0001752724-22-234402.txt : 20221025
0001752724-22-234402.hdr.sgml : 20221025
20221025112032
ACCESSION NUMBER: 0001752724-22-234402
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220831
FILED AS OF DATE: 20221025
DATE AS OF CHANGE: 20221025
PERIOD START: 20220831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: GOLDMAN SACHS TRUST
CENTRAL INDEX KEY: 0000822977
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05349
FILM NUMBER: 221327817
BUSINESS ADDRESS:
STREET 1: 71 SOUTH WACKER DRIVE
STREET 2: C/O GOLDMAN SACHS & CO
CITY: CHICAGO
STATE: IL
ZIP: 60606
BUSINESS PHONE: 3126554400
MAIL ADDRESS:
STREET 1: 200 WEST STREET
CITY: NEW YORK
STATE: NY
ZIP: 10282
FORMER COMPANY:
FORMER CONFORMED NAME: GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND
DATE OF NAME CHANGE: 19910711
FORMER COMPANY:
FORMER CONFORMED NAME: SHORT INTERMEDIATE GOVERNMENT FUND
DATE OF NAME CHANGE: 19900104
0000822977
S000046190
Goldman Sachs Tactical Tilt Overlay Fund
C000144475
Institutional Shares
TTIFX
C000196984
Class R6 Shares
TTRFX
C000201713
Class P Shares
GSLPX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000822977
XXXXXXXX
S000046190
C000144475
C000196984
C000201713
GOLDMAN SACHS TRUST
811-05349
0000822977
S2FHCT8U6D2VORP0J605
71 SOUTH WACKER DRIVE
C/O GOLDMAN SACHS & CO
CHICAGO
60606
312-655-4400
Goldman Sachs Tactical Tilt Overlay Fund
S000046190
549300Y7D0XH3BSLUI66
2022-08-31
2022-08-31
N
4667054956.97
111586161.94
4555468795.03
0.00000000
503863963.03000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
98190002.47000000
AED
AUD
BRL
CAD
CHF
CLP
CNY
COP
CZK
EGP
EUR
GBP
HKD
HUF
IDR
INR
JPY
KRW
KWD
MXN
MYR
NZD
PEN
PHP
PLN
QAR
RUB
SAR
SEK
SGD
THB
TRY
TWD
USD
ZAR
N
BASF SE
529900PM64WH8AF1E917
BASF SE
05526MK38
4666000.00000000
PA
USD
4655546.62000000
0.102196872143
Long
STIV
CORP
DE
N
2
2022-10-03
None
0.00000000
N
N
N
N
N
N
New York Mercantile Exchange
5493008GFNDTXFPHWI47
CRUDE OIL FUT OPT DEC22P 45
000000000
-2081.00000000
NC
USD
-395390.00000000
-0.00867945798
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Put
Written
New York Mercantile Exchange
5493008GFNDTXFPHWI47
New York Mercantile Exchange
5493008GFNDTXFPHWI47
NYMEX WTI Light Sweet Crude Oil Future
N/A
2081.00000000
NC
N/A
-395390.00000000
-0.01000000
DCO
US
Short
NYMEX WTI Light Sweet Crude Oil
CLZ2 Comdty
2022-11-21
2081.00000000
USD
1000.00000000
45.00000000
USD
2022-11-16
XXXX
6847659.52000000
N
N
N
SUMITOMO MITSUI BANK NY
549300MS3WYYVQ4HXM15
Sumitomo Mitsui Banking Corp/New York
86565FMS8
6244000.00000000
PA
USD
6246248.21000000
0.137115376946
Long
STIV
CORP
JP
N
2
2023-06-07
Floating
2.88000000
N
N
N
N
N
N
BASF SE
529900PM64WH8AF1E917
BASF SE
05526MJT3
10890000.00000000
PA
USD
10870389.83000000
0.238622857912
Long
STIV
CORP
DE
N
2
2022-09-27
None
0.00000000
N
N
N
N
N
N
JP MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
JP Morgan Securities LLC
46650WAX3
5500000.00000000
PA
USD
5501408.00000000
0.120764914601
Long
STIV
CORP
US
N
2
2022-10-03
Floating
2.61000000
N
N
N
N
N
N
BNZ INTL FUNDING/LONDON
549300HVMZ89HDMELW08
BNZ International Funding Ltd/London
0556X4HD1
5083000.00000000
PA
USD
5083472.72000000
0.111590550802
Long
STIV
CORP
NZ
N
2
2022-09-09
Floating
2.46500000
N
N
N
N
N
N
Trinity Health Corp
TWSRHFGEDJDX0GKMGJ67
Trinity Health Corp
89651KJU5
5900000.00000000
PA
USD
5889234.45000000
0.129278340275
Long
STIV
CORP
US
N
2
2022-09-28
None
0.00000000
N
N
N
N
N
N
Alimentation Couche-Tard Inc
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
01626VJ61
5000000.00000000
PA
USD
4997809.15000000
0.109710095159
Long
STIV
CORP
CA
N
2
2022-09-06
None
0.00000000
N
N
N
N
N
N
SWEDBANK
M312WZV08Y7LYUC71685
Swedbank AB
87019YBL4
2082000.00000000
PA
USD
2083125.84000000
0.045728023475
Long
STIV
CORP
SE
N
2
2022-12-15
Floating
2.79000000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB/New York NY
F3JS33DEI6XQ4ZBPTN86
Skandinaviska Enskilda Banken AB/New York NY
83050PB40
3100000.00000000
PA
USD
3098233.71000000
0.068011303543
Long
STIV
CORP
SE
N
2
2022-10-05
Fixed
1.83000000
N
N
N
N
N
N
GTA Funding LLC
N/A
GTA Funding LLC
40060XL73
7346000.00000000
PA
USD
7306412.41000000
0.160387717241
Long
STIV
CORP
US
N
2
2022-11-07
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS05149A SWAPTION SOFRRATE
000000000
84010000.00000000
NC
USD
2188334.49000000
0.048037525630
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
84010000.00000000
OU
Notional Amount
N/A
2188334.49000000
0.05000000
DIR
US
N/A
N/A
2053-01-30
0.00000000
N/A
0.00000000
N/A
84010000.00000000
USD
1.00000000
2.43000000
USD
2023-01-26
XXXX
1197016.49000000
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05568UJN7
9487000.00000000
PA
USD
9471972.59000000
0.207925309472
Long
STIV
CORP
GB
N
2
2022-09-22
None
0.00000000
N
N
N
N
N
N
Collateralized Commercial Paper FLEX Co LLC
549300QFFTZ0K7V16U14
Collateralized Commercial Paper FLEX Co LLC
19423KJ70
250000.00000000
PA
USD
249886.83000000
0.005485425128
Long
STIV
CORP
US
N
2
2022-09-07
None
0.00000000
N
N
N
N
N
N
BARCLAYS BANK CCP
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06741HCL5
14700000.00000000
PA
USD
14701485.88000000
0.322721689939
Long
STIV
CORP
US
N
2
2022-11-01
Floating
2.69000000
N
N
N
N
N
N
CANADIAN IMP BK COMM NY
549300H8L46OOZOFHU82
Canadian Imperial Bank of Commerce/New York NY
13606CZR8
5000000.00000000
PA
USD
4999177.60000000
0.109740134878
Long
STIV
CORP
CA
N
2
2022-12-23
Floating
2.54000000
N
N
N
N
N
N
Citigroup Global Markets Inc
MBNUM2BPBDO7JBLYG310
Citigroup Global Markets Inc
17327BRM9
6024000.00000000
PA
USD
5877870.47000000
0.129028882305
Long
STIV
CORP
US
N
2
2023-04-21
None
0.00000000
N
N
N
N
N
N
Ridgefield Funding Co LLC
N/A
Ridgefield Funding Co LLC
76582KLM1
8409000.00000000
PA
USD
8351174.59000000
0.183321957975
Long
STIV
CORP
US
N
2
2022-11-21
None
0.00000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78014XJC2
4599000.00000000
PA
USD
4601528.16000000
0.101011078487
Long
STIV
CORP
CA
N
2
2022-12-23
Floating
2.76000000
N
N
N
N
N
N
Volvo Treasury North America LP
549300FWBZ85PPXFLH91
Volvo Treasury North America LP
9288N3JV3
8764000.00000000
PA
USD
8744775.90000000
0.191962151283
Long
STIV
CORP
US
N
2
2022-09-29
None
0.00000000
N
N
N
N
N
N
Reckitt Benckiser Treasury Services PLC
213800LAXWIUOOBZ3908
Reckitt Benckiser Treasury Services PLC
7562E1JS4
5000000.00000000
PA
USD
4990686.95000000
0.109553751206
Long
STIV
CORP
US
N
2
2022-09-26
None
0.00000000
N
N
N
N
N
N
CRC Funding LLC
549300HKCCNTZDBBEN75
CRC Funding LLC
12619UL90
8371000.00000000
PA
USD
8323471.30000000
0.182713825393
Long
STIV
CORP
US
N
2
2022-11-09
None
0.00000000
N
N
N
N
N
N
Atlantic Asset Securitization LLC
549300BUNY5BIX4CVW20
Atlantic Asset Securitization LLC
04821UKH4
4051000.00000000
PA
USD
4037026.97000000
0.088619352950
Long
STIV
CORP
US
N
2
2022-10-17
None
0.00000000
N
N
N
N
N
N
Royal Bank of Canada/New York NY
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada/New York NY
78015DL99
2509000.00000000
PA
USD
2495047.18000000
0.054770371442
Long
STIV
CORP
US
N
2
2022-11-09
None
0.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IOP010393 EQO. SPX USD
000000000
-61820.00000000
NC
USD
-10711139.06000000
-0.23512704272
N/A
DE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
S&P 500 Index
SPX INDEX
1.00000000
3877.57000000
USD
2022-12-30
XXXX
2599943.34000000
N
N
N
ALPINE SEC LLC
N/A
Alpine Securitization LLC
02089XRJ8
12100000.00000000
PA
USD
12101911.80000000
0.265656781870
Long
STIV
CORP
KY
N
2
2022-10-27
Floating
2.72000000
N
N
N
N
N
N
Sprott Physical Uranium Trust
N/A
Sprott Physical Uranium Trust
85210A104
2901853.00000000
NS
36434732.53000000
0.799802043858
Long
EC
RF
CA
N
1
N
N
N
COLLAT CP FLEX CO LLC
549300QFFTZ0K7V16U14
Collateralized Commercial Paper FLEX Co LLC
19421MBQ4
12290000.00000000
PA
USD
12290500.33000000
0.269796608933
Long
STIV
CORP
US
N
2
2022-12-01
Floating
2.59000000
N
N
N
N
N
N
Kreditanstalt fuer Wiederaufbau
549300GDPG70E3MBBU98
Kreditanstalt fuer Wiederaufbau
48246UN36
11333000.00000000
PA
USD
11212547.55000000
0.246133780177
Long
STIV
CORP
ZA
N
2
2023-01-03
None
0.00000000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB/New York NY
F3JS33DEI6XQ4ZBPTN86
Skandinaviska Enskilda Banken AB/New York NY
83050PF38
500000.00000000
PA
USD
499752.34000000
0.010970382247
Long
STIV
CORP
SE
N
2
2022-12-15
Fixed
2.82000000
N
N
N
N
N
N
Mondelez International Inc
549300DV9GIB88LZ5P30
Mondelez International Inc
60920WJL5
10000000.00000000
PA
USD
9985577.80000000
0.219199784902
Long
STIV
CORP
US
N
2
2022-09-20
None
0.00000000
N
N
N
N
N
N
CHARLOTTE MECKLENB
N/A
CHARLOTTE MECKLENB
16085PM88
21000000.00000000
PA
USD
20808480.00000000
0.456780211571
Long
STIV
CORP
US
N
2
2022-12-08
None
0.00000000
N
N
N
N
N
N
Cancara Asset Securitisation LLC
N/A
Cancara Asset Securitisation LLC
13738KJL2
6185000.00000000
PA
USD
6176557.48000000
0.135585551299
Long
STIV
CORP
JE
N
2
2022-09-20
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IOP011152 EQO XLE.P USD
000000000
1948325.00000000
NC
USD
10348834.12000000
0.227173855988
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Energy Select Sector SPDR Fund
Energy Select Sector SPDR Fund
1.00000000
76.92000000
USD
2022-09-30
XXXX
1620338.12000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
IOP010335 EQO XLV. P USD
000000000
-1052774.00000000
NC
USD
-7268136.93000000
-0.15954750777
N/A
DE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Put
Written
Energy Select Sector SPDR Fund
Energy Select Sector SPDR Fund
1.00000000
127.25000000
USD
2022-12-30
XXXX
1192902.43000000
N
N
N
Lime Funding LLC
N/A
Lime Funding LLC
53262RJ94
2869000.00000000
PA
USD
2867318.05000000
0.062942326663
Long
STIV
CORP
US
N
2
2022-09-09
None
0.00000000
N
N
N
N
N
N
MACQUARIE BANK LIMITED
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd
55607NMN7
5200000.00000000
PA
USD
5207266.90000000
0.114308035776
Long
STIV
CORP
AU
N
2
2023-06-27
Floating
3.03000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXO001918 PUT USD CALL BRL
000000000
139630000.00000000
OU
Notional Amount
USD
2661347.80000000
0.058420942382
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FX Contract
N/A
1.00000000
NC
USD
2661347.80000000
0.06000000
DFE
US
729406454.80000000
BRL
139630000.00000000
USD
2022-09-23
1.00000000
5.22385200
USD
2022-09-23
XXXX
1135191.90000000
N
N
N
Regency Markets No. 1 LLC
N/A
Regency Markets No. 1 LLC
7588R1JC0
12000000.00000000
PA
USD
11990520.00000000
0.263211549447
Long
STIV
CORP
US
N
2
2022-09-12
None
0.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CDE8
66600000.00000000
PA
USD
66631618.35000000
1.462673137453
Long
DBT
UST
US
N
1
2023-10-31
Floating
2.93600000
N
N
N
N
N
N
TORONTO DOMINION
N/A
TORONTO DOMINION
89114WSA4
4749000.00000000
PA
USD
4747804.72000000
0.104222088518
Long
STIV
CORP
CA
N
2
2022-09-09
Fixed
1.35000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT SEP22
000000000
689.00000000
NC
USD
402294.60000000
0.008831025259
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME E-Mini Standard & Poor's 500 Index Future
ESM2 INDEX
2022-09-16
135899130.40000000
USD
402294.60000000
N
N
N
Nutrien Ltd
5493002QQ7GD21OWF963
Nutrien Ltd
67077VJT6
2200000.00000000
PA
USD
2195465.80000000
0.048194069563
Long
STIV
CORP
CA
N
2
2022-09-27
None
0.00000000
N
N
N
N
N
N
SUMITOMO MITSUI TRUST NY
5493006GGLR4BTEL8O61
SUMITOMO MITSUI TRUST NY
86564MPZ5
10154000.00000000
PA
USD
10151913.56000000
0.222851127222
Long
STIV
CORP
JP
N
2
2022-12-28
Fixed
3.20000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) DEC22
000000000
2457.00000000
NC
USD
-1301831.62000000
-0.02857733591
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year US Treasury Note
FVZ2 COMDTY
2022-12-30
273222628.50000000
USD
-1301831.62000000
N
N
N
CenterPoint Energy Resources Corp
2JADVB0458J06WCD4N56
CenterPoint Energy Resources Corp
15200LJS9
5000000.00000000
PA
USD
4990250.00000000
0.109544159438
Long
STIV
CORP
US
N
2
2022-09-26
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IOP011282 EQO. SPX USD
000000000
67409.00000000
NC
USD
18250190.58000000
0.400621569396
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
S&P 500 Index
SPX INDEX
1.00000000
4215.73000000
USD
2022-09-30
XXXX
10149711.72000000
N
N
N
GTA Funding LLC
N/A
GTA Funding LLC
40060XJU5
8377000.00000000
PA
USD
8360691.82000000
0.183530876758
Long
STIV
CORP
US
N
2
2022-09-28
None
0.00000000
N
N
N
N
N
N
Ciesco LLC
54930035TDNZ0GF2U023
Ciesco LLC
17177MP71
19293000.00000000
PA
USD
18992629.41000000
0.416919317518
Long
STIV
CORP
US
N
2
2023-02-07
None
0.00000000
N
N
N
N
N
N
Nieuw Amsterdam Receivables Corp BV
724500BM7HQ28ZIB2058
Nieuw Amsterdam Receivables Corp BV
65409SJM1
20119000.00000000
PA
USD
20089835.90000000
0.441004796738
Long
STIV
CORP
US
N
2
2022-09-21
None
0.00000000
N
N
N
N
N
N
CREDIT INDUST ET COMM NY
N4JDFKKH2FTD8RKFXO39
Credit Industriel et Commercial/New York
22536U2S8
200000.00000000
PA
USD
199928.44000000
0.004388756657
Long
STIV
CORP
FR
N
2
2023-01-06
Floating
2.52000000
N
N
N
N
N
N
Stanley Black & Decker Inc
549300DJ09SMTO561131
Stanley Black & Decker Inc
85462DJL8
10000000.00000000
PA
USD
9986488.90000000
0.219219785039
Long
STIV
CORP
US
N
2
2022-09-20
None
0.00000000
N
N
N
N
N
N
Raytheon Technologies Corp
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513GP67
4000000.00000000
PA
USD
3929757.32000000
0.086264608469
Long
STIV
CORP
US
N
2
2023-02-06
None
0.00000000
N
N
N
N
N
N
TORONTO-DOMINION
PT3QB789TSUIDF371261
TORONTO-DOMINION
89114WVZ5
13500000.00000000
PA
USD
13386651.30000000
0.293858917760
Long
STIV
CORP
CA
N
2
2023-04-28
Fixed
2.69000000
N
N
N
N
N
N
Barton Capital SA
549300KOFKIMD0C37W24
Barton Capital SA
06945MJN7
18000000.00000000
PA
USD
17973016.92000000
0.394537153664
Long
STIV
CORP
US
N
2
2022-09-22
None
0.00000000
N
N
N
N
N
N
iShares iBoxx High Yield Corporate Bond ETF
549300WY6QQ9HGWLNX87
iShares iBoxx High Yield Corporate Bond ETF
464288513
180721.00000000
NS
USD
13469136.13000000
0.295669594854
Long
EC
RF
US
N
1
N
N
Nutrien Ltd
5493002QQ7GD21OWF963
Nutrien Ltd
67077VKJ6
9750000.00000000
PA
USD
9711597.97000000
0.213185478969
Long
STIV
CORP
CA
N
2
2022-10-18
None
0.00000000
N
N
N
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
74271UKD1
21191000.00000000
PA
USD
21128075.66000000
0.463795859672
Long
STIV
CORP
US
N
2
2022-10-13
None
0.00000000
N
N
N
N
N
N
COLLAT CP FLEX CO LLC
549300QFFTZ0K7V16U14
Collateralized Commercial Paper FLEX Co LLC
19423MDQ0
10513000.00000000
PA
USD
10517303.39000000
0.230872032346
Long
STIV
CORP
US
N
2
2022-12-14
Floating
2.79000000
N
N
N
N
N
N
MIZUHO BANK LTD/NY
RB0PEZSDGCO3JS6CEU02
Mizuho Bank Ltd/New York NY
60710RTX3
5952000.00000000
PA
USD
5948541.83000000
0.130580234387
Long
STIV
CORP
JP
N
2
2023-02-10
Floating
2.56000000
N
N
N
N
N
N
Barton Capital SA
549300KOFKIMD0C37W24
Barton Capital SA
06945MLJ3
10000000.00000000
PA
USD
9934078.90000000
0.218069299713
Long
STIV
CORP
US
N
2
2022-11-18
None
0.00000000
N
N
N
N
N
N
EI du Pont de Nemours and Co
GLU7INWNWH88J9XBXD45
EI du Pont de Nemours and Co
2635J5MC0
3550000.00000000
PA
USD
3516238.33000000
0.077187189468
Long
STIV
CORP
US
N
2
2022-12-12
None
0.00000000
N
N
N
N
N
N
BANK OF MONTREAL
N/A
BANK OF MONTREAL
06367CNT0
16000000.00000000
PA
USD
15915658.88000000
0.349374775596
Long
STIV
CORP
CA
N
2
2022-11-18
Fixed
0.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS05160A SWAPTION SOFRRATE
000000000
-84010000.00000000
NC
USD
-3250960.17000000
-0.07136389944
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
84010000.00000000
OU
Notional Amount
N/A
-3250960.17000000
-0.07000000
DIR
US
N/A
N/A
2053-01-30
0.00000000
N/A
0.00000000
N/A
84010000.00000000
USD
1.00000000
2.83000000
USD
2023-01-26
XXXX
-3250960.17000000
N
N
N
Entergy Corp
4XM3TW50JULSLG8BNC79
Entergy Corp
29366GKH3
2048000.00000000
PA
USD
2040641.76000000
0.044795428348
Long
STIV
CORP
US
N
2
2022-10-17
None
0.00000000
N
N
N
N
N
N
Starbird Funding Corp
549300A8DDPP6QJBB522
Starbird Funding Corp
85520MN58
7178000.00000000
PA
USD
7095119.80000000
0.155749498443
Long
STIV
CORP
US
N
2
2023-01-05
None
0.00000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
0020A3JD3
9000000.00000000
PA
USD
8991569.52000000
0.197379675387
Long
STIV
CORP
US
N
2
2022-09-13
None
0.00000000
N
N
N
N
N
N
TELUS Corp
L2TEUTQ8OSHMJWVLCE40
TELUS Corp
87974WJN9
10160000.00000000
PA
USD
10143422.23000000
0.222664728623
Long
STIV
CORP
CA
N
2
2022-09-22
None
0.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC NY
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC/NY
06742TH41
8000000.00000000
PA
USD
7993317.84000000
0.175466416293
Long
STIV
CORP
GB
N
2
2023-02-16
Floating
2.58000000
N
N
N
N
N
N
NRW Bank
52990002O5KK6XOGJ020
NRW Bank
62939MJM0
16877000.00000000
PA
USD
16854651.98000000
0.369987211818
Long
STIV
CORP
US
N
2
2022-09-21
None
0.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Long: ES107258 TRS USD R V 01MFED01 US0001M + 9 BPS / Short: ES107258 TRS USD P E JPGSVENK INDEXX
000000000
142646502.78000000
OU
Notional Amount
USD
6142100.28000000
0.134829159332
N/A
DE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
JPGSVENK Index
JPGSVENK
Rockwell Automation Inc
322.99000000
USD
76529.10000000
USD
Intuit Inc
181.91000000
USD
78543.27000000
USD
Ross Stores Inc
991.22000000
USD
85512.59000000
USD
NVIDIA Corp
442.37000000
USD
66771.32000000
USD
Broadridge Financial Solutions Inc
337.08000000
USD
57698.46000000
USD
Alexandria Real Estate Equities Inc
420.36000000
USD
64482.59000000
USD
ABIOMED Inc
279.47000000
USD
72461.12000000
USD
Stanley Black & Decker Inc
839.97000000
USD
74000.95000000
USD
Tyler Technologies Inc
203.29000000
USD
75525.41000000
USD
Generac Holdings Inc
307.85000000
USD
67853.44000000
USD
Xylem Inc/NY
894.49000000
USD
81487.98000000
USD
International Flavors & Fragrances Inc
651.84000000
USD
72014.96000000
USD
Charles River Laboratories International
326.73000000
USD
67060.92000000
USD
Ceridian HCM Holding Inc
1467.75000000
USD
87536.48000000
USD
Netflix Inc
360.63000000
USD
80621.76000000
USD
SolarEdge Technologies Inc
227.49000000
USD
62781.79000000
USD
Albemarle Corp
226.64000000
USD
60730.94000000
USD
Carnival Corp
9145.45000000
USD
86515.97000000
USD
AMETEK Inc
666.59000000
USD
80097.59000000
USD
Dexcom Inc
973.13000000
USD
80000.98000000
USD
Amazon.com Inc
903.80000000
USD
114575.35000000
USD
Norwegian Cruise Line Holdings Ltd
6809.47000000
USD
89067.89000000
USD
General Motors Co
1479.06000000
USD
56514.82000000
USD
Take-Two Interactive Software Inc
639.52000000
USD
78379.83000000
USD
Deere & Co
361.83000000
USD
132157.18000000
USD
American Tower Corp
257.14000000
USD
65326.33000000
USD
STERIS PLC
366.62000000
USD
73830.69000000
USD
Royal Caribbean Cruises Ltd
2279.34000000
USD
93110.86000000
USD
Atmos Energy Corp
538.64000000
USD
61071.09000000
USD
Chipotle Mexican Grill Inc
34.92000000
USD
55761.55000000
USD
MSCI Inc
171.07000000
USD
76852.42000000
USD
American Airlines Group Inc
5712.71000000
USD
74208.06000000
USD
West Pharmaceutical Services Inc
360.92000000
USD
107081.19000000
USD
CarMax Inc
800.09000000
USD
70760.19000000
USD
Alliant Energy Corp
1071.71000000
USD
65417.11000000
USD
Twitter Inc
2992.57000000
USD
115962.05000000
USD
NextEra Energy Inc
765.06000000
USD
65075.86000000
USD
EPAM Systems Inc
222.63000000
USD
94953.25000000
USD
American Water Works Co Inc
416.70000000
USD
61858.50000000
USD
State Street Corp
1159.43000000
USD
79246.97000000
USD
Illumina Inc
378.36000000
USD
76291.83000000
USD
CH Robinson Worldwide Inc
1115.46000000
USD
127329.98000000
USD
Enphase Energy Inc
290.42000000
USD
83189.28000000
USD
Edison International
974.28000000
USD
66027.03000000
USD
Boston Scientific Corp
1987.27000000
USD
80106.87000000
USD
Tesla Inc
274.42000000
USD
75631.73000000
USD
Intuitive Surgical Inc
356.95000000
USD
73438.94000000
USD
Paycom Software Inc
245.67000000
USD
86279.56000000
USD
Wynn Resorts Ltd
1283.88000000
USD
77790.01000000
USD
Walt Disney Co/The
512.00000000
USD
57385.27000000
USD
Y
equity-performance leg
2022-10-05
0.00000000
USD
0.00000000
USD
142646502.78000000
USD
6142100.28000000
N
N
N
Victory Receivables Corp
549300D0F37QF0LP7F94
Victory Receivables Corp
92646LJN1
7441000.00000000
PA
USD
7429818.26000000
0.163096677736
Long
STIV
CORP
US
N
2
2022-09-22
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IOP010760 EQO. SPX USD
000000000
-31143.00000000
NC
USD
-6664623.46000000
-0.14629939880
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
S&P 500 INDEX
SPX Index
1.00000000
3983.47000000
USD
2022-12-30
XXXX
2539618.56000000
N
N
N
TransCanada PipeLines Ltd
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd
89355QJD9
7612000.00000000
PA
USD
7604842.21000000
0.166938740054
Long
STIV
CORP
CA
N
2
2022-09-13
None
0.00000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
9612C1L13
13656000.00000000
PA
USD
13594239.92000000
0.298415827912
Long
STIV
CORP
AU
N
2
2022-11-01
None
0.00000000
N
N
N
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
HSBC Bank USA NA
40435RNL1
5000000.00000000
PA
USD
5001214.20000000
0.109784841583
Long
STIV
CORP
US
N
2
2022-12-21
Floating
2.79000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
02314QL80
10000000.00000000
PA
USD
9948269.20000000
0.218380800036
Long
STIV
CORP
US
N
2
2022-11-08
None
0.00000000
N
N
N
N
N
N
Thunder Bay Funding LLC
549300D7DHGDB5EMW139
Thunder Bay Funding LLC
88602ULE8
4800000.00000000
PA
USD
4770999.98000000
0.104731262459
Long
STIV
CORP
US
N
2
2022-11-14
None
0.00000000
N
N
N
N
N
N
Energy Select Sector SPDR Fund
54930064FLK0RD4TRU75
Energy Select Sector SPDR Fund
81369Y506
1110483.00000000
NS
USD
89393881.50000000
1.962342088645
Long
EC
RF
US
N
1
N
N
N
LLOYDS BANK CORP MKTS/NY
213800MBWEIJDM5CU638
Lloyds Bank Corporate Markets PLC/New York NY
53947BH29
2748000.00000000
PA
USD
2748519.78000000
0.060334510094
Long
STIV
CORP
GB
N
2
2023-04-03
Floating
2.79000000
N
N
N
N
N
N
MUFG Bank Ltd/New York NY
C3GTMMZIHMY46P4OIX74
MUFG Bank Ltd/New York NY
55380TZH6
14000000.00000000
PA
USD
13943815.48000000
0.306089583913
Long
STIV
CORP
JP
N
2
2022-11-04
Fixed
0.38000000
N
N
N
N
N
N
Charta LLC
5493000FNFK79LCM6M65
Charta LLC
16115WL88
10270000.00000000
PA
USD
10213703.25000000
0.224207512103
Long
STIV
CORP
US
N
2
2022-11-08
None
0.00000000
N
N
N
N
N
N
Collateralized Commercial Paper FLEX Co LLC
549300QFFTZ0K7V16U14
Collateralized Commercial Paper FLEX Co LLC
19423KM27
7637000.00000000
PA
USD
7574676.35000000
0.166276550028
Long
STIV
CORP
US
N
2
2022-12-02
None
0.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IOP011115 EQO KWEB. USD
000000000
1766189.00000000
NC
USD
1481698.34000000
0.032525704964
N/A
DE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Purchased
KraneShares CSI China Internet ETF
KraneShares CSI China Internet ETF
1.00000000
39.72810000
USD
2022-12-30
XXXX
-3289661.24000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Long: ES107861 TRS EUR R V 03MESTRO EUR003M -67 BPS / Short: ES107861 TRS EUR P E SX7T INDEX
000000000
72803036.02000000
OU
Notional Amount
3801188.67000000
0.083442316060
N/A
DE
DE
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
EURO STOXX Banks Net Return Index
SX7T INDEX
Y
equity-performance leg
2023-04-04
0.00000000
EUR
0.00000000
EUR
72803036.02000000
EUR
3801188.67000000
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
86723BKT6
5750000.00000000
PA
USD
5722523.63000000
0.125618764774
Long
STIV
CORP
US
N
2
2022-10-27
None
0.00000000
N
N
N
N
N
N
Skandinaviska Enskilda Banken AB/New York NY
F3JS33DEI6XQ4ZBPTN86
Skandinaviska Enskilda Banken AB/New York NY
83050PYC7
9800000.00000000
PA
USD
9738760.58000000
0.213781742740
Long
STIV
CORP
SE
N
2
2022-12-01
Fixed
0.42000000
N
N
N
N
N
N
Health Care Select Sector SPDR Fund
549300EJNY3KKJHPOY44
Health Care Select Sector SPDR Fund
81369Y209
1037003.00000000
NS
USD
129376494.28000000
2.840025913933
Long
EC
RF
US
N
1
N
N
N
Stanley Black & Decker Inc
549300DJ09SMTO561131
Stanley Black & Decker Inc
85462DJK0
2000000.00000000
PA
USD
1997444.50000000
0.043847177752
Long
STIV
CORP
US
N
2
2022-09-19
None
0.00000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
02314QK65
14000000.00000000
PA
USD
13966232.00000000
0.306581663236
Long
STIV
CORP
US
N
2
2022-10-06
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IOP010533 EQO. SPX USD
000000000
-27878.00000000
NC
USD
-9141386.75000000
-0.20066840892
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
S&P 500 Index
SPX INDEX
1.00000000
4210.38000000
USD
2022-12-30
XXXX
-2392209.37000000
N
N
N
Sheffield Receivables Co LLC
549300MYF6MOTU9T3G29
Sheffield Receivables Co LLC
82124MKU3
3600000.00000000
PA
USD
3583626.59000000
0.078666472129
Long
STIV
CORP
US
N
2
2022-10-28
None
0.00000000
N
N
N
N
N
N
Antalis SA
549300G2LM2ZKZ0X4Y50
Antalis SA
03664BKK1
11167000.00000000
PA
USD
11126295.61000000
0.244240408849
Long
STIV
CORP
FR
N
2
2022-10-19
None
0.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc
MBNUM2BPBDO7JBLYG310
Citigroup Global Markets Inc
17327BT62
8000000.00000000
PA
USD
7757518.00000000
0.170290223663
Long
STIV
CORP
US
N
2
2023-06-06
None
0.00000000
N
N
N
N
N
N
National Securities Clearing Corp
549300RYC9NELN2ICA34
National Securities Clearing Corp
63763QKH9
7000000.00000000
PA
USD
6976586.19000000
0.153147491595
Long
STIV
CORP
US
N
2
2022-10-17
None
0.00000000
N
N
N
N
N
N
Enbridge US Inc
5493003FRODSVHJWFS32
Enbridge US Inc
29251VP67
5500000.00000000
PA
USD
5405869.81000000
0.118667694879
Long
STIV
CORP
US
N
2
2023-02-06
None
0.00000000
N
N
N
N
N
N
SVENSKA HANDLSBNKN A
N/A
SVENSKA HANDLSBNKN A
86959RZP8
21647000.00000000
PA
USD
21465321.06000000
0.471198948468
Long
STIV
CORP
SE
N
2
2023-05-25
Fixed
2.79500000
N
N
N
N
N
N
Reckitt Benckiser Treasury Services PLC
213800LAXWIUOOBZ3908
Reckitt Benckiser Treasury Services PLC
7562E1JK1
9227000.00000000
PA
USD
9214922.87000000
0.202282647179
Long
STIV
CORP
US
N
2
2022-09-19
None
0.00000000
N
N
N
N
N
N
Lime Funding LLC
N/A
Lime Funding LLC
53262RJN3
5002000.00000000
PA
USD
4994501.70000000
0.109637491216
Long
STIV
CORP
US
N
2
2022-09-22
None
0.00000000
N
N
N
N
N
N
iShares iBoxx $ Investment Grade Corporate Bond ETF
549300FYCXFXG8POR355
iShares iBoxx $ Investment Grade Corporate Bond ETF
464287242
136020.00000000
NS
USD
14862905.40000000
0.326265112741
Long
EC
RF
US
N
1
N
N
N
BAT International Finance PLC
21380041YBGOQDFAC823
BAT International Finance PLC
05531NJ72
5750000.00000000
PA
USD
5747137.77000000
0.126159085455
Long
STIV
CORP
US
N
2
2022-09-07
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IOP011284 EQO. SPX USD
000000000
-67409.00000000
NC
USD
-7844865.69000000
-0.17220764849
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
S&P 500 Index
SPX INDEX
1.00000000
3688.77000000
USD
2022-12-30
XXXX
-2654372.69000000
N
N
N
TransCanada PipeLines Ltd
5BV01I6231JPDAPMGH09
TransCanada PipeLines Ltd
89355QK39
7000000.00000000
PA
USD
6982277.19000000
0.153272418364
Long
STIV
CORP
CA
N
2
2022-10-03
None
0.00000000
N
N
N
N
N
N
Caisse d'Amortissement de la Dette Sociale
969500P04DQJS4BPM574
Caisse d'Amortissement de la Dette Sociale
12802WN59
23776000.00000000
PA
USD
23503569.36000000
0.515941836450
Long
STIV
CORP
FR
N
2
2023-01-05
None
0.00000000
N
N
N
N
N
N
BANK OF NOVA SCOTIA HOUS
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/Houston
06417MZE8
2101000.00000000
PA
USD
2101322.40000000
0.046127467765
Long
STIV
CORP
CA
N
2
2023-03-09
Floating
2.79000000
N
N
N
N
N
N
BEDFORD ROW FUNDING CORP
5493000JWH1Z48FX0180
Bedford Row Funding Corp
07645RCX2
10000000.00000000
PA
USD
10000000.00000000
0.219516375809
Long
STIV
CORP
US
N
2
2022-09-01
Floating
2.45000000
N
N
N
N
N
N
BANK OF MONTREAL CHICAGO
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal/Chicago IL
06367CSU2
6000000.00000000
PA
USD
5999937.60000000
0.131708455703
Long
STIV
CORP
CA
N
2
2023-03-01
Floating
2.69000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
FXO001892 PUT EUR CALL CHF
000000000
68300000.00000000
OU
Notional Amount
1199862.82000000
0.026338953771
N/A
DFE
DE
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
1199862.82000000
0.03000000
DFE
XX
66934000.00000000
CHF
68300000.00000000
EUR
2022-12-21
1.00000000
0.98000000
EUR
2022-12-21
XXXX
-49151.08000000
N
N
N
DNB Bank ASA
549300GKFG0RYRRQ1414
DNB Bank ASA
2332K1LP3
14694000.00000000
PA
USD
14595050.60000000
0.320385261247
Long
STIV
CORP
NO
N
2
2022-11-23
None
0.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)DEC22
000000000
4263.00000000
NC
USD
-3359009.53000000
-0.07373575983
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year US Treasury Note
TYZ2 COMDTY
2022-12-20
500464775.16000000
USD
-3359009.53000000
N
N
N
FED CAISSES DESJARDINS
549300B2Q47IR0CR5B54
Federation des Caisses Desjardins du Quebec
31428HBQ3
18719000.00000000
PA
USD
18728703.56000000
0.411125712910
Long
STIV
CORP
US
N
2
2023-06-23
Floating
2.89000000
N
N
N
N
N
N
NATIXIS NY BRANCH
2549003L5ZG5M2ZSE107
Natixis SA/New York NY
63873QTE4
100000.00000000
PA
USD
100091.35000000
0.002197169040
Long
STIV
CORP
FR
N
2
2023-03-24
Floating
2.89000000
N
N
N
N
N
N
Versailles Commercial Paper LLC
N/A
Versailles Commercial Paper LLC
92512MM55
15000000.00000000
PA
USD
14873520.00000000
0.326498120593
Long
STIV
CORP
US
N
2
2022-12-05
None
0.00000000
N
N
N
N
N
N
NATIONAL AUSTRALI BANK L
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd
63254GUK9
3122000.00000000
PA
USD
3123898.96000000
0.068574697809
Long
STIV
CORP
AU
N
2
2023-03-08
Floating
2.79000000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05568UJ72
13500000.00000000
PA
USD
13493857.50000000
0.296212269409
Long
STIV
CORP
GB
N
2
2022-09-07
None
0.00000000
N
N
N
N
N
N
NRW Bank
52990002O5KK6XOGJ020
NRW Bank
62939MLR6
13553000.00000000
PA
USD
13459852.54000000
0.295465804851
Long
STIV
CORP
US
N
2
2022-11-25
None
0.00000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
74753DJ14
6000000.00000000
PA
USD
5999616.18000000
0.131701400008
Long
STIV
CORP
US
N
2
2022-09-01
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS05159A SWAPTION SOFRRATE
000000000
-84010000.00000000
NC
USD
-595580.49000000
-0.01307396706
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
84010000.00000000
OU
Notional Amount
N/A
-595580.49000000
-0.01000000
DIR
US
N/A
N/A
2053-01-30
0.00000000
N/A
0.00000000
N/A
84010000.00000000
USD
1.00000000
1.93000000
USD
2023-01-26
XXXX
-595580.49000000
N
N
N
DNB BANK ASA
549300GKFG0RYRRQ1414
DNB Bank ASA
2332K4MV3
8323000.00000000
PA
USD
8330988.75000000
0.182878845731
Long
STIV
CORP
NO
N
2
2023-02-06
Floating
2.81000000
N
N
N
N
N
N
COOPERAT RABOBANK UA/NY
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA/NY
21684LER9
7500000.00000000
PA
USD
7503646.05000000
0.164717318625
Long
STIV
CORP
NL
N
2
2023-02-06
Floating
2.82000000
N
N
N
N
N
N
Hewlett Packard Enterprise Co
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824GJN1
8000000.00000000
PA
USD
7986946.64000000
0.175326558019
Long
STIV
CORP
US
N
2
2022-09-22
None
0.00000000
N
N
N
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
Waste Management Inc
94107NL85
7185000.00000000
PA
USD
7142859.98000000
0.156797473572
Long
STIV
CORP
US
N
2
2022-11-08
None
0.00000000
N
N
N
N
N
N
UDR Inc
P3CH2EG5X6Z1XWU1OO74
UDR Inc
90352QJ73
9852000.00000000
PA
USD
9847095.87000000
0.216159879763
Long
STIV
CORP
US
N
2
2022-09-07
None
0.00000000
N
N
N
N
N
N
Dexia Credit Local SA
F4G136OIPBYND1F41110
Dexia Credit Local SA
25215WJW8
18000000.00000000
PA
USD
17963550.00000000
0.394329339267
Long
STIV
CORP
FR
N
2
2022-09-30
None
0.00000000
N
N
N
N
N
N
Ionic Capital III Trust
254900X889N3JUSUDE39
Ionic Capital III Trust
46220XJV7
8000000.00000000
PA
USD
7983811.52000000
0.175257737001
Long
STIV
CORP
US
N
2
2022-09-29
None
0.00000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
9612C1KC0
8800000.00000000
PA
USD
8774928.80000000
0.192624056816
Long
STIV
CORP
AU
N
2
2022-10-12
None
0.00000000
N
N
N
N
N
N
LMA-Americas LLC
N/A
LMA-Americas LLC
53944RKD9
2500000.00000000
PA
USD
2492036.05000000
0.054704272208
Long
STIV
CORP
US
N
2
2022-10-13
None
0.00000000
N
N
N
N
N
N
Goldman Sachs Trust - Goldman Sachs Financial Square Government Fund
549300BRJMXN4GUWZ402
Goldman Sachs Trust - Goldman Sachs Financial Square Government Fund
38141W273
1915238186.85000000
NS
USD
1915238186.85000000
42.04261455900
Long
EC
RF
US
N
1
N
N
N
CAFCO LLC
8O46YQAGJ63WE5QHIG35
CAFCO LLC
1247P3L83
4148000.00000000
PA
USD
4125341.55000000
0.090558002603
Long
STIV
CORP
US
N
2
2022-11-08
None
0.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Cash Management Bill
912796YR4
20500000.00000000
PA
USD
20371286.86000000
0.447183106209
Long
STIV
UST
US
N
1
2022-11-22
None
0.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC22
000000000
5130.00000000
NC
USD
-2845929.06000000
-0.06247280330
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year US Treasury Note Futures
TUZ2 COMDTY
2022-12-30
1071208504.62000000
USD
-2845929.06000000
N
N
N
FAIRWAY FINANCE CO LLC
549300GKD6SUOVFV4H89
Fairway Finance Co LLC
30601YL94
14409000.00000000
PA
USD
14415771.37000000
0.316449788564
Long
STIV
CORP
US
N
2
2023-02-02
Floating
2.87000000
N
N
N
N
N
N
Dexia Credit Local SA
F4G136OIPBYND1F41110
Dexia Credit Local SA
25215WKK2
9454000.00000000
PA
USD
9420697.72000000
0.206799742109
Long
STIV
CORP
FR
N
2
2022-10-19
None
0.00000000
N
N
N
N
N
N
TORONTO DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89120DVF3
3000000.00000000
PA
USD
3003780.03000000
0.065937890591
Long
STIV
CORP
CA
N
2
2023-08-08
Floating
3.01000000
N
N
N
N
N
N
LLOYDS BANK CORP MKTS/NY
213800MBWEIJDM5CU638
Lloyds Bank Corporate Markets PLC/New York NY
53947BF54
12000000.00000000
PA
USD
11995134.00000000
0.263312834303
Long
STIV
CORP
GB
N
2
2023-01-20
Floating
2.56000000
N
N
N
N
N
N
WESTPAC BKING CORP N
N/A
WESTPAC BKING CORP N
96130AMG0
3084000.00000000
PA
USD
3083278.78000000
0.067683018339
Long
STIV
CORP
AU
N
2
2022-09-07
Fixed
1.15000000
N
N
N
N
N
N
BANK OF NOVA SCOTIA HOUS
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/Houston
06417MYK5
7608000.00000000
PA
USD
7610978.84000000
0.167073449132
Long
STIV
CORP
CA
N
2
2022-12-20
Floating
2.71000000
N
N
N
N
N
N
ROYAL BANK OF CANADA NY
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada/New York NY
78015M6J4
10000000.00000000
PA
USD
10011015.30000000
0.219758179683
Long
STIV
CORP
US
N
2
2023-08-08
Floating
3.02000000
N
N
N
N
N
N
EssilorLuxottica SA
549300M3VH1A3ER1TB49
EssilorLuxottica SA
29728YJN6
20000000.00000000
PA
USD
19971571.20000000
0.438408692905
Long
STIV
CORP
FR
N
2
2022-09-22
None
0.00000000
N
N
N
N
N
N
CDP Financial Inc
549300OXMGVYFCBFV096
CDP Financial Inc
12509TTG2
13102000.00000000
PA
USD
12678124.88000000
0.278305602572
Long
STIV
CORP
CA
N
2
2023-06-16
None
0.00000000
N
N
N
N
N
N
Barton Capital SA
549300KOFKIMD0C37W24
Barton Capital SA
06945MJE7
11973000.00000000
PA
USD
11961885.70000000
0.262582979671
Long
STIV
CORP
US
N
2
2022-09-14
None
0.00000000
N
N
N
N
N
N
STANDARD CHRTRD BNKN
N/A
STANDARD CHRTRD BNKN
85325VQ52
8300000.00000000
PA
USD
8289171.57000000
0.181960890151
Long
STIV
CORP
US
N
2
2022-09-22
Fixed
0.22000000
N
N
N
N
N
N
New York Power Authority
I5P1GEYFGGMMDOFX2L30
New York Power Authority
64989UL28
21000000.00000000
PA
USD
20906760.00000000
0.458937618512
Long
STIV
MUN
US
N
2
2022-11-02
None
0.00000000
N
N
N
N
N
N
CREDIT SUISSE NY
N/A
CREDIT SUISSE NY
22552G5B2
12000000.00000000
PA
USD
11941018.92000000
0.262124919679
Long
STIV
CORP
CH
N
2
2022-11-10
Fixed
0.40000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796S34
20000000.00000000
PA
USD
19751641.40000000
0.433580873642
Long
STIV
UST
US
N
1
2023-01-26
None
0.00000000
N
N
N
N
N
N
OLD LINE FUNDING LLC
5493004QSN8OZAIU2J90
Old Line Funding LLC
67984RJY6
4000000.00000000
PA
USD
4000069.08000000
0.087808066743
Long
STIV
CORP
US
N
2
2022-10-03
Floating
2.60000000
N
N
N
N
N
N
Gotham Funding Corp
549300Z2ZR7VTUMRPR17
Gotham Funding Corp
38346MJW5
2922000.00000000
PA
USD
2915863.80000000
0.064007985373
Long
STIV
CORP
US
N
2
2022-09-30
None
0.00000000
N
N
N
N
N
N
ROYAL BANK OF CANADA NY
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada/New York NY
78015M5M8
2000000.00000000
PA
USD
1999950.00000000
0.043902177580
Long
STIV
CORP
US
N
2
2023-03-01
Floating
2.72000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXO001875 PUT EUR CALL USD
000000000
-36490000.00000000
OU
Notional Amount
-6255461.05000000
-0.13731761387
N/A
DFE
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FX Contract
N/A
1.00000000
NC
USD
-6255461.05000000
-0.14000000
DFE
US
-36490000.00000000
EUR
-43510676.00000000
USD
2023-03-07
1.00000000
1.19240000
EUR
2023-03-07
XXXX
-4504743.83000000
N
N
N
MUFG BANK LTD/NY
C3GTMMZIHMY46P4OIX74
MUFG Bank Ltd/New York NY
55380TG53
2740000.00000000
PA
USD
2738581.42000000
0.060116346817
Long
STIV
CORP
JP
N
2
2023-01-23
Floating
2.57000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
91282CDU2
41600000.00000000
PA
USD
41579532.38000000
0.912738825592
Long
DBT
UST
US
N
1
2024-01-31
Floating
2.88600000
N
N
N
N
N
N
Victory Receivables Corp
549300D0F37QF0LP7F94
Victory Receivables Corp
92646LJT8
9881000.00000000
PA
USD
9862265.62000000
0.216492880617
Long
STIV
CORP
US
N
2
2022-09-27
None
0.00000000
N
N
N
N
N
N
MACQUARIE BANK LIMITED
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd
55607NLQ1
4000000.00000000
PA
USD
4000673.92000000
0.087821343971
Long
STIV
CORP
US
N
2
2022-10-19
Floating
2.68000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Long: ES104418 TRS EUR R E SX7T INDEX / Short: ES104418 TRS EUR P V 03MEURIB EUR003M - 11 BPS
000000000
9797388.68000000
OU
Notional Amount
-98439.59000000
-0.00216091020
N/A
DE
DE
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
EURO STOXX Banks Net Return Index
SX7T INDEX
Y
equity-performance leg
2023-04-04
0.00000000
EUR
0.00000000
EUR
9797388.68000000
EUR
-98439.59000000
N
N
N
CANADIAN IMP BK COMM NY
549300H8L46OOZOFHU82
Canadian Imperial Bank of Commerce/New York NY
13606KFW1
2062000.00000000
PA
USD
2063020.07000000
0.045286668898
Long
STIV
CORP
CA
N
2
2023-05-05
Floating
2.79000000
N
N
N
N
N
N
UDR Inc
P3CH2EG5X6Z1XWU1OO74
UDR Inc
90352QJK4
5018000.00000000
PA
USD
5010987.04000000
0.109999371425
Long
STIV
CORP
US
N
2
2022-09-19
None
0.00000000
N
N
N
N
N
N
DTE Electric Co
9N0FWODEJVKHC2DYLO03
DTE Electric Co
23336KJF0
11500000.00000000
PA
USD
11488212.50000000
0.252185077253
Long
STIV
CORP
US
N
2
2022-09-15
None
0.00000000
N
N
N
N
N
N
Walt Disney Co/The
549300GZKULIZ0WOW665
Walt Disney Co/The
2546R3JF2
4500000.00000000
PA
USD
4495511.25000000
0.098683833701
Long
STIV
CORP
US
N
2
2022-09-15
None
0.00000000
N
N
N
N
N
N
JP Morgan Securities LLC
ZBUT11V806EZRVTWT807
JP Morgan Securities LLC
46640QPF2
7000000.00000000
PA
USD
6884817.31000000
0.151133014400
Long
STIV
CORP
US
N
2
2023-02-15
None
0.00000000
N
N
N
N
N
N
Oesterreichische Kontrollbank AG
5299000OVRLMF858L016
Oesterreichische Kontrollbank AG
67616SKS1
15000000.00000000
PA
USD
14938819.95000000
0.327931561430
Long
STIV
CORP
US
N
2
2022-10-26
None
0.00000000
N
N
N
N
N
N
Kaiser Foundation Hospitals
DW4Z57L3G4IRMHYZYK62
Kaiser Foundation Hospitals
48306BK61
10000000.00000000
PA
USD
9974700.00000000
0.218960999379
Long
STIV
CORP
US
N
2
2022-10-06
None
0.00000000
N
N
N
N
N
N
COOPERATIEVE CENTRALE
N/A
COOPERATIEVE CENTRALE
21684XVH6
9881000.00000000
PA
USD
9868058.95000000
0.216620053698
Long
STIV
CORP
NL
N
2
2022-10-17
Fixed
1.50000000
N
N
N
N
N
N
CITIBANK N.A.
MBNUM2BPBDO7JBLYG310
CITIBANK N.A.
17305T6L1
2000000.00000000
PA
USD
2000762.16000000
0.043920005822
Long
STIV
CORP
US
N
2
2023-02-13
Fixed
3.60000000
N
N
N
N
N
N
Entergy Corp
4XM3TW50JULSLG8BNC79
Entergy Corp
29366GLF6
14000000.00000000
PA
USD
13911215.08000000
0.305373951747
Long
STIV
CORP
US
N
2
2022-11-15
None
0.00000000
N
N
N
N
N
N
MACQUARIE BANK LIMITED
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd
55607NKA7
17000000.00000000
PA
USD
17001969.62000000
0.373221075261
Long
STIV
CORP
US
N
2
2022-12-05
Floating
2.61000000
N
N
N
N
N
N
Nutrien Ltd
5493002QQ7GD21OWF963
Nutrien Ltd
67077VJ74
4600000.00000000
PA
USD
4597674.42000000
0.100926482583
Long
STIV
CORP
CA
N
2
2022-09-07
None
0.00000000
N
N
N
N
N
N
National Bank of Canada
BSGEFEIOM18Y80CKCV46
National Bank of Canada
63307MKS7
6058000.00000000
PA
USD
6032716.57000000
0.132428007773
Long
STIV
CORP
CA
N
2
2022-10-26
None
0.00000000
N
N
N
N
N
N
LMA-Americas LLC
N/A
LMA-Americas LLC
53944RM88
8000000.00000000
PA
USD
7930524.00000000
0.174087988675
Long
STIV
CORP
US
N
2
2022-12-08
None
0.00000000
N
N
N
N
N
N
CDP Financial Inc
549300OXMGVYFCBFV096
CDP Financial Inc
12509TTT4
9500000.00000000
PA
USD
9177316.64000000
0.201457128847
Long
STIV
CORP
CA
N
2
2023-06-27
None
0.00000000
N
N
N
N
N
N
Enbridge US Inc
5493003FRODSVHJWFS32
Enbridge US Inc
29251VNK8
12500000.00000000
PA
USD
12315329.13000000
0.270341641752
Long
STIV
CORP
US
N
2
2023-01-19
None
0.00000000
N
N
N
N
N
N
Goldman Sachs Financial Square Government Fund
549300BRJMXN4GUWZ402
Goldman Sachs Financial Square Government Fund
38141W273
49625618.20000000
NS
USD
49625618.20000000
1.089363585458
Long
STIV
RF
US
N
1
N
N
LMA-Americas LLC
N/A
LMA-Americas LLC
53944RNC8
14747000.00000000
PA
USD
14559545.13000000
0.319605858037
Long
STIV
CORP
US
N
2
2023-01-12
None
0.00000000
N
N
N
N
N
N
MATCHPOINT FINANCE PLC
635400YCKMVA7GIA6Q33
Matchpoint Finance PLC
57666DAV8
10394000.00000000
PA
USD
10395164.13000000
0.228190875576
Long
STIV
CORP
IE
N
2
2022-10-17
Floating
2.70000000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92276YJ67
6750000.00000000
PA
USD
6747121.13000000
0.148110357760
Long
STIV
CORP
US
N
2
2022-09-06
None
0.00000000
N
N
N
N
N
N
Albion Capital Corp SA / Albion Capital LLC
N/A
Albion Capital Corp SA / Albion Capital LLC
01329XJL4
4000000.00000000
PA
USD
3994611.12000000
0.087688255583
Long
STIV
CORP
US
N
2
2022-09-20
None
0.00000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92344MJE4
11440000.00000000
PA
USD
11428379.48000000
0.250871644482
Long
STIV
CORP
US
N
2
2022-09-14
None
0.00000000
N
N
N
N
N
N
Spire Inc
549300NXSY15DRY2R511
Spire Inc
84858PJL6
14750000.00000000
PA
USD
14728235.49000000
0.323308887683
Long
STIV
CORP
US
N
2
2022-09-20
None
0.00000000
N
N
N
N
N
N
COOPERAT RABOBANK UA/NY
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA/NY
21684LDA7
3674000.00000000
PA
USD
3675841.30000000
0.080690736022
Long
STIV
CORP
NL
N
2
2022-11-25
Floating
2.78000000
N
N
N
N
N
N
National Australia Bank Ltd
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd
63254FL13
3000000.00000000
PA
USD
2986344.51000000
0.065555152375
Long
STIV
CORP
AU
N
2
2022-11-01
None
0.00000000
N
N
N
N
N
N
ENEL FINANCE AMERICA LLC
549300EGNLVUJX1DEC60
Enel Finance America LLC
29279CAA4
12575000.00000000
PA
USD
12578046.04000000
0.276108708147
Long
STIV
CORP
US
N
2
2022-10-27
Floating
3.09000000
N
N
N
N
N
N
Stanley Black & Decker Inc
549300DJ09SMTO561131
Stanley Black & Decker Inc
85462DJM6
10271000.00000000
PA
USD
10256356.94000000
0.225143830448
Long
STIV
CORP
US
N
2
2022-09-21
None
0.00000000
N
N
N
N
N
N
Alimentation Couche-Tard Inc
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
01626VJ12
11533000.00000000
PA
USD
11532160.28000000
0.253149802992
Long
STIV
CORP
CA
N
2
2022-09-01
None
0.00000000
N
N
N
N
N
N
FAIRWAY FINANCE CO LLC
549300GKD6SUOVFV4H89
Fairway Finance Co LLC
30601YL52
14994000.00000000
PA
USD
15001182.13000000
0.329300513404
Long
STIV
CORP
US
N
2
2023-01-23
Floating
2.83000000
N
N
N
N
N
N
Alerian MLP ETF
549300WPBLCQJSVVVV61
Alerian MLP ETF
00162Q452
116749.00000000
NS
USD
4615087.97000000
0.101308738521
Long
EC
RF
US
N
1
N
N
SUMITOMO MITSUI BANK NY
549300MS3WYYVQ4HXM15
Sumitomo Mitsui Banking Corp/New York
86565FGB2
2885000.00000000
PA
USD
2882380.39000000
0.063272969691
Long
STIV
CORP
JP
N
2
2023-03-01
Floating
2.56000000
N
N
N
N
N
N
Raytheon Technologies Corp
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513GM11
5000000.00000000
PA
USD
4956581.10000000
0.108805071947
Long
STIV
CORP
US
N
2
2022-12-01
None
0.00000000
N
N
N
N
N
N
JP MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
JP Morgan Securities LLC
46650WAK1
2300000.00000000
PA
USD
2300006.60000000
0.050488911317
Long
STIV
CORP
US
N
2
2022-09-01
Floating
2.41000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
STOXX EUROPE 600 SEP22
000000000
548.00000000
NC
-587624.92000000
-0.01289932927
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex Stoxx Europe 600 Futures
SXOU2 Index
2022-09-16
11961210.28000000
EUR
-587624.92000000
N
N
N
OVERSEA-CHINESE BK CO NY
5493007O3QFXCPOGWK22
Oversea-Chinese Banking Corp Ltd/New York
69033MN60
5200000.00000000
PA
USD
5200453.02000000
0.114158459951
Long
STIV
CORP
SG
N
2
2022-09-23
Floating
2.60000000
N
N
N
N
N
N
Antalis SA
549300G2LM2ZKZ0X4Y50
Antalis SA
03664BKS4
12357000.00000000
PA
USD
12304389.33000000
0.270101495227
Long
STIV
CORP
FR
N
2
2022-10-26
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FXO001655 PUT EUR CALL USD
000000000
36490000.00000000
OU
Notional Amount
6255461.05000000
0.137317613871
N/A
DFE
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
FX Contract
N/A
1.00000000
NC
USD
6255461.05000000
0.14000000
DFE
XX
43510676.00000000
USD
36490000.00000000
EUR
2023-03-07
1.00000000
1.19240000
EUR
2023-03-07
XXXX
4850066.20000000
N
N
N
WASTE MANAGEMENT INC
N/A
WASTE MANAGEMENT INC
94107PAF6
2000000.00000000
PA
USD
1999716.34000000
0.043897048360
Long
STIV
CORP
US
N
2
2022-09-02
None
0.00000000
N
N
N
N
N
N
SALISBURY RECEIVABLES CO
549300HB2PGDP0V6U989
Salisbury Receivables Co LLC
79539QAK2
10000000.00000000
PA
USD
9991971.30000000
0.219340132697
Long
STIV
CORP
US
N
2
2023-02-01
Floating
2.63000000
N
N
N
N
N
N
CANADIAN IMP BK COMM NY
549300H8L46OOZOFHU82
Canadian Imperial Bank of Commerce/New York NY
13606KBZ8
7000000.00000000
PA
USD
6995665.39000000
0.153566311279
Long
STIV
CORP
CA
N
2
2023-02-13
Floating
2.54000000
N
N
N
N
N
N
BNG Bank NV
529900GGYMNGRQTDOO93
BNG Bank NV
09657SKB0
18554000.00000000
PA
USD
18500919.05000000
0.406125469900
Long
STIV
CORP
US
N
2
2022-10-11
None
0.00000000
N
N
N
N
N
N
LANDESBK BADEN-WURTT NY
B81CK4ESI35472RHJ606
Landesbank Baden-Wuerttemberg/New York NY
51501HL31
9000000.00000000
PA
USD
9001267.02000000
0.197592551392
Long
STIV
CORP
DE
N
2
2022-10-12
Floating
2.69000000
N
N
N
N
N
N
PSP Capital Inc
549300B456N0WEIC5249
PSP Capital Inc
69370BJN3
12029000.00000000
PA
USD
12011475.07000000
0.263671547549
Long
STIV
CORP
CA
N
2
2022-09-22
None
0.00000000
N
N
N
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
86723BJ68
6000000.00000000
PA
USD
5997441.00000000
0.131653651245
Long
STIV
CORP
US
N
2
2022-09-06
None
0.00000000
N
N
N
N
N
N
National Australia Bank Ltd
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd
63254FPF8
7000000.00000000
PA
USD
6886385.31000000
0.151167434568
Long
STIV
CORP
AU
N
2
2023-02-15
None
0.00000000
N
N
N
N
N
N
Gotham Funding Corp
549300Z2ZR7VTUMRPR17
Gotham Funding Corp
38346MKR4
5714000.00000000
PA
USD
5689626.59000000
0.124896620874
Long
STIV
CORP
US
N
2
2022-10-25
None
0.00000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
0020A3JU5
4480000.00000000
PA
USD
4470665.16000000
0.098138421338
Long
STIV
CORP
US
N
2
2022-09-28
None
0.00000000
N
N
N
N
N
N
SUMITOMO MITSUI BANK NY
549300MS3WYYVQ4HXM15
Sumitomo Mitsui Banking Corp/New York
86565FHY1
19800000.00000000
PA
USD
19803112.36000000
0.434710745502
Long
STIV
CORP
JP
N
2
2023-03-31
Floating
2.78000000
N
N
N
N
N
N
Albion Capital Corp SA / Albion Capital LLC
N/A
Albion Capital Corp SA / Albion Capital LLC
01329XJ26
3114000.00000000
PA
USD
3113600.19000000
0.068348622942
Long
STIV
CORP
US
N
2
2022-09-02
None
0.00000000
N
N
N
N
N
N
iShares Core MSCI Emerging Markets ETF
5493007C24Z3ZDJ0VD06
iShares Core MSCI Emerging Markets ETF
46434G103
306609.00000000
NS
USD
14858272.14000000
0.326163405096
Long
EC
RF
US
N
1
N
N
N
MUFG Bank Ltd/New York NY
C3GTMMZIHMY46P4OIX74
MUFG Bank Ltd/New York NY
55380TXL9
6750000.00000000
PA
USD
6731874.70000000
0.147775673655
Long
STIV
CORP
JP
N
2
2022-10-13
Fixed
0.26000000
N
N
N
N
N
N
COMMONWEALTH BK AUSTRALI
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
20272AU46
2000000.00000000
PA
USD
1999904.60000000
0.043901180975
Long
STIV
CORP
AU
N
2
2022-09-29
Floating
2.42000000
N
N
N
N
N
N
Oesterreichische Kontrollbank AG
5299000OVRLMF858L016
Oesterreichische Kontrollbank AG
67616SJT1
18000000.00000000
PA
USD
17967505.50000000
0.394416168970
Long
STIV
CORP
US
N
2
2022-09-27
None
0.00000000
N
N
N
N
N
N
FED HOME LN DISCOUNT NT
2549001DPIFGXC1TOL40
Federal Home Loan Bank Discount Notes
313385E85
15669000.00000000
PA
USD
15663047.97000000
0.343829552451
Long
DBT
USGSE
US
N
2
2022-09-07
None
0.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Long: ES103403 TRS EUR R E SX7T INDEX / Short: ES103403 TRS EUR P V 03MEURIB EUR003M - 67 BPS
000000000
140540303.52000000
OU
Notional Amount
-1412083.44000000
-0.03099754390
N/A
DE
DE
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
EURO STOXX Banks Net Return Index
SX7T INDEX
Y
equity-performance leg
2023-04-04
0.00000000
EUR
0.00000000
EUR
140540303.52000000
EUR
-1412083.44000000
N
N
N
National Australia Bank Ltd
F8SB4JFBSYQFRQEH3Z21
National Australia Bank Ltd
63254FJ99
2000000.00000000
PA
USD
1998852.00000000
0.043878074682
Long
STIV
CORP
AU
N
2
2022-09-09
None
0.00000000
N
N
N
N
N
N
Mitsubishi UFJ Trust & Banking Corp/NY
JBONEPAGQXF4QP29B387
Mitsubishi UFJ Trust & Banking Corp/NY
60682XKJ4
6025000.00000000
PA
USD
6005446.89000000
0.131829393641
Long
STIV
CORP
US
N
2
2022-10-18
None
0.00000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
0020A3JT8
20200000.00000000
PA
USD
20159504.05000000
0.442534126718
Long
STIV
CORP
US
N
2
2022-09-27
None
0.00000000
N
N
N
N
N
N
McCormick & Co Inc/MD
549300JQQA6MQ4OJP259
McCormick & Co Inc/MD
57978DJS9
12629000.00000000
PA
USD
12604373.45000000
0.276686637909
Long
STIV
CORP
US
N
2
2022-09-26
None
0.00000000
N
N
N
N
N
N
TELUS Corp
L2TEUTQ8OSHMJWVLCE40
TELUS Corp
87974WJD1
15000000.00000000
PA
USD
14985895.05000000
0.328964936964
Long
STIV
CORP
CA
N
2
2022-09-13
None
0.00000000
N
N
N
N
N
N
Nederlandse Waterschapsbank NV
JLP5FSPH9WPSHY3NIM24
Nederlandse Waterschapsbank NV
63975VJT8
15478000.00000000
PA
USD
15449594.00000000
0.339143888261
Long
STIV
CORP
US
N
2
2022-09-27
None
0.00000000
N
N
N
N
N
N
TELUS Corp
L2TEUTQ8OSHMJWVLCE40
TELUS Corp
87974WKL1
4750000.00000000
PA
USD
4730584.38000000
0.103844073856
Long
STIV
CORP
CA
N
2
2022-10-20
None
0.00000000
N
N
N
N
N
N
LMA-Americas LLC
N/A
LMA-Americas LLC
53944RLM8
10000000.00000000
PA
USD
9930641.70000000
0.217993847545
Long
STIV
CORP
US
N
2
2022-11-21
None
0.00000000
N
N
N
N
N
N
Adventist Health System/West
5493008YM33UCY5QPW83
Adventist Health System/West
00777PJ89
25000000.00000000
PA
USD
24986989.00000000
0.548505326768
Long
STIV
CORP
US
N
2
2022-09-08
Fixed
2.40000000
N
N
N
N
N
N
First Abu Dhabi Bank PJSC
2138002Y3WMK6RZS8H90
First Abu Dhabi Bank PJSC
31849MLV1
6320000.00000000
PA
USD
6273390.00000000
0.137711183684
Long
STIV
CORP
AE
N
2
2022-11-29
None
0.00000000
N
N
N
N
N
N
NORDEA BANK ABP NEW YORK
529900ODI3047E2LIV03
Nordea Bank Abp/New York NY
65558UQY1
12000000.00000000
PA
USD
12006925.68000000
0.263571680989
Long
STIV
CORP
FI
N
2
2022-12-23
Floating
2.82000000
N
N
N
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
20272EKM9
8081000.00000000
PA
USD
8052059.27000000
0.176755886875
Long
STIV
CORP
AU
N
2
2022-10-21
None
0.00000000
N
N
N
N
N
N
VERSAILLES COM PAPER LLC
N/A
Versailles Commercial Paper LLC
92513JHS7
6998000.00000000
PA
USD
6998208.26000000
0.153622131439
Long
STIV
CORP
US
N
2
2022-11-14
Floating
2.74000000
N
N
N
N
N
N
National Securities Clearing Corp
549300RYC9NELN2ICA34
National Securities Clearing Corp
63763QK71
15677000.00000000
PA
USD
15637073.35000000
0.343259367006
Long
STIV
CORP
US
N
2
2022-10-07
None
0.00000000
N
N
N
N
N
N
Toronto-Dominion Bank/The
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89119BT22
10000000.00000000
PA
USD
9691312.50000000
0.212740179684
Long
STIV
CORP
CA
N
2
2023-06-02
None
0.00000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83369CKX1
6295000.00000000
PA
USD
6267288.34000000
0.137577242255
Long
STIV
CORP
US
N
2
2022-10-31
None
0.00000000
N
N
N
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
HSBC Bank USA NA
40435RLT6
12603000.00000000
PA
USD
12600129.41000000
0.276593474281
Long
STIV
CORP
US
N
2
2022-11-18
Floating
2.53000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Cash Management Bill
912796YS2
62542000.00000000
PA
USD
62106416.23000000
1.363337540534
Long
STIV
UST
US
N
1
2022-11-29
None
0.00000000
N
N
N
N
N
N
BASF SE
529900PM64WH8AF1E917
BASF SE
05526MJL0
14102000.00000000
PA
USD
14083338.40000000
0.309152340487
Long
STIV
CORP
DE
N
2
2022-09-20
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IOP011151 EQO XLE.P USD
000000000
-1948325.00000000
NC
USD
-2733866.26000000
-0.06001284133
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Energy Select Sector SPDR Fund
Energy Select Sector SPDR Fund
1.00000000
85.46000000
USD
2022-09-30
XXXX
1984587.23000000
N
N
N
Mondelez International Inc
549300DV9GIB88LZ5P30
Mondelez International Inc
60920WJ68
5000000.00000000
PA
USD
4997867.50000000
0.109711376037
Long
STIV
CORP
US
N
2
2022-09-06
None
0.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
IOP011116 EQO KWEB. USD
000000000
-1766189.00000000
NC
USD
-754409.97000000
-0.01656053424
N/A
DE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Call
Written
KraneShares CSI China Internet ETF
KraneShares CSI China Internet ETF
1.00000000
44.49550000
USD
2022-12-30
XXXX
2192653.00000000
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
86723BJG6
5000000.00000000
PA
USD
4994164.45000000
0.109630088026
Long
STIV
CORP
US
N
2
2022-09-16
None
0.00000000
N
N
N
N
N
N
ATLANTIC ASSET SEC LLC
549300BUNY5BIX4CVW20
Atlantic Asset Securitization LLC
04821PCP6
10404000.00000000
PA
USD
10406429.85000000
0.228438176579
Long
STIV
CORP
US
N
2
2022-10-13
Floating
2.69000000
N
N
N
N
N
N
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
HSBC Bank PLC
40433FTC3
4163000.00000000
PA
USD
4161409.65000000
0.091349756462
Long
STIV
CORP
GB
N
2
2023-06-06
Floating
2.88000000
N
N
N
N
N
N
Invesco Senior Loan ETF
549300SIHU6DQELRNG59
Invesco Senior Loan ETF
46138G508
2095332.00000000
NS
USD
43939112.04000000
0.964535463132
Long
EC
RF
US
N
1
N
N
Raytheon Technologies Corp
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513GKQ8
4000000.00000000
PA
USD
3981724.00000000
0.087405362195
Long
STIV
CORP
US
N
2
2022-10-24
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IOP011007 EQO. SPX USD
000000000
-35507.00000000
NC
USD
-4246910.57000000
-0.09322664167
N/A
DE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
S&P 500 Index
SPX INDEX
1.00000000
3645.00000000
USD
2023-01-20
XXXX
1824786.43000000
N
N
N
Pacific Life Short Term Funding LLC
N/A
Pacific Life Short Term Funding LLC
69448XSK9
15834000.00000000
PA
USD
15382620.16000000
0.337673702798
Long
STIV
CORP
US
N
2
2023-05-19
None
0.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
FXO001905 PUT EUR CALL CHF
000000000
-68300000.00000000
OU
Notional Amount
-395630.07000000
-0.00868472791
N/A
DFE
DE
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
-395630.07000000
-0.01000000
DFE
CH
-68300000.00000000
EUR
-64202000.00000000
CHF
2022-12-21
1.00000000
0.94000000
EUR
2022-12-21
XXXX
111760.11000000
N
N
N
Ionic Capital III Trust
254900X889N3JUSUDE39
Ionic Capital III Trust
46220XJL9
3000000.00000000
PA
USD
2995938.33000000
0.065765752435
Long
STIV
CORP
US
N
2
2022-09-20
None
0.00000000
N
N
N
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
20272EL22
7656000.00000000
PA
USD
7620709.67000000
0.167287056785
Long
STIV
CORP
AU
N
2
2022-11-02
None
0.00000000
N
N
N
N
N
N
Erste Abwicklungsanstalt
7TG4VWERK338227TR435
Erste Abwicklungsanstalt
29604DJK7
25000000.00000000
PA
USD
24968729.25000000
0.548104495353
Long
STIV
CORP
DE
N
2
2022-09-19
None
0.00000000
N
N
N
N
N
N
Goldman Sachs Energy Infrastructure Fund
5493004HQKOKO2ODA746
Goldman Sachs Energy Infrastructure Fund
38148U239
6514741.17200000
NS
USD
72443921.83000000
1.590262716957
Long
EC
RF
US
N
1
N
N
N
SVENSKA HANDELSBANKEN NY
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken/New York NY
86959RYM6
5532000.00000000
PA
USD
5533270.20000000
0.121464342068
Long
STIV
CORP
SE
N
2
2023-03-28
Floating
2.80000000
N
N
N
N
N
N
Goldman Sachs High Yield Floating Rate Fund
20OHG0KU8S4HBIU77D72
Goldman Sachs High Yield Floating Rate Fund
38145L166
12217491.56700000
NS
USD
109102199.69000000
2.394971946883
Long
EC
RF
US
N
1
N
N
N
CITIBANK N.A.
MBNUM2BPBDO7JBLYG310
CITIBANK N.A.
17305T6C1
8100000.00000000
PA
USD
8090370.15000000
0.177596873428
Long
STIV
CORP
US
N
2
2023-08-01
Fixed
4.06000000
N
N
N
N
N
N
Reckitt Benckiser Treasury Services PLC
213800LAXWIUOOBZ3908
Reckitt Benckiser Treasury Services PLC
7562E1JU9
5379000.00000000
PA
USD
5368063.90000000
0.117837793244
Long
STIV
CORP
US
N
2
2022-09-28
None
0.00000000
N
N
N
N
N
N
Sanofi
549300E9PC51EN656011
Sanofi
8010M3JN1
20000000.00000000
PA
USD
19971326.60000000
0.438403323534
Long
STIV
CORP
FR
N
2
2022-09-22
None
0.00000000
N
N
N
N
N
N
Mondelez International Inc
549300DV9GIB88LZ5P30
Mondelez International Inc
60920WJF8
5000000.00000000
PA
USD
4994668.75000000
0.109641158237
Long
STIV
CORP
US
N
2
2022-09-15
None
0.00000000
N
N
N
N
N
N
MetLife Short Term Funding LLC
54930024MDLTV1K1YL10
MetLife Short Term Funding LLC
59157USS0
13674000.00000000
PA
USD
13278626.96000000
0.291487606599
Long
STIV
CORP
US
N
2
2023-05-26
None
0.00000000
N
N
N
N
N
N
2022-10-05
GOLDMAN SACHS TRUST
Peter Fortner
Peter Fortner
Vice President