit Inc
461202103
155.00000000
NS
USD
40127.95000000
0.037138112168
Long
EC
CORP
US
N
1
N
N
N
SG Holdings Co Ltd
N/A
SG Holdings Co Ltd
000000000
700.00000000
NS
16806.73000000
0.015554500639
Long
EC
CORP
JP
N
2
N
N
N
H&R Block Inc
549300CE3KUCWLZBG404
H&R Block Inc
093671105
6260.00000000
NS
USD
152618.80000000
0.141247537275
Long
EC
CORP
US
N
1
N
N
Republic of Ivory Coast
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
200000.00000000
PA
USD
207250.00000000
0.191808296883
Long
DBT
NUSS
CI
N
2
2024-07-23
Fixed
5.38000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-1220.72000000
-0.00112976706
N/A
DFE
NO
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
94817.69000000
USD
862643.00000000
NOK
2020-01-08
-1220.72000000
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-4853.64000000
-0.00449200686
N/A
DFE
BR
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
992698.31000000
USD
4182238.00000000
BRL
2019-12-03
-4853.64000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
799.80000000
0.000740208809
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
557842.00000000
AUD
378638.77000000
USD
2020-01-23
799.80000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
2724.59000000
0.002521587298
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
183000.00000000
CHF
186399.92000000
USD
2020-01-10
2724.59000000
N
N
N
Western Union Co/The
28ID94QU1140NC23S047
Western Union Co/The
959802109
5847.00000000
NS
USD
157167.36000000
0.145457194920
Long
EC
CORP
US
N
1
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS1UHL7 IRS USD R V 03MLIBOR IS1UHM8 CCPVANILLA / Short: BS1UHL7 IRS USD P F 1.97250 IS1UHL7 CCPVANILLA
000000000
140000.00000000
OU
Notional Amount
USD
-4141.73000000
-0.00383313957
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2029-07-03
0.00000000
USD
0.00000000
USD
140000.00000000
USD
-4141.73000000
N
N
N
L3 HARRIS TECHNOLOGIES INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
502431109
142.00000000
NS
USD
28554.78000000
0.026427231458
Long
EC
CORP
US
N
1
N
N
N
LyondellBasell Industries NV
BN6WCCZ8OVP3ITUUVN49
LyondellBasell Industries NV
000000000
1790.00000000
NS
USD
165646.60000000
0.153304666974
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1417.72000000
0.001312089064
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
259435.00000000
EUR
288215.40000000
USD
2020-01-16
1417.72000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS1JFB0 IRS USD R F 2.49200 IS1JFB0 CCPVANILLA / Short: SS1JFB0 IRS USD P V 03MLIBOR IS1JFC1 CCPVANILLA
000000000
360000.00000000
OU
Notional Amount
USD
25292.39000000
0.023407914354
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2027-12-27
0.00000000
USD
0.00000000
USD
360000.00000000
USD
25292.39000000
N
N
N
Vertex Pharmaceuticals Inc
54930015RAQRRZ5ZGJ91
Vertex Pharmaceuticals Inc
92532F100
155.00000000
NS
USD
34371.25000000
0.031810330153
Long
EC
CORP
US
N
1
N
N
N
Roche Holding AG
549300U41AUUVOAAOB37
Roche Holding AG
000000000
184.00000000
NS
56725.87000000
0.052499360742
Long
EC
CORP
CH
N
2
N
N
N
American Financial Group Inc/OH
549300AFOM7IVKIU1G39
American Financial Group Inc/OH
025932104
218.00000000
NS
USD
23916.78000000
0.022134797774
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS0XD86 IRS USD R F 1.62000 IS0XD86 CCPVANILLA / Short: SS0XD86 IRS USD P V 03MLIBOR IS0XD97 CCPVANILLA
000000000
310000.00000000
OU
Notional Amount
USD
859.62000000
0.000795571764
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2020-08-21
0.00000000
USD
0.00000000
USD
310000.00000000
USD
859.62000000
N
N
N
Randstad NV
7245009EAAUUQJ0U4T57
Randstad NV
000000000
2652.00000000
NS
154397.10000000
0.142893340384
Long
EC
CORP
NL
N
2
N
N
N
Monmouth Real Estate Investment Corp
549300DFIUDCN3KVN260
Monmouth Real Estate Investment Corp
609720404
7600.00000000
NS
USD
189924.00000000
0.175773215813
Long
EP
US
N
1
N
N
N
Saul Centers Inc
N/A
Saul Centers Inc
804395804
8000.00000000
NS
USD
213520.00000000
0.197611134140
Long
EP
US
N
1
N
N
N
BROOKFIELD PROPERTY PART
5493004J5Z0TZW83NU62
Brookfield Property Partners LP
000000000
12000.00000000
NS
USD
304200.00000000
0.281534783652
Long
EP
CORP
BM
N
1
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS0YET7 IRS USD R V 12MLIBOR IS0YEU8 CPILV503765 / Short: IS0YET7 IRS USD P F 1.27250 IS0YET7 CPILV503765
000000000
1920000.00000000
OU
Notional Amount
USD
49464.31000000
0.045778842256
N/A
DIR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
US CPI Urban Consumers NSA
CPURNSA Index
Y
2020-10-01
0.00000000
USD
0.00000000
USD
1920000.00000000
USD
49464.31000000
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324P102
219.00000000
NS
USD
61291.53000000
0.056724844307
Long
EC
CORP
US
N
1
N
N
N
adidas AG
549300JSX0Z4CW0V5023
adidas AG
000000000
496.00000000
NS
154520.79000000
0.143007814537
Long
EC
CORP
DE
N
1
N
N
N
Klepierre SA
969500PB4U31KEFHZ621
Klepierre SA
000000000
4053.00000000
NS
145462.14000000
0.134624102940
Long
EC
FR
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1VS39 IRS NOK R F 1.52000 IS1VS39 CCPVANILLA / Short: SS1VS39 IRS NOK P V 06MNIBOR IS1VS40 CCPVANILLA
000000000
6330000.00000000
OU
Notional Amount
-22106.26000000
-0.02045917530
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Norwegian Interbank Offer Rate 6 Months
NIBOR6M Index
Y
2029-09-02
0.00000000
NOK
0.00000000
NOK
6330000.00000000
NOK
-22106.26000000
N
N
N
Bank Leumi Le-Israel BM
7JDSZWRGUQY2DSTWCR57
Bank Leumi Le-Israel BM
000000000
6080.00000000
NS
44064.12000000
0.040781007531
Long
EC
CORP
IL
N
2
N
N
N
London Clearing House
F226TOH6YD6XJB17KS62
Long: SS1XCJ9 IRS NOK R F 1.86100 IS1XCJ9 CCPVANILLA / Short: SS1XCJ9 IRS NOK P V 06MNIBOR IS1XCK0 CCPVANILLA
000000000
3040000.00000000
OU
Notional Amount
-683.48000000
-0.00063255553
N/A
DIR
US
N
2
London Clearing House
F226TOH6YD6XJB17KS62
Norwegian Interbank Offer Rate 6 Months
NIBOR6M Index
Y
2029-11-04
0.00000000
NOK
0.00000000
NOK
3040000.00000000
NOK
-683.48000000
N
N
N
BCE Inc
5493001I9203PRB5KR45
BCE Inc
000000000
1462.00000000
NS
70375.88000000
0.065132341058
Long
EC
CORP
CA
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
50.15000000
0.000046413443
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
723600.00000000
JPY
6669.14000000
USD
2019-12-16
50.15000000
N
N
N
Mitsui OSK Lines Ltd
353800P8O843TMAZ6S09
Mitsui OSK Lines Ltd
000000000
5700.00000000
NS
149571.23000000
0.138427034446
Long
EC
CORP
JP
N
2
N
N
N
Republic of Ghana
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
200000.00000000
PA
USD
196062.50000000
0.181454350821
Long
DBT
NUSS
GH
N
2
2051-03-26
Fixed
8.95000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
18.33000000
0.000016964275
N/A
DFE
IN
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
535178.36000000
USD
38554249.00000000
INR
2020-01-16
18.33000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
28.67000000
0.000026533866
N/A
DFE
GB
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
6441.04000000
USD
5000.00000000
GBP
2019-12-16
28.67000000
N
N
N
Cogeco Communications Inc
549300XHH6LJM6IAXV57
Cogeco Communications Inc
000000000
150.00000000
NS
12956.03000000
0.011990707110
Long
EC
CORP
CA
N
1
N
N
N
Ford Motor Co
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370860
19179.00000000
NS
USD
173761.74000000
0.160815167251
Long
EC
CORP
US
N
1
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR DEC19 XOSE 20191212
000000000
-4.00000000
NC
-33959.15000000
-0.03142893474
N/A
DE
JP
N
2
Osaka Exchange
3538001249AILNPRUX57
Short
TOPIX Index
TPZ9 Index
2019-12-12
-64224820.00000000
JPY
-33959.15000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1X6Z3 IRS NOK R F 1.83500 IS1X6Z3 CCPVANILLA / Short: SS1X6Z3 IRS NOK P V 06MNIBOR IS1X705 CCPVANILLA
000000000
1270000.00000000
OU
Notional Amount
-598.44000000
-0.00055385166
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Norwegian Interbank Offer Rate 6 Months
NIBOR6M Index
Y
2029-10-28
0.00000000
NOK
0.00000000
NOK
1270000.00000000
NOK
-598.44000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long: SS1NK62SP IRS EUR R V 06MLIBOR SPREAD OF SS1NK62 / Short: SS1NK62SP IRS EUR P V 06MLIBOR SPREAD OF SS1NK62
000000000
1870000.00000000
OU
Notional Amount
2715.45000000
0.002513128298
N/A
DIR
DE
N
N/A
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
N/A
N/A
Y
2028-07-16
0.00000000
EUR
0.00000000
EUR
1870000.00000000
EUR
2715.45000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
40.71000000
0.000037676795
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
587400.00000000
JPY
5413.84000000
USD
2019-12-16
40.71000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS1X7H2 IRS JPY R V 06MLIBOR IS1X7I3 IRSLV511471 LCH / Short: BS1X7H2 IRS JPY P F .00000 BS1X7H2 IRSLV511471 LCH/-0.005
000000000
210000.00000000
OU
Notional Amount
11.95000000
0.000011059634
N/A
DIR
JP
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2029-10-28
0.00000000
JPY
0.00000000
JPY
210000.00000000
JPY
11.95000000
N
N
N
Euronext Eqf, Equities And Indices Derivatives
N/A
AMSTERDAM IDX FUT DEC19 XEUE 20191220
000000000
2.00000000
NC
-62.53000000
-0.00005787103
N/A
DE
NL
N
2
Euronext Eqf, Equities And Indices Derivatives
N/A
Long
Amsterdam Index
EOZ9 Index
2019-12-20
238854.10000000
EUR
-62.53000000
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114GX2
150000.00000000
PA
USD
65175.00000000
0.060318966221
Long
DBT
NUSS
US
N
2
2026-04-22
Fixed
7.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
10260.22000000
0.009495755482
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1896000.00000000
PEN
566528.22000000
USD
2020-01-15
10260.22000000
N
N
N
Hershey Co/The
21X2CX66SU2BR6QTAD08
Hershey Co/The
427866108
1055.00000000
NS
USD
156308.80000000
0.144662604178
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
1036.30000000
0.000959087759
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
96150.00000000
CHF
97315.55000000
USD
2019-12-16
1036.30000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS1WIX2 IRS AUD R V 06MBBSW IS1WIY3 CCPVANILLA / Short: BS1WIX2 IRS AUD P F 1.14000 IS1WIX2 CCPVANILLA
000000000
1600000.00000000
OU
Notional Amount
6164.16000000
0.005704883142
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2029-09-30
0.00000000
AUD
0.00000000
AUD
1600000.00000000
AUD
6164.16000000
N
N
N
CIT Group Inc
N8O96ZZJQRFYQUJY7K79
CIT Group Inc
125581801
2815.00000000
NS
USD
128138.80000000
0.118591483680
Long
EC
CORP
US
N
1
N
N
N
Harvey Norman Holdings Ltd
529900ONRWOF42PYKU59
Harvey Norman Holdings Ltd
000000000
51754.00000000
NS
150772.60000000
0.139538893233
Long
EC
CORP
AU
N
2
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
9714.48000000
0.008990677268
N/A
DFE
PH
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
458851.34000000
USD
23817000.00000000
PHP
2019-12-06
9714.48000000
N
N
N
JTEKT Corp
N/A
JTEKT Corp
000000000
4700.00000000
NS
58467.58000000
0.054111300085
Long
EC
CORP
JP
N
2
N
N
N
Lam Research Corp
549300I4GMO6D34U1T02
Lam Research Corp
512807108
680.00000000
NS
USD
181444.40000000
0.167925410581
Long
EC
CORP
US
N
1
N
N
N
RioCan Real Estate Investment Trust
549300S8HVUSEU3JBY60
RioCan Real Estate Investment Trust
000000000
3527.00000000
NS
72064.13000000
0.066694803578
Long
EC
CA
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-1494.71000000
-0.00138334272
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
227933.27000000
USD
225606.00000000
CHF
2020-01-10
-1494.71000000
N
N
N
SITE Centers Corp
W2AVA6SODOQ1LCYJQR54
SITE Centers Corp
82981J877
6775.00000000
NS
USD
179876.25000000
0.166474099697
Long
EP
US
N
1
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HF0
150000.00000000
PA
USD
59812.50000000
0.055356013304
Long
DBT
NUSS
AR
N
2
2028-07-06
Fixed
6.63000000
N
N
N
N
N
N
Daito Trust Construction Co Ltd
353800QQ4DRI3KXS3038
Daito Trust Construction Co Ltd
000000000
100.00000000
NS
12253.06000000
0.011340113728
Long
EC
CORP
JP
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1SWJ4 IRS USD R F 2.50100 IS1SWJ4 CCPVANILLA / Short: SS1SWJ4 IRS USD P V 03MLIBOR IS1SWK5 CCPVANILLA
000000000
130000.00000000
OU
Notional Amount
USD
9386.15000000
0.008686810353
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2029-05-02
0.00000000
USD
0.00000000
USD
130000.00000000
USD
9386.15000000
N
N
N
Japan Post Holdings Co Ltd
5299003D9N4JBS256X18
Japan Post Holdings Co Ltd
000000000
13400.00000000
NS
126046.86000000
0.116655409139
Long
EC
CORP
JP
N
2
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT DEC19 XCME 20191220
000000000
-13.00000000
NC
USD
-84407.89000000
-0.07811885946
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
E-mini S&P 500 Index
ESZ9 Index
2019-12-20
-1958997.11000000
USD
-84407.89000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
1128.39000000
0.001044316352
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
753543.00000000
AUD
511520.06000000
USD
2020-01-23
1128.39000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
3919.19000000
0.003627180502
N/A
DFE
ZA
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
372286.75000000
USD
5551111.00000000
ZAR
2020-01-23
3919.19000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1WZ53 IRS USD R F 1.63550 IS1WZ53 CCPVANILLA / Short: SS1WZ53 IRS USD P V 03MLIBOR IS1WZ64 CCPVANILLA
000000000
260000.00000000
OU
Notional Amount
USD
-1719.48000000
-0.00159136564
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2029-10-17
0.00000000
USD
0.00000000
USD
260000.00000000
USD
-1719.48000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
718.27000000
0.000664753415
N/A
DFE
CA
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
250807.82000000
USD
333964.00000000
CAD
2020-01-23
718.27000000
N
N
N
Baxter International Inc
J5OIVXX3P24RJRW5CK77
Baxter International Inc
071813109
2262.00000000
NS
USD
185416.14000000
0.171601225708
Long
EC
CORP
US
N
1
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
85227SAY2
200000.00000000
PA
USD
199209.00000000
0.184366412612
Long
DBT
NUSS
LK
N
2
2024-03-14
Fixed
6.85000000
N
N
N
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284V101
4964.00000000
NS
USD
159443.68000000
0.147563911747
Long
EC
US
N
1
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
19.54000000
0.000018084121
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1463.00000000
CHF
1487.94000000
USD
2020-01-10
19.54000000
N
N
N
Republic of Ecuador
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
200000.00000000
PA
USD
165875.00000000
0.153516049435
Long
DBT
NUSS
US
N
2
2026-12-13
Fixed
9.65000000
N
N
N
N
N
N
Nippon Express Co Ltd
529900NTHOQWZAW95H82
Nippon Express Co Ltd
000000000
1700.00000000
NS
107893.04000000
0.099854186962
Long
EC
CORP
JP
N
2
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460W800
1650.00000000
NS
USD
41679.00000000
0.038573597132
Long
EP
US
N
1
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
000000000
2438.00000000
NS
40676.51000000
0.037645800271
Long
EC
CORP
AU
N
2
N
N
N
Carlsberg A/S
5299001O0WJQYB5GYZ19
Carlsberg A/S
000000000
1081.00000000
NS
155515.94000000
0.143928818285
Long
EC
CORP
DK
N
1
N
N
N
Royal Dutch Shell PLC
21380068P1DRHMJ8KU70
Royal Dutch Shell PLC
780259206
5302.00000000
NS
USD
304811.98000000
0.282101166482
Long
EC
CORP
GB
N
1
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCW0
97000.00000000
PA
USD
103984.00000000
0.096236400208
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
508.94000000
0.000471020094
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1397000.00000000
NOK
152083.78000000
USD
2020-01-08
508.94000000
N
N
N
Ashford Hospitality Trust Inc
N/A
Ashford Hospitality Trust Inc
044103604
5000.00000000
NS
USD
110650.00000000
0.102405732449
Long
EP
US
N
1
N
N
N
Power Financial Corp
549300RD0SS3HPUKXF62
Power Financial Corp
000000000
6417.00000000
NS
156910.46000000
0.145219435926
Long
EC
CORP
CA
N
1
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
AJ62337 S+P 500 INDEX DEC19 3185 CALL
000000000
-2100.00000000
NC
USD
-31366.00000000
-0.02902899416
N/A
DE
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Call
Written
S&P 500 Index
SPX Index
1.00000000
3185.00000000
USD
2019-12-20
XXXX
-16078.00000000
N
N
N
Public Storage
549300LMZF40TKJ6DM64
Public Storage
74460W750
2625.00000000
NS
USD
66832.50000000
0.061852969850
Long
EP
US
N
1
N
N
N
BT Group PLC
213800LRO7NS5CYQMN21
BT Group PLC
000000000
15162.00000000
NS
37537.17000000
0.034740365006
Long
EC
CORP
GB
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-31807.19000000
-0.02943731214
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
66048802.00000000
PHP
1267609.67000000
USD
2019-12-06
-31807.19000000
N
N
N
Admiral Group PLC
213800FGVM7Z9EJB2685
Admiral Group PLC
000000000
750.00000000
NS
20734.96000000
0.019190047592
Long
EC
CORP
GB
N
2
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-14866.64000000
-0.01375896211
N/A
DFE
NO
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
515563.93000000
USD
4614711.34000000
NOK
2020-01-08
-14866.64000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
601.94000000
0.000557090886
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
5878000.00000000
INR
82198.29000000
USD
2020-01-16
601.94000000
N
N
N
Synopsys Inc
QG7T915N9S0NY5UKNE63
Synopsys Inc
871607107
1186.00000000
NS
USD
167273.44000000
0.154810295007
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-1878.13000000
-0.00173819501
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
188492.27000000
USD
185928.00000000
CHF
2020-01-10
-1878.13000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SS1WIZ4SP IRS CHF R V 06MLIBOR SPREAD OF SS1WIZ4/DUMMY / Short: SS1WIZ4SP IRS CHF P F .42000 SPREAD OF SS1WIZ4/DUMMY
000000000
920000.00000000
OU
Notional Amount
462.21000000
0.000427771835
N/A
DIR
CH
N
N/A
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
N/A
N/A
Y
2029-10-01
0.00000000
CHF
0.00000000
CHF
920000.00000000
CHF
462.21000000
N
N
N
Vornado Realty Trust
N/A
Vornado Realty Trust
929042828
2400.00000000
NS
USD
61536.00000000
0.056951099430
Long
EP
US
N
1
N
N
N
Moody's Corp
549300GCEDD8YCF5WU84
Moody's Corp
615369105
817.00000000
NS
USD
185189.39000000
0.171391370310
Long
EC
CORP
US
N
1
N
N
N
Meff Financial Derivatives
N/A
IBEX 35 INDX FUTR DEC19 XMRV 20191220
000000000
1.00000000
NC
-698.65000000
-0.00064659525
N/A
DE
ES
N
2
Meff Financial Derivatives
N/A
Long
IBEX 35 Index
IBZ9 Index
2019-12-20
93796.30000000
EUR
-698.65000000
N
N
N
AB High Income Fund Inc
2NEZ4DLQSXZQH9D3RU96
AB High Income Fund Inc
01859M804
4724961.68000000
NS
USD
38744685.78000000
35.85791166584
Long
EC
RF
US
N
1
N
N
N
EGYPT TREASURY BILL
529900GFIVH4086NMH82
Egypt Treasury Bills
000000000
1675000.00000000
PA
98119.44000000
0.090808794584
Long
STIV
NUSS
EG
N
2
2020-04-21
None
0.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
58.13000000
0.000053798872
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
5226000.00000000
KRW
4489.69000000
USD
2020-02-06
58.13000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SELS41417 TRS CHF R F .00000 FUTUREEQUITYINDEX / Short: SELS41417 TRS CHF P E
000000000
313749.15000000
OU
Notional Amount
-320.93000000
-0.00029701827
N/A
DE
CH
N
2
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Swiss Market Index
SMZ9 Index
Y
equity-performance leg
2019-12-20
0.00000000
CHF
0.00000000
CHF
313749.15000000
CHF
-320.93000000
N
N
N
Republic of Kenya
549300VVURQQYU45PR87
Kenya Government International Bond
000000000
200000.00000000
PA
USD
204812.50000000
0.189552409193
Long
DBT
NUSS
KE
N
2
2048-02-28
Fixed
8.25000000
N
N
N
N
N
N
Lebanese Republic
529900QPC4K9S1KHL354
Lebanon Government International Bond
000000000
107000.00000000
PA
USD
48384.06000000
0.044779079106
Long
DBT
NUSS
LB
N
2
2026-11-27
Fixed
6.60000000
N
N
N
N
N
N
Hennes & Mauritz AB
529900O5RR7R39FRDM42
Hennes & Mauritz AB
000000000
2593.00000000
NS
50049.35000000
0.046320292321
Long
EC
CORP
SE
N
1
N
N
Italian Derivatives Market
8156005391EE905D3124
FTSE/MIB IDX FUT DEC19 XDMI 20191220
000000000
1.00000000
NC
7420.71000000
0.006867810599
N/A
DE
IT
N
2
Italian Derivatives Market
8156005391EE905D3124
Long
FTSE/MIB Index
STZ9 Index
2019-12-20
109460.00000000
EUR
7420.71000000
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp
526057104
2850.00000000
NS
USD
170002.50000000
0.157336019256
Long
EC
CORP
US
N
1
N
N
N
Repsol SA
BSYCX13Y0NOTV14V9N85
Repsol SA
000000000
1222.00000000
NS
19238.26000000
0.017804863139
Long
EC
CORP
ES
N
2
N
N
N
Qantas Airways Ltd
YLXNW6TI6QSK1H8H0N82
Qantas Airways Ltd
000000000
8714.00000000
NS
43100.31000000
0.039889008715
Long
EC
CORP
AU
N
2
N
N
N
Hersha Hospitality Trust
549300DNC58BIN1VO064
Hersha Hospitality Trust
427825401
3400.00000000
NS
USD
85034.00000000
0.078698319503
Long
EP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-34.54000000
-0.00003196650
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
5548.72000000
USD
5000.00000000
EUR
2019-12-16
-34.54000000
N
N
N
JPMorgan Chase Bank, National Association
549300OA79DKM2EKBT58
Long: IS1XXB8SP TRS USD R F .20000 IS1XXB8/-.2BPS / Short: IS1XXB8SP TRS USD P F .00000 IS1XXB8 IS1XXC9
000000000
0.00000000
OU
Notional Amount
USD
205.69000000
0.000190364528
N/A
DE
US
N
2
JPMorgan Chase Bank, National Association
549300OA79DKM2EKBT58
N/A
N/A
Y
equity-performance leg
2020-02-18
0.00000000
USD
0.00000000
USD
0.00000000
USD
205.69000000
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231G102
5989.00000000
NS
USD
408030.57000000
0.377629185563
Long
EC
CORP
US
N
1
N
N
N
Daiichikosho Co Ltd
N/A
Daiichikosho Co Ltd
000000000
200.00000000
NS
9912.49000000
0.009173934015
Long
EC
CORP
JP
N
2
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
70812.00000000
NS
179169.33000000
0.165819850620
Long
EC
CORP
IT
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-2133.97000000
-0.00197497298
N/A
DFE
AU
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
336053.99000000
USD
493000.00000000
AUD
2020-01-23
-2133.97000000
N
N
N
Deckers Outdoor Corp
5493008LG4W3I6K8J118
Deckers Outdoor Corp
243537107
109.00000000
NS
USD
18331.62000000
0.016965774722
Long
EC
CORP
US
N
1
N
N
N
TOTAL SA
529900S21EQ1BO4ESM68
TOTAL SA
000000000
6947.00000000
NS
364403.34000000
0.337252516400
Long
EC
CORP
FR
N
2
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244109
1431.00000000
NS
USD
122250.33000000
0.113141749533
Long
EC
CORP
US
N
1
N
N
N
Fidelity National Financial Inc
549300CAZYIH39SYQ287
Fidelity National Financial Inc
31620R303
810.00000000
NS
USD
38580.30000000
0.035705773878
Long
EC
CORP
US
N
1
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978V103
1647.00000000
NS
USD
198496.44000000
0.183706943757
Long
EC
CORP
US
N
1
N
N
N
Exact Sciences Corp
549300VM3X1FYD4N9Z14
Exact Sciences Corp
30063P105
1722.00000000
NS
USD
139499.22000000
0.129105465885
Long
EC
CORP
US
N
1
N
N
Casino Guichard Perrachon SA
969500VHL8F83GBL6L29
Casino Guichard Perrachon SA
000000000
823.00000000
NS
36216.84000000
0.033518409644
Long
EC
CORP
FR
N
1
N
N
Novo Nordisk A/S
549300DAQ1CVT6CXN342
Novo Nordisk A/S
000000000
514.00000000
NS
28893.05000000
0.026740297767
Long
EC
CORP
DK
N
1
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967424
3604.00000000
NS
USD
270732.48000000
0.250560848732
Long
EC
CORP
US
N
1
N
N
N
MTU Aero Engines AG
529900807L67JY81RD65
MTU Aero Engines AG
000000000
49.00000000
NS
13264.96000000
0.012276619473
Long
EC
CORP
DE
N
2
N
N
N
Philip Morris International Inc
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172109
426.00000000
NS
USD
35328.18000000
0.032695961581
Long
EC
CORP
US
N
1
N
N
N
Wolters Kluwer NV
724500TEM53I0U077B74
Wolters Kluwer NV
000000000
446.00000000
NS
32032.80000000
0.029646112484
Long
EC
CORP
NL
N
2
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
343000.00000000
PA
89904.56000000
0.083205985696
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
SS&C Technologies Holdings Inc
529900POY8H7NPPNKK71
SS&C Technologies Holdings Inc
78467J100
2550.00000000
NS
USD
153127.50000000
0.141718335252
Long
EC
CORP
US
N
1
N
N
N
Telenor ASA
549300IM1QSBY4SLPM26
Telenor ASA
000000000
9153.00000000
NS
167111.50000000
0.154660420770
Long
EC
CORP
NO
N
2
N
N
N
Kuehne + Nagel International AG
529900Q0YED3805QXQ66
Kuehne + Nagel International AG
000000000
990.00000000
NS
160907.34000000
0.148918517932
Long
EC
CORP
CH
N
2
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
000000000
378.00000000
NS
30941.76000000
0.028636363272
Long
EC
CORP
CA
N
1
N
N
N
Booz Allen Hamilton Holding Co
529900JPV47PIUWMA015
Booz Allen Hamilton Holding Corp
099502106
370.00000000
NS
USD
26921.20000000
0.024915365607
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-24.69000000
-0.00002285040
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1493.09000000
USD
1463.00000000
CHF
2020-01-10
-24.69000000
N
N
N
Vonovia SE
5299005A2ZEP6AP7KM81
Vonovia SE
000000000
353.00000000
NS
18374.45000000
0.017005413561
Long
EC
CORP
DE
N
2
N
N
N
Vicinity Centres
N/A
Vicinity Centres
000000000
48315.00000000
NS
87489.49000000
0.080970856801
Long
EC
AU
N
2
N
N
N
Sampo Oyj
743700UF3RL386WIDA22
Sampo Oyj
000000000
570.00000000
NS
23048.55000000
0.021331257520
Long
EC
CORP
FI
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
9342.47000000
0.008646384846
N/A
DFE
SE
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
385842.01000000
USD
3775110.00000000
SEK
2020-01-08
9342.47000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2244.28000000
-0.00207706405
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
159221.06000000
USD
142000.00000000
EUR
2020-01-16
-2244.28000000
N
N
N
Spirit Realty Capital Inc
549300LTU6LVPZSHMJ25
Spirit Realty Capital Inc
84860W201
2600.00000000
NS
USD
66300.00000000
0.061360145155
Long
EP
US
N
1
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
000000000
583.00000000
NS
33615.88000000
0.031111240970
Long
EC
CORP
CA
N
1
N
N
N
Walt Disney Co/The
549300GZKULIZ0WOW665
Walt Disney Co/The
254687106
181.00000000
NS
USD
27435.98000000
0.025391790577
Long
EC
CORP
US
N
1
N
N
N
AerCap Holdings NV
549300SZYINBBLJQU475
AerCap Holdings NV
000000000
2660.00000000
NS
USD
164414.60000000
0.152164460355
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-2392.94000000
-0.00221464774
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
682216.00000000
NZD
435904.30000000
USD
2020-01-17
-2392.94000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-1175.74000000
-0.00108813841
N/A
DFE
TW
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
600059.11000000
USD
18170390.00000000
TWD
2020-02-20
-1175.74000000
N
N
N
Summit Hotel Properties Inc
N/A
Summit Hotel Properties Inc
866082605
5975.00000000
NS
USD
150390.75000000
0.139185493966
Long
EP
US
N
1
N
N
N
Essent Group Ltd
254900QUO860OUT6ZF83
Essent Group Ltd
000000000
46.00000000
NS
USD
2513.90000000
0.002326595307
Long
EC
CORP
US
N
1
N
N
N
COSTA RICA GOVERNMENT
N/A
Costa Rica Government International Bond
000000000
400000.00000000
PA
USD
403250.00000000
0.373204804430
Long
DBT
NUSS
CR
N
2
2045-03-12
Fixed
7.16000000
N
N
N
N
N
N
Hersha Hospitality Trust
549300DNC58BIN1VO064
Hersha Hospitality Trust
427825609
2100.00000000
NS
USD
52416.00000000
0.048510608875
Long
EP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS0XPS0 IRS USD R F 2.70750 IS0XPS0 CCPVANILLA / Short: SS0XPS0 IRS USD P V 03MLIBOR IS0XPT1 CCPVANILLA
000000000
70000.00000000
OU
Notional Amount
USD
12261.40000000
0.011347832334
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2045-09-04
0.00000000
USD
0.00000000
USD
70000.00000000
USD
12261.40000000
N
N
N
Unilever NV
549300TK7G7NZTVM1Z30
Unilever NV
000000000
3464.00000000
NS
206083.56000000
0.190728765545
Long
EC
CORP
NL
N
2
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS1JYL3 IRS USD R F 2.69000 IS1JYL3 CCPVANILLA / Short: SS1JYL3 IRS USD P V 03MLIBOR IS1JYM4 CCPVANILLA
000000000
350000.00000000
OU
Notional Amount
USD
30306.88000000
0.028048786666
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2028-01-23
0.00000000
USD
0.00000000
USD
350000.00000000
USD
30306.88000000
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-16466.37000000
-0.01523950005
N/A
DFE
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
8506418.00000000
SEK
873998.90000000
USD
2020-01-08
-16466.37000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
DAX INDEX FUTURE DEC19 XEUR 20191220
000000000
1.00000000
NC
23778.64000000
0.022006950256
N/A
DE
DE
N
2
Eurex Deutschland
529900LN3S50JPU47S06
Long
DAX Index
GXZ9 Index
2019-12-20
309190.59000000
EUR
23778.64000000
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
NIGERIA TREASURY BILLS
000000000
19440000.00000000
PA
51506.17000000
0.047668568138
Long
STIV
NUSS
NG
N
2
2020-03-19
None
0.00000000
N
N
N
N
N
N
Coca-Cola European Partners PLC
549300LTH67W4GWMRF57
Coca-Cola European Partners PLC
000000000
1268.00000000
NS
USD
63983.28000000
0.059216038435
Long
EC
CORP
GB
N
1
N
N
N
Cerner Corp
549300L4UJ40IEVVI304
Cerner Corp
156782104
2249.00000000
NS
USD
161005.91000000
0.149009743716
Long
EC
CORP
US
N
1
N
N
N
Anthem Inc
8MYN82XMYQH89CTMTH67
Anthem Inc
036752103
73.00000000
NS
USD
21072.18000000
0.019502142134
Long
EC
CORP
US
N
1
N
N
N
Caterpillar Inc
WRJR7GS4GTRECRRTVX92
Caterpillar Inc
149123101
269.00000000
NS
USD
38932.37000000
0.036031611982
Long
EC
CORP
US
N
1
N
N
N
Southern Co/The
549300FC3G3YU2FBZD92
Southern Co/The
842587107
3126.00000000
NS
USD
193780.74000000
0.179342599315
Long
EC
CORP
US
N
1
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
Visa, Inc. Class A
92826C839
504.00000000
NS
USD
92993.04000000
0.086064350419
Long
EC
CORP
US
N
1
N
N
N
Daiwa Securities Group Inc
353800WRC7Y23PWFJG38
Daiwa Securities Group Inc
000000000
28200.00000000
NS
143067.48000000
0.132407863344
Long
EC
CORP
JP
N
2
N
N
IA FINANCIAL CORP INC
549300ZXLJVHQAIXV215
IA FINANCIAL CORP INC
000000000
3095.00000000
NS
158443.12000000
0.146637901086
Long
EC
CORP
CA
N
1
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
10YR MINI JGB FUT DEC19 XSIM 20191212
000000000
38.00000000
NC
-54166.06000000
-0.05013027607
N/A
DIR
SG
N
1
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Long
Mini Japan Government Ten Year Bond
BJZ9 Comdty
2019-12-12
587896850.00000000
JPY
-54166.06000000
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389X105
766.00000000
NS
USD
43003.24000000
0.039799171169
Long
EC
CORP
US
N
1
N
N
N
Airbus SE
MINO79WLOO247M1IL051
Airbus SE
000000000
91.00000000
NS
13371.96000000
0.012375647158
Long
EC
CORP
FR
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-2.08000000
-0.00000192502
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
61400.00000000
DKK
9061.56000000
USD
2019-12-16
-2.08000000
N
N
N
Edwards Lifesciences Corp
YA13X31F3V31L8TMPR58
Edwards Lifesciences Corp
28176E108
819.00000000
NS
USD
200605.86000000
0.185659195905
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SS1XX74 IRS EUR R F .07300 IS1XX74 CCPVANILLA / Short: SS1XX74 IRS EUR P V 06MEURIB IS1XX85 CCPVANILLA
000000000
180000.00000000
OU
Notional Amount
354.21000000
0.000327818657
N/A
DIR
US
N
2
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Euribor 6 Month
EUR006M Index
Y
2029-11-18
0.00000000
EUR
0.00000000
EUR
180000.00000000
EUR
354.21000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
-1494.15000000
-0.00138282444
N/A
DFE
CZ
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
107310.10000000
USD
2450000.00000000
CZK
2020-01-09
-1494.15000000
N
N
N
URSTADT BIDDLE PROPERTIE
549300XXD0YL0AER3Z82
Urstadt Biddle Properties Inc
917286874
6500.00000000
NS
USD
165425.00000000
0.153099577862
Long
EP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-7347.79000000
-0.00680032369
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
3919582.00000000
SEK
402960.25000000
USD
2020-01-08
-7347.79000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED HKD / SOLD USD
000000000
1.00000000
NC
-1.71000000
-0.00000158259
N/A
DFE
HK
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
7933.67000000
USD
62100.00000000
HKD
2019-12-16
-1.71000000
N
N
N
CH Robinson Worldwide Inc
529900WNWN5L0OVDHA79
CH Robinson Worldwide Inc
12541W209
85.00000000
NS
USD
6532.25000000
0.006045547634
Long
EC
CORP
US
N
1
N
N
N
Taubman Centers Inc
N/A
Taubman Centers Inc
876664608
7450.00000000
NS
USD
188857.50000000
0.174786178184
Long
EP
US
N
1
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
4861.54000000
0.004499318251
N/A
DFE
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
4182238.00000000
BRL
991122.12000000
USD
2020-01-03
4861.54000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
150000.00000000
PA
USD
158100.00000000
0.146320346138
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
Covivio
969500P8M3W2XX376054
Covivio
000000000
1327.00000000
NS
146799.97000000
0.135862254418
Long
EC
FR
N
2
N
N
N
Juniper Networks Inc
AUHIXNGG7U2U7JEHM527
Juniper Networks Inc
48203R104
1917.00000000
NS
USD
48040.02000000
0.044460672706
Long
EC
CORP
US
N
1
N
N
N
Kimco Realty Corp
549300EA7I6T15IBYS12
Kimco Realty Corp
49446R737
7550.00000000
NS
USD
191241.50000000
0.176992552031
Long
EP
US
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
AJ62285 EURO STOXX 50 INDEX DEC19 3825 CALL
000000000
-510.00000000
NC
-2042.54000000
-0.00189035521
N/A
DE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
EURO STOXX 50 Index
SX5E Index
1.00000000
3825.00000000
EUR
2019-12-20
XXXX
2459.13000000
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833100
2678.00000000
NS
USD
715695.50000000
0.662370735547
Long
EC
CORP
US
N
1
N
N
N
Asx - Trade24
549300USWUR0S7VMM868
SPI 200 FUTURES DEC19 XSFE 20191219
000000000
-6.00000000
NC
-22131.29000000
-0.02048234037
N/A
DE
AU
N
2
Asx - Trade24
549300USWUR0S7VMM868
Short
S&P/ASX 200
XPZ9 Index
2019-12-19
-996549.36000000
AUD
-22131.29000000
N
N
N
Skanska AB
549300UINV5RINHGMG07
Skanska AB
000000000
5510.00000000
NS
121749.52000000
0.112678253691
Long
EC
CORP
SE
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1VSF1 IRS NZD R F 1.19000 IS1VSF1 CCPVANILLA / Short: SS1VSF1 IRS NZD P V 03MNZDBB IS1VSG2 CCPVANILLA
000000000
310000.00000000
OU
Notional Amount
-5094.79000000
-0.00471518935
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
New Zealand Bank Bills 3 Months
MNDBB3 Index
Y
2029-09-02
0.00000000
NZD
0.00000000
NZD
310000.00000000
NZD
-5094.79000000
N
N
N
Reinsurance Group of America Inc
LORM1GNEU1DKEW527V90
Reinsurance Group of America Inc
759351604
125.00000000
NS
USD
20682.50000000
0.019141496261
Long
EC
CORP
US
N
1
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
NIGERIA T BILL
000000000
3450000.00000000
PA
9310.03000000
0.008616361873
Long
STIV
NUSS
NG
N
2
2020-01-30
Fixed
14.95000000
N
N
N
N
N
N
Aviva PLC
YF0Y5B0IB8SM0ZFG9G81
Aviva PLC
000000000
23705.00000000
NS
123639.55000000
0.114427462064
Long
EC
CORP
GB
N
2
N
N
N
PS Business Parks Inc
N/A
PS Business Parks Inc
69360J578
6600.00000000
NS
USD
167310.00000000
0.154844131008
Long
EP
US
N
1
N
N
N
Newmont Goldcorp Corp
549300VSP3RIX7FGDZ51
Newmont Goldcorp Corp
651639106
2491.00000000
NS
USD
95654.40000000
0.088527418834
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
990.67000000
0.000916857541
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
185928.00000000
CHF
187604.81000000
USD
2020-01-10
990.67000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: IS1XFF6 TRS USD R E IS1XFF6 EQUITYTRS / Short: IS1XFF6 TRS USD P F .11000 IS1XFG7 EQUITYTRS
000000000
33936580.81000000
OU
Notional Amount
USD
-57603.37000000
-0.05331148031
N/A
DE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPABSAA1
JPABSAA1
ESSENT GROUP LTD_ESNT
3223.51000000
USD
176164.59000000
USD
SWISS RE AG_SREN
1719.36000000
USD
186327.94000000
USD
PARTNERS GROUP HOLDING AG_PGHN
421.59000000
USD
355716.97000000
USD
HOME DEPOT INC_HD
1766.79000000
USD
389594.77000000
USD
TOTAL SA_FP
3805.20000000
USD
199879.06000000
USD
BRISTOL-MYERS SQUIBB CO_BMY
5771.25000000
USD
328614.72000000
USD
RENAISSANCERE HOLDINGS LTD_RNR
1223.22000000
USD
230369.08000000
USD
REINSURANCE GROUP OF AMERICA_RGA
1617.52000000
USD
267634.67000000
USD
MSCI Daily TR Gross EAFE_GDDUEAFE
-1157.81000000
USD
-9692440.44000000
USD
FACEBOOK INC-CLASS A_FB
856.86000000
USD
172776.81000000
USD
KONINKLIJKE AHOLD DELHAIZE N_AD
13401.70000000
USD
345553.63000000
USD
EXPERIAN PLC_EXPN
103.21000000
USD
342165.85000000
USD
PROCTER & GAMBLE CO/THE_PG
3552.65000000
USD
433635.92000000
USD
CHECK POINT SOFTWARE TECH_CHKP
4483.32000000
USD
528493.78000000
USD
AUTOMATIC DATA PROCESSING_ADP
3411.98000000
USD
582698.27000000
USD
REPUBLIC SERVICES INC_RSG
2216.48000000
USD
196491.28000000
USD
COMCAST CORP-CLASS A_CMCSA
9898.61000000
USD
437023.70000000
USD
WALMART INC_WMT
5205.84000000
USD
619963.86000000
USD
GLOBAL PAYMENTS INC_GPN
972.75000000
USD
176164.59000000
USD
AUTOZONE INC_AZO
330.75000000
USD
389594.77000000
USD
NICE LTD_NICE
2929.56000000
USD
443799.27000000
USD
MSCI Daily TR Gross Cana_GDDUCA
-124.31000000
USD
-979068.61000000
USD
AIRBUS SE_AIR
1220.72000000
USD
179552.37000000
USD
PEPSICO INC_PEP
1995.31000000
USD
271022.45000000
USD
VONOVIA SE_VNA
4418.11000000
USD
230369.08000000
USD
ENEL SPA_ENEL
53330.22000000
USD
403145.90000000
USD
ROYAL DUTCH SHELL PLC-B SHS_RDSB
198.57000000
USD
562371.59000000
USD
WOLTERS KLUWER_WKL
5894.22000000
USD
423472.58000000
USD
CME GROUP INC_CME
1687.79000000
USD
342165.85000000
USD
MORINAGA & CO LTD_2201
7180.57000000
USD
365880.31000000
USD
C.H. ROBINSON WORLDWIDE INC_CHRW
3482.56000000
USD
267634.67000000
USD
MERLIN PROPERTIES SOCIMI SA_MRL
23452.68000000
USD
335390.28000000
USD
ROYAL BANK OF CANADA_RY
5049.00000000
USD
413309.24000000
USD
ADIDAS AG_ADS
1488.73000000
USD
464125.95000000
USD
ANTHEM INC_ANTM
762.86000000
USD
220205.74000000
USD
TEXAS INSTRUMENTS INC_TXN
2620.94000000
USD
315063.60000000
USD
PROGRESSIVE CORP_PGR
4359.36000000
USD
318451.38000000
USD
ROCHE HOLDING AG-GENUSSCHEIN_ROG
2647.39000000
USD
816455.14000000
USD
UNILEVER PLC_ULVR
45.20000000
USD
267634.67000000
USD
ZURICH INSURANCE GROUP AG_ZURN
793.97000000
USD
311675.82000000
USD
MTU AERO ENGINES AG_MTX
649.74000000
USD
176164.59000000
USD
J.P. Morgan Cash Index USD 1 M_JPCAUS1M
-25899.26000000
USD
-7825773.30000000
USD
AMERICAN FINANCIAL GROUP INC_AFG
3551.13000000
USD
389594.77000000
USD
DNB ASA_DNB
10077.55000000
USD
169389.03000000
USD
GLAXOSMITHKLINE PLC_GSK
77.65000000
USD
176164.59000000
USD
DAIICHIKOSHO CO LTD_7458
3217.12000000
USD
159225.69000000
USD
CONSTELLATION SOFTWARE INC_CSU
443.64000000
USD
474289.29000000
USD
MCDONALD'S CORP_MCD
1759.39000000
USD
342165.85000000
USD
MERCK & CO. INC._MRK
5906.66000000
USD
514942.66000000
USD
PFIZER INC_PFE
8179.22000000
USD
315063.60000000
USD
QANTAS AIRWAYS LTD_QAN
115265.16000000
USD
569147.15000000
USD
PHILIP MORRIS INTERNATIONAL_PM
5555.75000000
USD
460738.17000000
USD
GALENICA AG_GALE
4615.42000000
USD
277798.01000000
USD
REPSOL SA_REP
16771.02000000
USD
264246.89000000
USD
ORACLE CORP_ORCL
10017.31000000
USD
562371.59000000
USD
NOVO NORDISK A/S-B_NOVOB
6564.29000000
USD
369268.09000000
USD
APPLE INC_AAPL
2864.88000000
USD
765638.43000000
USD
CAPGEMINI SE_CAP
2261.11000000
USD
267634.67000000
USD
AMADEUS IT GROUP SA_AMS
3442.26000000
USD
274410.23000000
USD
PAYCHEX INC_PAYX
5940.02000000
USD
511554.88000000
USD
JPMORGAN CHASE & CO_JPM
1619.84000000
USD
213430.18000000
USD
COGECO COMMUNICATIONS INC_CCA
2039.49000000
USD
176164.59000000
USD
UNITEDHEALTH GROUP INC_UNH
1960.98000000
USD
548820.47000000
USD
SYSCO CORP_SYY
3953.46000000
USD
318451.38000000
USD
MICROSOFT CORP_MSFT
6803.31000000
USD
1029885.32000000
USD
ADMIRAL GROUP PLC_ADM
128.51000000
USD
355716.97000000
USD
ASTELLAS PHARMA INC_4503
15296.75000000
USD
260859.11000000
USD
BOOZ ALLEN HAMILTON HOLDINGS_BAH
4888.91000000
USD
355716.97000000
USD
CITRIX SYSTEMS INC_CTXS
2072.13000000
USD
233756.86000000
USD
ARISTOCRAT LEISURE LTD_ALL
19933.78000000
USD
457350.39000000
USD
HKT TRUST AND HKT LTD-SS_6823
230999.13000000
USD
338778.07000000
USD
S&P 500 TR 4 JAN 1988_SPTR
-2551.39000000
USD
-16230857.10000000
USD
AUTO TRADER GROUP PLC_AUTO
633.80000000
USD
460738.17000000
USD
KBC GROUP NV_KBC
4227.41000000
USD
308288.04000000
USD
VISA INC-CLASS A SHARES_V
1542.32000000
USD
284573.57000000
USD
L3HARRIS TECHNOLOGIES INC_LHX
1853.18000000
USD
372655.87000000
USD
DECKERS OUTDOOR CORP_DECK
1692.08000000
USD
284573.57000000
USD
SAMPO OYJ-A SHS_SAMPO
7367.39000000
USD
298124.70000000
USD
NESTLE SA-REG_NESN
3420.76000000
USD
355716.97000000
USD
HANG SENG BANK LTD_11
6978.61000000
USD
142286.79000000
USD
DOLLAR GENERAL CORP_DG
3057.10000000
USD
481064.85000000
USD
PNC FINANCIAL SERVICES GROUP_PNC
2454.43000000
USD
376043.65000000
USD
BAE SYSTEMS PLC_BA/
310.60000000
USD
230369.08000000
USD
DBS GROUP HOLDINGS LTD_DBS
16512.31000000
USD
304900.26000000
USD
ALPHABET INC-CL C_GOOG
236.24000000
USD
308288.04000000
USD
BANK LEUMI LE-ISRAEL_LUMI
67613.75000000
USD
569147.15000000
USD
SG HOLDINGS CO LTD_9143
9183.07000000
USD
220205.74000000
USD
FIDELITY NATIONAL FINANCIAL_FNF
10740.18000000
USD
511554.88000000
USD
RELX PLC_REN
23484.36000000
USD
569147.15000000
USD
CHEVRON CORP_CVX
2082.47000000
USD
243920.21000000
USD
NIPPON TELEGRAPH & TELEPHONE_9432
7249.42000000
USD
365880.31000000
USD
FIDELITY NATIONAL INFO SERV_FIS
1790.14000000
USD
247307.99000000
USD
MASTERCARD INC - A_MA
730.35000000
USD
213430.18000000
USD
COMPASS GROUP PLC_CPG
80.18000000
USD
196491.28000000
USD
SALMAR ASA_SALM
8741.71000000
USD
416697.02000000
USD
NIPPON BUILDING FUND INC_8951
42.88000000
USD
321839.16000000
USD
ROSS STORES INC_ROST
4900.10000000
USD
569147.15000000
USD
ORACLE CORP JAPAN_4716
5820.99000000
USD
535269.34000000
USD
ELI LILLY & CO_LLY
3031.25000000
USD
355716.97000000
USD
TORONTO-DOMINION BANK_TD
7814.02000000
USD
450574.83000000
USD
Y
equity-performance leg
2019-11-29
0.00000000
USD
0.00000000
USD
33936580.81000000
USD
-57603.37000000
N
N
N
Amadeus IT Group SA
9598004A3FTY3TEHHN09
Amadeus IT Group SA
000000000
275.00000000
NS
21880.35000000
0.020250097315
Long
EC
CORP
ES
N
2
N
N
N
HKT Trust & HKT Ltd
N/A
HKT Trust & HKT Ltd
000000000
17000.00000000
NS
24931.58000000
0.023073987447
Long
EC
CORP
HK
N
2
N
N
N
Suncorp Group Ltd
549300BVOKRTHDIWVT46
Suncorp Group Ltd
000000000
13370.00000000
NS
121122.24000000
0.112097710828
Long
EC
CORP
AU
N
2
N
N
Seattle Genetics Inc
N/A
Seattle Genetics Inc
812578102
240.00000000
NS
USD
28884.00000000
0.026731922061
Long
EC
CORP
US
N
1
N
N
N
Astellas Pharma Inc
529900IB708DY2HBBB35
Astellas Pharma Inc
000000000
3800.00000000
NS
64876.49000000
0.060042697489
Long
EC
CORP
JP
N
2
N
N
N
PS BUSINESS PARKS INC
N/A
PS Business Parks Inc
69360J552
2700.00000000
NS
USD
67635.00000000
0.062595677489
Long
EP
US
N
1
N
N
N
Polaris Inc
549300QJSN8UVWN1EI78
Polaris Inc
731068102
1550.00000000
NS
USD
151435.00000000
0.140151939389
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-582.01000000
-0.00053864582
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
404000.00000000
ILS
115765.88000000
USD
2019-12-16
-582.01000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-372.55000000
-0.00034479218
N/A
DFE
JP
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
61112.47000000
USD
6640200.00000000
JPY
2019-12-16
-372.55000000
N
N
N
Digital Realty Trust Inc
549300HKCZ31D08NEI41
Digital Realty Trust Inc
253868855
7000.00000000
NS
USD
176750.00000000
0.163580779127
Long
EP
US
N
1
N
N
N
Vornado Realty Trust
N/A
Vornado Realty Trust
929042844
4100.00000000
NS
USD
103361.00000000
0.095659818451
Long
EP
US
N
1
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet, Inc. Class A
02079K305
88.00000000
NS
USD
114759.92000000
0.106209432114
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SS1WAE7SP IRS CHF R V 06MLIBOR SPREAD OF SS1WAE7 / Short: SS1WAE7SP IRS CHF P F .38250 -0.3825 FIX RATE ON SS1WAE7
000000000
540000.00000000
OU
Notional Amount
328.19000000
0.000303737345
N/A
DIR
CH
N
N/A
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
N/A
N/A
Y
2029-09-24
0.00000000
CHF
0.00000000
CHF
540000.00000000
CHF
327.06000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-3082.02000000
-0.00285238604
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
807806.00000000
NZD
515901.91000000
USD
2020-01-17
-3082.02000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-114.11000000
-0.00010560793
N/A
DFE
NZ
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
244403.52000000
USD
380240.00000000
NZD
2020-01-17
-114.11000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-5733.23000000
-0.00530606070
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
722000.00000000
TRY
119714.61000000
USD
2019-12-05
-5733.23000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
1070.10000000
0.000990369401
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
415124087.00000000
HUF
1371359.01000000
USD
2020-01-09
1070.10000000
N
N
N
Centrica PLC
E26EDV109X6EEPBKVH76
Centrica PLC
000000000
164530.00000000
NS
170697.41000000
0.157979153170
Long
EC
CORP
GB
N
1
N
N
N
AutoZone Inc
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332102
25.00000000
NS
USD
29448.00000000
0.027253899766
Long
EC
CORP
US
N
1
N
N
N
Seagate Technology PLC
396PBGKP6TE3O062MS44
Seagate Technology PLC
000000000
2964.00000000
NS
USD
176891.52000000
0.163711754809
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS1WA25 IRS USD R V 03MLIBOR IS1WA36 CCPVANILLA / Short: BS1WA25 IRS USD P F 1.65500 IS1WA25 CCPVANILLA
000000000
270000.00000000
OU
Notional Amount
USD
1394.21000000
0.001290330738
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2029-09-24
0.00000000
USD
0.00000000
USD
270000.00000000
USD
1394.21000000
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp. Class A
20030N101
765.00000000
NS
USD
33774.75000000
0.031258273945
Long
EC
CORP
US
N
1
N
N
N
LUKOIL PJSC
549300LCJ1UJXHYBWI24
LUKOIL PJSC
69343P105
3864.00000000
NS
USD
368161.92000000
0.340731053570
Long
EC
CORP
US
N
1
N
N
N
Live Nation Entertainment Inc
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034109
693.00000000
NS
USD
48378.33000000
0.044773776035
Long
EC
CORP
US
N
1
N
N
N
Koninklijke Ahold Delhaize NV
724500C9GNBV20UYRX36
Koninklijke Ahold Delhaize NV
000000000
982.00000000
NS
25292.83000000
0.023408321571
Long
EC
CORP
NL
N
2
N
N
N
Evraz PLC
5493005B7DAN39RXLK23
Evraz PLC
000000000
33598.00000000
NS
160896.67000000
0.148908642928
Long
EC
CORP
GB
N
2
N
N
N
Partners Group Holding AG
549300I3IVVWZWDHI788
Partners Group Holding AG
000000000
32.00000000
NS
26986.96000000
0.024976225986
Long
EC
CORP
CH
N
2
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
59957.13000000
0.055489867268
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
4182238.00000000
BRL
1047801.80000000
USD
2019-12-03
59957.13000000
N
N
N
S&P Global Inc
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409V104
755.00000000
NS
USD
199810.75000000
0.184923327655
Long
EC
CORP
US
N
1
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
4560.47000000
0.004220680259
N/A
DFE
CN
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
401166.58000000
USD
2857309.00000000
CNY
2020-02-13
4560.47000000
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525103
2520.00000000
NS
USD
210546.00000000
0.194858719785
Long
EC
CORP
US
N
1
N
N
N
ServiceNow Inc
549300HJTQM36M0E1G39
ServiceNow Inc
81762P102
744.00000000
NS
USD
210581.76000000
0.194891815393
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-0.47000000
-0.00000043498
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1001.81000000
USD
1000.00000000
CHF
2019-12-16
-0.47000000
N
N
N
Cedar Realty Trust Inc
54930056URX93R2RSN82
Cedar Realty Trust Inc
150602506
4425.00000000
NS
USD
102217.50000000
0.094601517909
Long
EP
US
N
1
N
N
N
Whirlpool Corp
WHENKOULSSK7WUM60H03
Whirlpool Corp
963320106
1012.00000000
NS
USD
144817.20000000
0.134027215881
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1M2Q3 IRS USD R F 3.01100 IS1M2Q3 CCPVANILLA / Short: SS1M2Q3 IRS USD P V 03MLIBOR IS1M2R4 CCPVANILLA
000000000
120000.00000000
OU
Notional Amount
USD
12962.49000000
0.011996685791
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2028-04-25
0.00000000
USD
0.00000000
USD
120000.00000000
USD
12962.49000000
N
N
N
Coca-Cola Amatil Ltd
JOR7RJTXUXBRJ4UA5G70
Coca-Cola Amatil Ltd
000000000
7790.00000000
NS
59989.32000000
0.055519658868
Long
EC
CORP
AU
N
2
N
N
N
Ross Stores Inc
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296103
386.00000000
NS
USD
44833.90000000
0.041493433059
Long
EC
CORP
US
N
1
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156R108
3645.00000000
NS
USD
181921.95000000
0.168367379470
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1VXU1 IRS USD R F 1.50900 IS1VXU1 CCPVANILLA / Short: SS1VXU1 IRS USD P V 03MLIBOR IS1VXV2 CCPVANILLA
000000000
350000.00000000
OU
Notional Amount
USD
-6558.99000000
-0.00607029530
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2029-09-11
0.00000000
USD
0.00000000
USD
350000.00000000
USD
-6558.99000000
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
Walmart Inc
931142103
394.00000000
NS
USD
46921.46000000
0.043425453943
Long
EC
CORP
US
N
1
N
N
N
AES Corp/VA
2NUNNB7D43COUIRE5295
AES Corp/VA
00130H105
9227.00000000
NS
USD
174482.57000000
0.161482289927
Long
EC
CORP
US
N
1
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT MAR20 XMOD 20200320
000000000
6.00000000
NC
442.04000000
0.000409104654
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Canadian Government Bond
CNH0 Comdty
2020-03-20
839832.84000000
CAD
442.04000000
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918104
4619.00000000
NS
USD
699224.22000000
0.647126691328
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
AJ61550 NIKKEI 225 INDEX DEC19 24375 CALL
000000000
-5000.00000000
NC
-612.10000000
-0.00056649388
N/A
DE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Nikkei 225 Index
NKY Index
1.00000000
24375.00000000
JPY
2019-12-13
XXXX
1956.65000000
N
N
N
Rexford Industrial Realty Inc
549300MSLO0DF0EMX355
Rexford Industrial Realty Inc
76169C209
3400.00000000
NS
USD
87210.00000000
0.080712190934
Long
EP
US
N
1
N
N
N
Nasdaq Nordic
N/A
OMXS30 IND FUTURE DEC19 XSTO 20191220
000000000
12.00000000
NC
-4476.60000000
-0.00414305921
N/A
DE
SE
N
2
Nasdaq Nordic
N/A
Long
OMXS30 Index
QCZ9 Index
2019-12-20
2119169.52000000
SEK
-4476.60000000
N
N
N
Hitachi Ltd
549300T6IPOCDWLKC615
Hitachi Ltd
000000000
3800.00000000
NS
149659.29000000
0.138508533306
Long
EC
CORP
JP
N
2
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
200000.00000000
PA
USD
214625.00000000
0.198633803226
Long
DBT
NUSS
EG
N
2
2049-03-01
Fixed
8.70000000
N
N
N
N
N
N
Legal & General Group PLC
213800JH9QQWHLO99821
Legal & General Group PLC
000000000
44301.00000000
NS
160767.13000000
0.148788754644
Long
EC
CORP
GB
N
2
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505104
1673.00000000
NS
USD
55744.36000000
0.051590980711
Long
EC
CORP
US
N
1
N
N
N
Investec PLC
2138007Z3U5GWDN3MY22
Investec PLC
000000000
24247.00000000
NS
137425.21000000
0.127185985423
Long
EC
CORP
GB
N
2
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-8287.29000000
-0.00766982379
N/A
DFE
JP
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1013692.47000000
USD
109550658.00000000
JPY
2020-01-30
-8287.29000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
1887.14000000
0.001746533700
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1509343.00000000
NOK
165651.22000000
USD
2020-01-08
1887.14000000
N
N
N
Brookfield Property REIT Inc
549300K1JD1LDRNBET48
Brookfield Property REIT Inc
11282X202
4300.00000000
NS
USD
108575.00000000
0.100485335749
Long
EP
US
N
1
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585A102
2840.00000000
NS
USD
172217.60000000
0.159386077439
Long
EC
CORP
US
N
1
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SS1XCH7SP IRS CHF R V 06MLIBOR SPREAD OF SS1XCH7 / Short: SS1XCH7SP IRS CHF P F .23500 SPREAD OF SS1XCH7
000000000
1090000.00000000
OU
Notional Amount
541.18000000
0.000500857969
N/A
DIR
CH
N
N/A
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
ICE Libor CHF 6 Months
SF0006M Index
Y
2029-11-04
0.00000000
CHF
0.00000000
CHF
1090000.00000000
CHF
541.18000000
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
FTSE 100 IDX FUT DEC19 IFLL 20191220
000000000
-4.00000000
NC
-5748.90000000
-0.00532056317
N/A
DE
GB
N
2
ICE Futures Europe
549300UF4R84F48NCH34
Short
FTSE 100 Index
Z Z9 Index
2019-12-20
-290145.40000000
GBP
-5748.90000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
1655.09000000
0.001531773192
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
21930000.00000000
JPY
202918.47000000
USD
2020-01-30
1655.09000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CNY / SOLD USD
000000000
1.00000000
NC
4956.58000000
0.004587277047
N/A
DFE
CN
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
501827.90000000
USD
3569000.00000000
CNY
2020-02-13
4956.58000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: IS1JYN5 IRS USD R V 12MUSCPI IS1JYO6 INFLATIONZERO / Short: IS1JYN5 IRS USD P F 2.21250 IS1JYN5 INFLATIONZERO
000000000
610000.00000000
OU
Notional Amount
USD
-14072.38000000
-0.01302388053
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
US CPI Urban Consumers NSA
CPURNSA Index
Y
2023-01-19
0.00000000
USD
0.00000000
USD
610000.00000000
USD
-14072.38000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-14.46000000
-0.00001338261
N/A
DFE
JP
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2941.60000000
USD
320000.00000000
JPY
2019-12-16
-14.46000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-13701.99000000
-0.01268108741
N/A
DFE
NO
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
475174.87000000
USD
4253196.80000000
NOK
2020-01-08
-13701.99000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1WAG9 IRS NOK R F 1.68100 IS1WAG9 CCPVANILLA / Short: SS1WAG9 IRS NOK P V 06MNIBOR IS1WAH0 CCPVANILLA
000000000
1620000.00000000
OU
Notional Amount
-3175.80000000
-0.00293917871
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Norwegian Interbank Offer Rate 6 Months
NIBOR6M Index
Y
2029-09-24
0.00000000
NOK
0.00000000
NOK
1620000.00000000
NOK
-3175.80000000
N
N
N
Power Corp of Canada
549300BE2CB8T87IJV50
Power Corp of Canada
000000000
6734.00000000
NS
163445.13000000
0.151267223253
Long
EC
CORP
CA
N
1
N
N
N
Nomura Holdings Inc
549300B3CEAHYG7K8164
Nomura Holdings Inc
000000000
34900.00000000
NS
178879.45000000
0.165551568887
Long
EC
CORP
JP
N
2
N
N
N
CenturyLink Inc
8M3THTGWLTYZVE6BBY25
CenturyLink Inc
156700106
11310.00000000
NS
USD
163881.90000000
0.151671450562
Long
EC
CORP
US
N
1
N
N
N
Imperial Brands PLC
549300DFVPOB67JL3A42
Imperial Brands PLC
000000000
7522.00000000
NS
165499.67000000
0.153168684378
Long
EC
CORP
GB
N
2
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
200000.00000000
PA
USD
210062.50000000
0.194411244217
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
Home Depot Inc/The
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076102
252.00000000
NS
USD
55568.52000000
0.051428242130
Long
EC
CORP
US
N
1
N
N
N
Vermilion Energy Inc
WT03B8BB1IX8WI9ZGV02
Vermilion Energy Inc
000000000
8679.00000000
NS
124797.79000000
0.115499404365
Long
EC
CORP
CA
N
1
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558103
3260.00000000
NS
USD
219202.40000000
0.202870152071
Long
EC
CORP
US
N
1
N
N
N
London Clearing House
F226TOH6YD6XJB17KS62
Long: SS1XX96 IRS USD R F 1.72750 IS1XX96 CCPVANILLA / Short: SS1XX96 IRS USD P V 03MLIBOR IS1XXA7 CCPVANILLA
000000000
240000.00000000
OU
Notional Amount
USD
547.40000000
0.000506614531
N/A
DIR
US
N
2
London Clearing House
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2029-11-18
0.00000000
USD
0.00000000
USD
240000.00000000
USD
547.40000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-2196.08000000
-0.00203245531
N/A
DFE
AU
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
178667.73000000
USD
260543.00000000
AUD
2020-01-23
-2196.08000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1VY86 IRS EUR R F .00000 SS1VY86/-0.1570000/LCH / Short: SS1VY86 IRS EUR P V 06MLIBOR IS1VY97 IRSLV511221 LCH
000000000
280000.00000000
OU
Notional Amount
-6118.19000000
-0.00566233825
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2029-09-12
0.00000000
EUR
0.00000000
EUR
280000.00000000
EUR
-6118.19000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SS1X835SP IRS SEK R V 03MLIBOR SPREAD OF SS1X835 / Short: SS1X835SP IRS SEK P V 03MLIBOR SPREAD OF SS1X835
000000000
1620000.00000000
OU
Notional Amount
6.91000000
0.000006395152
N/A
DIR
SE
N
N/A
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Stockholm Interbank Offer Rate 3 Months
STIB3M Index
Y
2029-10-28
0.00000000
SEK
0.00000000
SEK
1620000.00000000
SEK
6.91000000
N
N
N
Facebook Inc
BQ4BKCS1HXDV9HN80Z93
Facebook, Inc. Class A
30303M102
930.00000000
NS
USD
187525.20000000
0.173553144679
Long
EC
CORP
US
N
1
N
N
N
DBS Group Holdings Ltd
5493007FKT78NKPM5V55
DBS Group Holdings Ltd
000000000
1200.00000000
NS
22145.96000000
0.020495917348
Long
EC
CORP
SG
N
2
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS1I9N7 IRS USD R F 2.32550 IS1I9N7 CCPVANILLA / Short: SS1I9N7 IRS USD P V 03MLIBOR IS1I9O8 CCPVANILLA
000000000
280000.00000000
OU
Notional Amount
USD
14182.65000000
0.013125934580
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2027-11-08
0.00000000
USD
0.00000000
USD
280000.00000000
USD
14182.65000000
N
N
N
Global Net Lease Inc
549300NUYANCT5SU8Z65
Global Net Lease Inc
379378300
7900.00000000
NS
USD
205953.00000000
0.190607933259
Long
EP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
549300OA79DKM2EKBT58
Long: IS1XXB8 TRS USD R E IS1XXB8 / Short: IS1XXB8 TRS USD P F .20000 IS1XXB8 IS1XXC9
000000000
2056907.38000000
OU
Notional Amount
USD
137287.40000000
0.127058443317
N/A
DE
US
N
2
JPMorgan Chase Bank, National Association
549300OA79DKM2EKBT58
JPQABHY1
JPQABHY1
DISH NETWORK CORP-A_DISH
-1556.45000000
USD
-53184.06000000
USD
SABRE CORP_SABR
4320.91000000
USD
96918.06000000
USD
PLANTRONICS INC_PLT
-2090.15000000
USD
-52964.29000000
USD
QORVO INC_QRVO
942.68000000
USD
98236.68000000
USD
J.P. Morgan Cash Index USD 1 M_JPCAUS1M
-6815.73000000
USD
-2059453.88000000
USD
CHARTER COMMUNICATIONS INC-A_CHTR
204.33000000
USD
96038.99000000
USD
LADDER CAPITAL CORP-REIT_LADR
5796.10000000
USD
100214.59000000
USD
LAMB WESTON HOLDINGS INC_LW
1209.02000000
USD
101533.21000000
USD
ARCHROCK INC_AROC
-6010.33000000
USD
-50546.84000000
USD
CROWN HOLDINGS INC_CCK
1314.56000000
USD
99775.06000000
USD
ENLINK MIDSTREAM LLC_ENLC
-9716.10000000
USD
-46151.46000000
USD
FIVE POINT HOLDINGS LLC-CL A_FPH
-7721.61000000
USD
-54282.91000000
USD
ADIENT PLC_ADNT
-2503.31000000
USD
-54722.44000000
USD
WELLCARE HEALTH PLANS INC_WCG
322.08000000
USD
103730.90000000
USD
PEABODY ENERGY CORP_BTU
-5448.81000000
USD
-52744.52000000
USD
SPECTRUM BRANDS HOLDINGS INC_SPB
1620.50000000
USD
101313.44000000
USD
TALLGRASS ENERGY LP-CLASS A_TGE
-2920.43000000
USD
-52304.99000000
USD
NORWEGIAN CRUISE LINE HOLDIN_NCLH
1880.57000000
USD
100873.90000000
USD
CDW CORP/DE_CDW
724.16000000
USD
97797.14000000
USD
CHEMOURS CO/THE_CC
-2797.56000000
USD
-44173.54000000
USD
NGL ENERGY PARTNERS LP_NGL
-5178.84000000
USD
-51425.91000000
USD
TESLA INC_TSLA
-152.53000000
USD
-50327.07000000
USD
LIONS GATE ENTERTAINMENT-A_LGF/A
-5641.13000000
USD
-52744.52000000
USD
COLFAX CORP_CFX
2895.47000000
USD
97577.37000000
USD
INTELSAT SA_I
-3650.77000000
USD
-22196.65000000
USD
WYNDHAM HOTELS & RESORTS INC_WH
1813.39000000
USD
105049.51000000
USD
US FOODS HOLDING CORP_USFD
2475.65000000
USD
98456.44000000
USD
BALL CORP_BLL
1503.72000000
USD
99335.52000000
USD
GENESIS ENERGY L.P._GEL
-2855.49000000
USD
-54282.91000000
USD
VEON LTD_VEON
40540.69000000
USD
107027.43000000
USD
MICHAELS COS INC/THE_MIK
-5910.65000000
USD
-48349.15000000
USD
COMMSCOPE HOLDING CO INC_COMM
-3538.92000000
USD
-48129.38000000
USD
ARES MANAGEMENT CORP - A_ARES
-1653.75000000
USD
-54722.44000000
USD
CONSTELLIUM SE_CSTM
6792.01000000
USD
96038.99000000
USD
AES CORP_AES
5404.15000000
USD
102192.51000000
USD
MARRIOTT VACATIONS WORLD_VAC
837.28000000
USD
102851.82000000
USD
FIAT CHRYSLER AUTOMOBILES NV_FCAU
6168.43000000
USD
90984.30000000
USD
SENSATA TECHNOLOGIES HOLDING_ST
1882.27000000
USD
96918.06000000
USD
HOLOGIC INC_HOLX
2089.77000000
USD
107247.20000000
USD
ELANCO ANIMAL HEALTH INC_ELAN
3767.24000000
USD
104390.20000000
USD
UNITI GROUP INC_UNIT
-8077.81000000
USD
-54282.91000000
USD
ELDORADO RESORTS INC_ERI
1930.32000000
USD
103291.36000000
USD
SOUTHWESTERN ENERGY CO_SWN
-24633.43000000
USD
-44832.85000000
USD
KKR & CO INC -A_KKR
-1796.01000000
USD
-52964.29000000
USD
MOLINA HEALTHCARE INC_MOH
806.09000000
USD
109225.12000000
USD
TELEFLEX INC_TFX
291.71000000
USD
103071.59000000
USD
OCEANEERING INTL INC_OII
-3916.83000000
USD
-52524.75000000
USD
PDC ENERGY INC_PDCE
-2098.10000000
USD
-47689.84000000
USD
UBER TECHNOLOGIES INC_UBER
-1974.95000000
USD
-58458.51000000
USD
HOLLYFRONTIER CORP_HFC
1863.03000000
USD
96038.99000000
USD
LOEWS CORP_L
-1049.19000000
USD
-53403.83000000
USD
HILTON WORLDWIDE HOLDINGS IN_HLT
1002.56000000
USD
105269.28000000
USD
BOYD GAMING CORP_BYD
3370.14000000
USD
99115.75000000
USD
VECTOR GROUP LTD_VGR
-4513.11000000
USD
-60656.20000000
USD
CENTENNIAL RESOURCE DEVELO-A_CDEV
-16144.83000000
USD
-49887.53000000
USD
STARWOOD PROPERTY TRUST INC_STWD
4081.42000000
USD
99994.83000000
USD
CARVANA CO_CVNA
-700.90000000
USD
-66809.73000000
USD
YUM! BRANDS INC_YUM
995.48000000
USD
100214.59000000
USD
UNITED RENTALS INC_URI
-350.37000000
USD
-53623.60000000
USD
MATADOR RESOURCES CO_MTDR
-3683.63000000
USD
-51865.45000000
USD
GARTNER INC_IT
610.85000000
USD
98016.91000000
USD
APOLLO GLOBAL MANAGEMENT INC_APO
-1224.28000000
USD
-53623.60000000
USD
LAMAR ADVERTISING CO-A_LAMR
1201.18000000
USD
100214.59000000
USD
CNX RESOURCES CORP_CNX
-6329.09000000
USD
-43734.00000000
USD
HANNON ARMSTRONG SUSTAINABLE_HASI
3436.93000000
USD
100873.90000000
USD
HD SUPPLY HOLDINGS INC_HDS
2422.87000000
USD
96478.52000000
USD
VERISIGN INC_VRSN
527.70000000
USD
100654.13000000
USD
IQVIA HOLDINGS INC_IQV
683.48000000
USD
99775.06000000
USD
MSCI INC_MSCI
393.43000000
USD
101972.75000000
USD
SRC ENERGY INC_SRCI
-13481.62000000
USD
-48129.38000000
USD
ACADIA HEALTHCARE CO INC_ACHC
3177.63000000
USD
102192.51000000
USD
GRUBHUB INC_GRUB
-1442.36000000
USD
-62194.58000000
USD
CIT GROUP INC_CIT
2206.38000000
USD
100434.36000000
USD
TRANSOCEAN LTD_RIG
-10900.18000000
USD
-54282.91000000
USD
LENNAR CORP-A_LEN
1654.25000000
USD
98676.21000000
USD
TRONOX HOLDINGS PLC- A_TROX
-4801.51000000
USD
-55601.52000000
USD
REXNORD CORP_RXN
3234.96000000
USD
102192.51000000
USD
SM ENERGY CO_SM
-5738.85000000
USD
-47689.84000000
USD
CRESTWOOD EQUITY PARTNERS LP_CEQP
-1635.10000000
USD
-51865.45000000
USD
CARTER'S INC_CRI
931.75000000
USD
96258.76000000
USD
L BRANDS INC_LB
-3065.74000000
USD
-58678.28000000
USD
DELPHI TECHNOLOGIES PLC_DLPH
-4286.02000000
USD
-53403.83000000
USD
Y
equity-performance leg
2020-02-18
0.00000000
USD
0.00000000
USD
2056907.38000000
USD
137287.40000000
N
N
N
O'Reilly Automotive Inc
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103H107
387.00000000
NS
USD
171162.36000000
0.158409460854
Long
EC
CORP
US
N
1
N
N
N
Nyse Euronext - Euronext Paris
549300HIIRNTNKXV3M12
CAC40 10 EURO FUT DEC19 XPAR 20191220
000000000
9.00000000
NC
-722.00000000
-0.00066820550
N/A
DE
FR
N
2
Nyse Euronext - Euronext Paris
549300HIIRNTNKXV3M12
Long
CAC 40 Index
CFZ9 Index
2019-12-20
531326.70000000
EUR
-722.00000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED HUF / SOLD USD
000000000
1.00000000
NC
-3357.69000000
-0.00310751652
N/A
DFE
HU
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
342477.09000000
USD
102735000.00000000
HUF
2020-01-09
-3357.69000000
N
N
N
GLADSTONE COMMERCIAL COR
529900EVVV534W8R0T32
Gladstone Commercial Corp
376536702
2150.00000000
NS
USD
56244.00000000
0.052053393726
Long
EP
US
N
1
N
N
N
Volvo AB
549300HGV012CNC8JD22
Volvo AB
000000000
10755.00000000
NS
166271.88000000
0.153883358853
Long
EC
CORP
SE
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-4009.55000000
-0.00371080799
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
402405.36000000
USD
396931.00000000
CHF
2020-01-10
-4009.55000000
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
MSCI EAFE DEC19 IFUS 20191220
000000000
-8.00000000
NC
USD
-35769.73000000
-0.03310461274
N/A
DE
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Short
MSCI EAFE
MFSZ9 Index
2019-12-20
-755150.27000000
USD
-35769.73000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206R102
8796.00000000
NS
USD
328794.48000000
0.304296787616
Long
EC
CORP
US
N
1
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
MINI S+P/TSX 60 DEC19 XMOD 20191219
000000000
-2.00000000
NC
-1893.56000000
-0.00175247536
N/A
DE
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
MINI S&P/TSX 60
MPTZ9 Index
2019-12-19
-99254.78000000
CAD
-1893.56000000
N
N
N
Swiss Re AG
529900PS9YW3YY29F326
Swiss Re AG
000000000
135.00000000
NS
14622.68000000
0.013533178994
Long
EC
CORP
CH
N
2
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
100000.00000000
PA
USD
109843.75000000
0.101659554213
Long
DBT
NUSS
US
N
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
5351.88000000
0.004953124187
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
395590.45000000
CHF
402402.19000000
USD
2020-01-10
5351.88000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-1.87000000
-0.00000173067
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4007.25000000
USD
4000.00000000
CHF
2019-12-16
-1.87000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-3215.74000000
-0.00297614288
N/A
DFE
CH
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
194455.89000000
USD
190537.00000000
CHF
2020-01-10
-3215.74000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
1997.76000000
0.001848911667
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
449000.00000000
GBP
583634.45000000
USD
2020-01-10
1997.76000000
N
N
N
Sumitomo Chemical Co Ltd
353800RSAU9BD8U4DM91
Sumitomo Chemical Co Ltd
000000000
32700.00000000
NS
147653.88000000
0.136652541621
Long
EC
CORP
JP
N
2
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SS1XCX3 IRS EUR R F .02600 IS1XCX3 CCPVANILLA / Short: SS1XCX3 IRS EUR P V 06MEURIB IS1XCY4 CCPVANILLA
000000000
100000.00000000
OU
Notional Amount
-302.14000000
-0.00027962826
N/A
DIR
US
N
2
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Euribor 6 Month
EUR006M Index
Y
2029-11-04
0.00000000
EUR
0.00000000
EUR
100000.00000000
EUR
-302.14000000
N
N
N
Nissan Motor Co Ltd
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
000000000
25200.00000000
NS
155610.36000000
0.144016203276
Long
EC
CORP
JP
N
2
N
N
N
ARMADA HOFFLER PROPERTIE
549300WQRSIV6XZT9313
Armada Hoffler Properties Inc
04208T207
5425.00000000
NS
USD
147071.75000000
0.136113784739
Long
EP
US
N
1
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
1438000000.00000000
PA
113622.90000000
0.105157128762
Long
DBT
NUSS
ID
N
2
2029-03-15
Fixed
9.00000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081103
628.00000000
NS
USD
24190.56000000
0.022388179079
Long
EC
CORP
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1WA69 IRS CAD R F 1.77700 IS1WA69 CCPVANILLA / Short: SS1WA69 IRS CAD P V 03MCDOR IS1WA70 CCPVANILLA
000000000
90000.00000000
OU
Notional Amount
-772.69000000
-0.00071511871
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Canada Bankers Acceptances 3 Months
CDOR03 Index
Y
2029-09-20
0.00000000
CAD
0.00000000
CAD
90000.00000000
CAD
-772.69000000
N
N
N
Eaton Corp PLC
549300VDIGTMXUNT7H71
Eaton Corp PLC
000000000
1708.00000000
NS
USD
157990.00000000
0.146218541976
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-2883.78000000
-0.00266891643
N/A
DFE
NO
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
432717.25000000
USD
3961590.00000000
NOK
2020-01-08
-2883.78000000
N
N
N
Micro Focus International PLC
213800F8E4X648142844
Micro Focus International PLC
000000000
7378.00000000
NS
108121.64000000
0.100065754521
Long
EC
CORP
GB
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-709.29000000
-0.00065644249
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
259435.00000000
EUR
286088.39000000
USD
2020-01-16
-709.29000000
N
N
N
Paychex Inc
529900K900DW6SUBM174
Paychex Inc
704326107
2427.00000000
NS
USD
209013.24000000
0.193440162077
Long
EC
CORP
US
N
1
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
AJ61561 NIKKEI 225 INDEX DEC19 22125 PUT
000000000
-5000.00000000
NC
-1044.43000000
-0.00096661201
N/A
DE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Nikkei 225 Index
NKY Index
1.00000000
22125.00000000
JPY
2019-12-13
XXXX
3665.51000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
296.88000000
0.000274760179
N/A
DFE
CA
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
103665.39000000
USD
138036.00000000
CAD
2020-01-23
296.88000000
N
N
N
Sunstone Hotel Investors Inc
N/A
Sunstone Hotel Investors Inc
867892606
5225.00000000
NS
USD
136320.25000000
0.126163353356
Long
EP
US
N
1
N
N
N
Republic of Iraq
N/A
Iraq International Bond
000000000
200000.00000000
PA
USD
202062.50000000
0.187007305133
Long
DBT
NUSS
IQ
N
2
2023-03-09
Fixed
6.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS1V0A0 IRS NOK R F 1.76000 IS1V0A0 CCPVANILLA / Short: SS1V0A0 IRS NOK P V 06MNIBOR IS1V0B1 CCPVANILLA
000000000
990000.00000000
OU
Notional Amount
-1134.28000000
-0.00104976750
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Norwegian Interbank Offer Rate 6 Months
NIBOR6M Index
Y
2029-08-05
0.00000000
NOK
0.00000000
NOK
990000.00000000
NOK
-1134.28000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
979.58000000
0.000906593830
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2512437.00000000
NOK
273579.60000000
USD
2020-01-08
979.58000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
2584.20000000
0.002391657422
N/A
DFE
SE
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
407723.84000000
USD
3919582.00000000
SEK
2020-01-08
2584.20000000
N
N
N
Snam SpA
8156002278562044AF79
Snam SpA
000000000
29894.00000000
NS
148525.40000000
0.137459126745
Long
EC
CORP
IT
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-3009.22000000
-0.00278501019
N/A
DFE
ID
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
599510.99000000
USD
8504063439.00000000
IDR
2020-02-27
-3009.22000000
N
N
N
Royal Dutch Shell PLC
21380068P1DRHMJ8KU70
Royal Dutch Shell PLC
000000000
1455.00000000
NS
41273.41000000
0.038198226676
Long
EC
CORP
GB
N
2
N
N
N
Intel Corp
KNX4USFCNGPY45LOCE31
Intel Corp
458140100
5631.00000000
NS
USD
326879.55000000
0.302524534482
Long
EC
CORP
US
N
1
N
N
N
2019-12-30
AB CAP FUND, INC.
Joseph Mantineo
Joseph Mantineo
Treasurer and Chief Financial Officer