0001752724-23-220581.txt : 20230928
0001752724-23-220581.hdr.sgml : 20230928
20230928085724
ACCESSION NUMBER: 0001752724-23-220581
CONFORMED SUBMISSION TYPE: NPORT-P/A
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220930
FILED AS OF DATE: 20230928
DATE AS OF CHANGE: 20230928
PERIOD START: 20220930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: BERNSTEIN SANFORD C FUND INC
CENTRAL INDEX KEY: 0000832808
IRS NUMBER: 133464161
STATE OF INCORPORATION: MD
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P/A
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05555
FILM NUMBER: 231286368
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: 10153
0000832808
S000027651
Tax-Aware Overlay C Portfolio
C000083502
Class 2
SCTTX
C000083503
Class 1
SCTOX
NPORT-P/A
1
primary_doc.xml
NPORT-P/A
false
0001752724-22-261253
0000832808
XXXXXXXX
S000027651
C000083503
C000083502
BERNSTEIN SANFORD C FUND INC
811-05555
0000832808
549300GA5IHQHIM7CU60
ALLIANCEBERNSTEIN LP
1345 AVENUE OF THE AMERICAS
NEW YORK
10105
212-969-1000
Tax-Aware Overlay C Portfolio
S000027651
2P18Z1LGWH16353LFB04
2022-09-30
2022-09-30
N
370229579.44
3136015.36
367093564.08
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
5261327.66000000
USD
N
19% Russell 3000/11% MSCI ACWI ex-USA IMI (net)/42% Bloomberg 1-10 Year Municipal Bond/28% Bloomberg 1-10 Year US Gov Inflation-Linked Bonds
^RUA,NDUEACWZ,B12MTR,LTI1TRUU:IND
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2C1M1 IRS USD R F 3.32000 IS2C1M1 CCPINFLATIONZERO / Short: SS2C1M1 IRS USD P V 12MUSCPI IS2C1N2 CCPINFLATIONZERO
000000000
2150000.00000000
OU
Notional Amount
USD
-80935.52000000
-0.02204765430
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-01-15
0.00000000
USD
0.00000000
USD
2150000.00000000
USD
-80935.52000000
N
N
N
City of Detroit MI
549300BQRJP7MKKHOY28
DETROIT MI
2510933H1
2000000.00000000
PA
USD
2049089.20000000
0.558192624579
Long
DBT
MUN
US
N
2
2029-04-01
Fixed
5.00000000
N
N
N
N
N
N
City of Los Angeles Department of Airports
N/A
LOS ANGELES CA DEPT OF ARPTS ARPT REVENUE
544445CR8
1275000.00000000
PA
USD
1315599.19000000
0.358382526617
Long
DBT
MUN
US
N
2
2031-05-15
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS281C9 IRS USD R V 12MUSCPI IS281D0 CCPINFLATIONZERO / Short: BS281C9 IRS USD P F 2.58500 IS281C9 CCPINFLATIONZERO
000000000
710000.00000000
OU
Notional Amount
USD
60646.63000000
0.016520755451
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-01-15
0.00000000
USD
0.00000000
USD
710000.00000000
USD
60646.63000000
N
N
N
California Municipal Finance Authority
5493000UQOV6R4ZWS346
CALIFORNIA ST MUNI FIN AUTH LEASE REVENUE
13049UCP2
2320000.00000000
PA
USD
2480388.33000000
0.675682870174
Long
DBT
MUN
US
N
2
2029-06-01
Fixed
5.00000000
N
N
N
N
N
N
California State University
N/A
CALIFORNIA ST UNIV REVENUE
13077DAJ1
2160000.00000000
PA
USD
2278463.04000000
0.620676378707
Long
DBT
MUN
US
N
2
2025-11-01
Fixed
5.00000000
N
N
N
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204E6X1
100000.00000000
PA
USD
99957.29000000
0.027229376862
Long
DBT
MUN
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-12216.54000000
-0.00332790906
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
965955.24000000
USD
137211000.00000000
JPY
2022-12-02
-12216.54000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286B1
2670000.00000000
PA
USD
2460571.88000000
0.670284668751
Long
DBT
UST
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: IS0QGL9 IRS USD R V 12MLIBOR IS0QGM0 CPI SWAP 10212014 05 / Short: IS0QGL9 IRS USD P F 2.31000 IS0QGL9 CPI SWAP 10212014 05
000000000
5000000.00000000
OU
Notional Amount
USD
258528.15000000
0.070425683067
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-10-23
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
258528.15000000
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA STWD CMNTYS DEV AUTH REVENUE
13080SWM2
375000.00000000
PA
USD
359926.80000000
0.098047700972
Long
DBT
MUN
US
N
2
2034-06-01
Fixed
5.00000000
N
N
N
N
N
N
Walnut Energy Center Authority
N/A
WALNUT CA ENERGY CENTER AUTH REVENUE
93265PCQ0
1800000.00000000
PA
USD
1849815.54000000
0.503908463945
Long
DBT
MUN
US
N
2
2028-01-01
Fixed
5.00000000
N
N
N
N
N
N
Texas Municipal Gas Acquisition and Supply Corp I
6AZ7FRSNC3ZFPM0Z8L86
TEXAS ST MUNI GAS ACQUISITION & SPLY CORP I GAS SPLY REVENUE
88256CEX3
2565000.00000000
PA
USD
2665009.86000000
0.725975642389
Long
DBT
MUN
US
N
2
2026-12-15
Fixed
6.25000000
N
N
N
N
N
N
California School Finance Authority
N/A
CALIFORNIA ST SCH FIN AUTH CHRT SCH REVENUE
13058TJJ0
600000.00000000
PA
USD
551670.96000000
0.150280749645
Long
DBT
MUN
US
N
2
2030-07-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-249787.50000000
-0.06804464159
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4825347.41000000
USD
6320863.47000000
CAD
2022-10-27
-249787.50000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
53272.25000000
0.014511899747
N/A
DFE
GB
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
1233915.26000000
USD
1152000.00000000
GBP
2022-11-17
53272.25000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-97669.86000000
-0.02660625779
N/A
DFE
CA
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
2094002.88000000
USD
2757815.15000000
CAD
2022-10-27
-97669.86000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
SPI 200 FUTURES DEC22
000000000
-67.00000000
NC
318286.20000000
0.086704380339
N/A
DE
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
SFE S&P ASX Share Price Index 200 Futures
XPZ2 INDEX
2022-12-15
-11364581.55000000
AUD
318286.20000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS249F6 IRS USD R V 12MUSCPI IS249G7 CCPINFLATIONZERO / Short: BS249F6 IRS USD P F 1.71400 IS249F6 CCPINFLATIONZERO
000000000
240000.00000000
OU
Notional Amount
USD
33710.47000000
0.009183073008
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-01-15
0.00000000
USD
0.00000000
USD
240000.00000000
USD
33710.47000000
N
N
N
Guam Power Authority
549300IPOV320QCKW060
GUAM PWR AUTH REVENUE
400653JT9
1000000.00000000
PA
USD
1042240.40000000
0.283916827202
Long
DBT
MUN
US
N
2
2028-10-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
2027.61000000
0.000552341473
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
711000.00000000
CHF
727047.17000000
USD
2022-12-07
2027.61000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: IS1ISL8 IRS USD R V 12MUSCPI IS1ISM9 INFLATIONZERO / Short: IS1ISL8 IRS USD P F 2.17000 IS1ISL8 INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
502755.10000000
0.136955574598
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-12-04
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
502755.10000000
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3E5
89997.00000000
PA
USD
90399.93000000
0.024625855325
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
5.25000000
N
N
N
N
N
N
City of Los Angeles Department of Airports
N/A
LOS ANGELES CA DEPT OF ARPTS ARPT REVENUE
544445MB2
1000000.00000000
PA
USD
868784.30000000
0.236665631057
Long
DBT
MUN
US
N
2
2044-05-15
Fixed
4.00000000
N
N
N
N
N
N
Long Beach Bond Finance Authority
549300BKBZ5U7OZH3S21
LONG BEACH CA BOND FIN AUTH REVENUE
54240TCN1
0.00000000
PA
USD
0.00000000
0.000000
Long
DBT
MUN
US
N
2
2022-11-01
Fixed
5.00000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-846.45000000
-0.00023058154
N/A
DFE
JP
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
2604149.75000000
USD
374528000.00000000
JPY
2022-12-02
-846.45000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Long: IS1FYS8 IRS USD R V 12MUSCPI IS1FYT9 INFLATIONZERO / Short: IS1FYS8 IRS USD P F 2.10400 IS1FYS8 INFLATIONZERO
000000000
3000000.00000000
OU
Notional Amount
USD
329406.54000000
0.089733673437
N/A
DIR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-07-20
0.00000000
USD
0.00000000
USD
3000000.00000000
USD
329406.54000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
34053.21000000
0.009276438851
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
5224360.00000000
CHF
5361427.58000000
USD
2022-12-07
34053.21000000
N
N
N
City of Los Angeles CA
549300E7TO710PTXPJ65
LOS ANGELES CA
544351QM4
8000000.00000000
PA
USD
8054480.00000000
2.194121822916
Long
DBT
MUN
US
N
2
2023-06-29
Fixed
4.00000000
N
N
N
N
N
N
California Enterprise Development Authority
549300544P6FSHU1HB46
CALIFORNIA ST ENTERPRISE DEV AUTH CHRT SCH REVENUE
13069AAS7
540000.00000000
PA
USD
488577.69000000
0.133093504710
Long
DBT
MUN
US
N
2
2031-06-01
Fixed
4.00000000
N
N
N
N
N
N
California School Finance Authority
N/A
CALIFORNIA ST SCH FIN AUTH CHRT SCH REVENUE
13058TQA1
1000000.00000000
PA
USD
959790.30000000
0.261456585981
Long
DBT
MUN
US
N
2
2042-10-01
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Long: IS1C8Y3 IRS USD R V 12MUSCPI IS1C8Z4 INFLATIONZERO / Short: IS1C8Y3 IRS USD P F 2.17500 IS1C8Y3 INFLATIONZERO
000000000
3000000.00000000
OU
Notional Amount
USD
276099.24000000
0.075212225714
N/A
DIR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-03-02
0.00000000
USD
0.00000000
USD
3000000.00000000
USD
276099.24000000
N
N
N
California Municipal Finance Authority
5493000UQOV6R4ZWS346
CALIFORNIA ST MUNI FIN AUTH REVENUE
13048VBM9
2000000.00000000
PA
USD
2049613.00000000
0.558335312997
Long
DBT
MUN
US
N
2
2029-06-30
Fixed
5.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL19218 ALLIANCE
000000000
1090.00000000
NC
151762.23000000
0.041341566524
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
EURO STOXX 50 Index
SX5E INDEX
1.00000000
2800.00000000
EUR
2023-07-21
XXXX
54781.34000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
E-MINI RUSS 2000 DEC22
000000000
26.00000000
NC
USD
-285901.39000000
-0.07788243052
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME E-mini Russell 2000 Index Futures
RTYZ2 Index
2022-12-16
2456641.39000000
USD
-285901.39000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1NBC5 CDS USD R F 3.00000 IS1NBC5 CMBX / Short: IS1NBC5 CDS USD P V 01MEVENT IS1NBD6 CMBX
000000000
26567.36000000
OU
Notional Amount
USD
-5956.41000000
-0.00162258633
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-2481.70000000
USD
26567.36000000
USD
-3474.71000000
N
N
N
Kalispel Tribe of Indians
N/A
KALISPEL TRIBE OF INDIANS PRIORITY DIST WA REVENUE
48340PAR3
1000000.00000000
PA
USD
1042790.00000000
0.284066543801
Long
DBT
MUN
US
N
2
2032-01-01
Fixed
5.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
94327.59000000
0.025695789637
N/A
DFE
GB
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
4055556.01000000
USD
3714040.00000000
GBP
2022-11-17
94327.59000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-36337.34000000
-0.00989865896
N/A
DFE
CA
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
519928.22000000
USD
668052.00000000
CAD
2022-10-27
-36337.34000000
N
N
N
Territory of Guam
N/A
GUAM GOVT HOTEL OCCUPANCY TAX REVENUE
40065KAV5
1000000.00000000
PA
USD
921874.10000000
0.251127829579
Long
DBT
MUN
US
N
2
2040-11-01
Fixed
5.00000000
N
N
N
N
N
N
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
OMXS30 IND FUTURE OCT22
000000000
217.00000000
NC
-216620.63000000
-0.05900965072
N/A
DE
SE
N
1
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
Long
OML Stockholm OMXS30 Index Futures
QCV2 INDEX
2022-10-21
41748777.02000000
SEK
-216620.63000000
N
N
N
California Educational Facilities Authority
N/A
CALIFORNIA ST EDUCTNL FACS AUTH REVENUE
1301786S0
2000000.00000000
PA
USD
2079836.20000000
0.566568418384
Long
DBT
MUN
US
N
2
2027-11-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2C596 IRS USD R F 3.46600 IS2C596 CCPINFLATIONZERO / Short: SS2C596 IRS USD P V 12MUSCPI IS2C5A7 CCPINFLATIONZERO
000000000
2110000.00000000
OU
Notional Amount
USD
-60857.97000000
-0.01657832660
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-01-15
0.00000000
USD
-2466.26000000
USD
2110000.00000000
USD
-58391.71000000
N
N
N
California Community Housing Agency
N/A
CALIFORNIA CMNTY HSG AGY ESSENTIAL HSG REVENUE
13013FAV6
500000.00000000
PA
USD
358584.00000000
0.097681908670
Long
DBT
MUN
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-2034.88000000
-0.00055432189
N/A
DFE
NO
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
148985.63000000
USD
1598297.00000000
NOK
2022-12-01
-2034.88000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
14773.28000000
0.004024390903
N/A
DFE
SE
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1124804.22000000
USD
12609548.00000000
SEK
2022-12-01
14773.28000000
N
N
N
State of California
N/A
CALIFORNIA ST
13063CEN6
5635000.00000000
PA
USD
5732392.52000000
1.561561705492
Long
DBT
MUN
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
Oakland Unified School District/Alameda County
N/A
OAKLAND CA UNIF SCH DIST ALAMEDA CNTY
672325XK8
1025000.00000000
PA
USD
1071076.01000000
0.291771939038
Long
DBT
MUN
US
N
2
2026-08-01
Fixed
5.00000000
N
N
N
N
N
N
Norman Y Mineta San Jose International Airport SJC
N/A
SAN JOSE CA ARPT REVENUE
798136UP0
2360000.00000000
PA
USD
2413360.54000000
0.657423822193
Long
DBT
MUN
US
N
2
2026-03-01
Fixed
5.00000000
N
N
N
N
N
N
Puerto Rico Highway & Transportation Authority
549300J6QBXVWJXB7Y41
PUERTO RICO HIGHWAY & TRANSPRTN AUTH TRANSPRTN REVENUE
745190UR7
190000.00000000
PA
USD
184732.78000000
0.050323077840
Long
DBT
MUN
US
N
2
2041-07-01
Fixed
5.25000000
N
N
N
N
N
N
County of Monterey CA
N/A
MONTEREY CNTY CA COPS
612448PN4
4870000.00000000
PA
USD
5251380.41000000
1.430529141299
Long
DBT
MUN
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
315876.42000000
0.086047931892
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
6500156.00000000
AUD
4474370.03000000
USD
2022-10-20
315876.42000000
N
N
N
California Community Housing Agency
N/A
CALIFORNIA CMNTY HSG AGY ESSENTIAL HSG REVENUE
13013FBC7
1000000.00000000
PA
USD
693947.50000000
0.189038318266
Long
DBT
MUN
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-265260.45000000
-0.07225962968
N/A
DFE
NZ
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
2775519.01000000
USD
4484582.00000000
NZD
2022-11-18
-265260.45000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS2G4Z7 IRS USD R F 2.72800 IS2G4Z7 CCPOIS / Short: SS2G4Z7 IRS USD P V 00MSOFR IS2G509 CCPOIS
000000000
10300000.00000000
OU
Notional Amount
USD
-397401.26000000
-0.10825612293
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2027-01-15
0.00000000
USD
0.00000000
USD
10300000.00000000
USD
-397401.26000000
N
N
N
Capital Trust Agency Inc
549300F49UWS7X0OGQ59
CAPITAL TRUST AGY FL EDUCTNL FACS LEASE REVENUE
14054DAD9
100000.00000000
PA
USD
100814.25000000
0.027462821434
Long
DBT
MUN
US
N
2
2026-12-15
Fixed
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-66030.37000000
-0.01798734068
N/A
DFE
NO
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1308523.01000000
USD
13513863.00000000
NOK
2022-12-01
-66030.37000000
N
N
N
City of Los Angeles Department of Airports
N/A
LOS ANGELES CA DEPT OF ARPTS ARPT REVENUE
544445GF0
4670000.00000000
PA
USD
4709353.16000000
1.282875435804
Long
DBT
MUN
US
N
2
2023-05-15
Fixed
5.00000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
FTSE 100 IDX FUT DEC22
000000000
15.00000000
NC
-64356.30000000
-0.01753130708
N/A
DE
GB
N
1
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
Long
ICF FTSE 100 Index Futures
Z Z2 INDEX
2022-12-16
1084184.35000000
GBP
-64356.30000000
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3G0
750000.00000000
PA
USD
765574.65000000
0.208550278433
Long
DBT
MUN
US
N
2
2027-07-01
Fixed
5.62500000
N
N
N
N
N
N
California State University
N/A
CALIFORNIA ST UNIV REVENUE
13077DQN5
2000000.00000000
PA
USD
1475251.60000000
0.401873457982
Long
DBT
MUN
US
N
2
2034-11-01
Fixed
2.27400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2BYW9 IRS USD R F 2.90900 IS2BYW9 CCPINFLATIONZERO / Short: SS2BYW9 IRS USD P V 12MUSCPI IS2BYX0 CCPINFLATIONZERO
000000000
1110000.00000000
OU
Notional Amount
USD
-31414.91000000
-0.00855773924
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-04-15
0.00000000
USD
0.00000000
USD
1110000.00000000
USD
-31414.91000000
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
Long: IS1N8C4 CDS USD R F 3.00000 IS1N8C4 CMBX / Short: IS1N8C4 CDS USD P V 01MEVENT IS1N8D5 CMBX
000000000
274289.97000000
OU
Notional Amount
USD
-61495.82000000
-0.01675208339
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-25224.67000000
USD
274289.97000000
USD
-36271.15000000
N
N
N
San Diego County Regional Transportation Commission
W4FR340A6EQ2SSI17B56
SAN DIEGO CNTY CA REGL TRANSPRTN COMMISSION SALES TAX REV
797400MN5
1970000.00000000
PA
USD
1970000.00000000
0.536647926513
Long
DBT
MUN
US
N
2
2022-10-01
Fixed
5.00000000
N
N
N
N
N
N
City of Ashland KY
N/A
ASHLAND KY MED CENTER REVENUE
044293BT4
100000.00000000
PA
USD
102199.37000000
0.027840142132
Long
DBT
MUN
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS283G7 IRS USD R V 12MUSCPI IS283H8 CCPINFLATIONZERO / Short: BS283G7 IRS USD P F 2.61250 IS283G7 CCPINFLATIONZERO
000000000
710000.00000000
OU
Notional Amount
USD
59878.28000000
0.016311449139
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-01-15
0.00000000
USD
0.00000000
USD
710000.00000000
USD
59878.28000000
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1PAM4 CDS USD R F 3.00000 IS1PAM4 CMBX / Short: IS1PAM4 CDS USD P V 01MEVENT IS1PAN5 CMBX
000000000
88318.49000000
OU
Notional Amount
USD
-19801.00000000
-0.00539399268
N/A
DCR
US
N
2
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-10643.40000000
USD
88318.49000000
USD
-9157.60000000
N
N
N
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
HANG SENG IDX FUT OCT22
000000000
18.00000000
NC
-71953.45000000
-0.01960084758
N/A
DE
HK
N
1
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
Long
HKG Hang Seng Index Futures
HIV2 INDEX
2022-10-28
16014058.45000000
HKD
-71953.45000000
N
N
N
Fremont Community Facilities District No 1
N/A
FREMONT CA CMNTY FACS DIST #1
357129BZ7
1505000.00000000
PA
USD
1546112.54000000
0.421176694795
Long
DBT
MUN
US
N
2
2028-09-01
Fixed
5.00000000
N
N
N
N
N
N
Alliance Bernstein
5493006YWHO7MNK2U579
AB Fixed Income Shares, Inc. - Government Money Market Portfolio
018616748
17560056.87000000
NS
USD
17560056.87000000
4.783537111038
Long
STIV
RF
US
N
1
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BK6
1000000.00000000
PA
USD
690226.50000000
0.188024680228
Long
DBT
MUN
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
Walnut Energy Center Authority
N/A
WALNUT CA ENERGY CENTER AUTH REVENUE
93265PCN7
1000000.00000000
PA
USD
1029730.10000000
0.280508894940
Long
DBT
MUN
US
N
2
2026-01-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-245024.40000000
-0.06674712497
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3326865.07000000
USD
4817236.00000000
AUD
2022-10-20
-245024.40000000
N
N
N
California Health Facilities Financing Authority
5493007RI8BUDOGHZ546
CALIFORNIA ST HLTH FACS FING AUTH REVENUE
13032UWW4
1850000.00000000
PA
USD
1720365.69000000
0.468645015423
Long
DBT
MUN
US
N
2
2035-04-01
Fixed
4.00000000
N
N
N
N
N
N
San Francisco City & County Airport Comm-San Francisco International Airport
54930055TIDYHNDP4F84
SAN FRANCISCO CALIF CITY &CNTY ARPTS COMMN INTL ARPT REV
79766DGA1
1050000.00000000
PA
USD
1095377.43000000
0.298391891654
Long
DBT
MUN
US
N
2
2025-05-01
Fixed
5.00000000
N
N
N
N
N
N
California Municipal Finance Authority
5493000UQOV6R4ZWS346
CALIFORNIA ST MUNI FIN AUTH REVENUE
13048VBL1
1700000.00000000
PA
USD
1744360.99000000
0.475181577855
Long
DBT
MUN
US
N
2
2028-12-31
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT DEC22
000000000
-8.00000000
NC
USD
29659.92000000
0.008079662217
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME E-Mini Standard & Poor's 500 Index Futures
ESZ2 INDEX
2022-12-16
-1470259.92000000
USD
29659.92000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-121480.50000000
-0.03309251697
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1255953.03000000
USD
1773298.00000000
AUD
2022-10-20
-121480.50000000
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3J4
100000.00000000
PA
USD
101950.24000000
0.027772276600
Long
DBT
MUN
US
N
2
2031-07-01
Fixed
5.75000000
N
N
N
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA ST STWD CMNTYS DEV AUTH HOSP REVENUE
13081KAK6
2790000.00000000
PA
USD
2867685.32000000
0.781186487751
Long
DBT
MUN
US
N
2
2029-01-01
Fixed
5.00000000
N
N
N
N
N
N
Bay Area Toll Authority
5493001FUZGUQMIP5D78
BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE
072024XT4
2000000.00000000
PA
USD
1939674.80000000
0.528387035294
Long
DBT
MUN
US
N
2
2056-04-01
Floating
2.76000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS2AU39 IRS USD R V 12MUSCPI IS2AU40 CCPINFLATIONZERO / Short: BS2AU39 IRS USD P F 2.68000 IS2AU39 CCPINFLATIONZERO
000000000
1180000.00000000
OU
Notional Amount
USD
71017.57000000
0.019345904409
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-01-15
0.00000000
USD
0.00000000
USD
1180000.00000000
USD
71017.57000000
N
N
N
California Municipal Finance Authority
5493000UQOV6R4ZWS346
CALIFORNIA ST MUNI FIN AUTH REVENUE
13048VBK3
1325000.00000000
PA
USD
1359932.17000000
0.370459278796
Long
DBT
MUN
US
N
2
2028-06-30
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-6389.17000000
-0.00174047453
N/A
DFE
NZ
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
984277.79000000
USD
1747000.00000000
NZD
2022-11-18
-6389.17000000
N
N
N
City of Los Angeles Department of Airports
N/A
LOS ANGELES CA DEPT OF ARPTS ARPT REVENUE
544445AK5
1795000.00000000
PA
USD
1861222.58000000
0.507015857023
Long
DBT
MUN
US
N
2
2026-05-15
Fixed
5.00000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063CY95
8760000.00000000
PA
USD
8911403.46000000
2.427556441185
Long
DBT
MUN
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMQ5
245000.00000000
PA
USD
242233.85000000
0.065986950930
Long
DBT
MUN
US
N
2
2027-10-01
Fixed
5.00000000
N
N
N
N
N
N
Michigan Finance Authority
54930022O46HOX5J1D14
MICHIGAN ST FIN AUTH REVENUE
59447PYH8
2175000.00000000
PA
USD
2207843.15000000
0.601438806352
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
5.00000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063DHN1
7615000.00000000
PA
USD
8327607.89000000
2.268524622835
Long
DBT
MUN
US
N
2
2029-08-01
Fixed
5.00000000
N
N
N
N
N
N
State of Connecticut
5493007GRO6CU0IKP741
CONNECTICUT ST
20772JF49
1250000.00000000
PA
USD
1302623.25000000
0.354847749310
Long
DBT
MUN
US
N
2
2030-06-15
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
Long: IS1NCU0 CDS USD R F 3.00000 IS1NCU0 CMBX / Short: IS1NCU0 CDS USD P V 01MEVENT IS1NCV1 CMBX
000000000
14360.73000000
OU
Notional Amount
USD
-3219.68000000
-0.00087707339
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-1353.82000000
USD
14360.73000000
USD
-1865.86000000
N
N
N
Antelope Valley-East Kern Water Agency
N/A
ANTELOPE VLY-E KERN CA WTR AGY WTR REVENUE
03672YAH9
1000000.00000000
PA
USD
1044761.10000000
0.284603491379
Long
DBT
MUN
US
N
2
2025-06-01
Fixed
5.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Long: IS1WUB4 IRS USD R V 01MMUNIP IS1WUC5 VANILLA / Short: IS1WUB4 IRS USD P F 1.12500 IS1WUB4 VANILLA
000000000
3815000.00000000
OU
Notional Amount
USD
438410.29000000
0.119427397507
N/A
DIR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2029-10-09
0.00000000
USD
0.00000000
USD
3815000.00000000
USD
438410.29000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
19778.57000000
0.005387882527
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
29674800.00000000
SEK
2701614.15000000
USD
2022-12-01
19778.57000000
N
N
N
City of Ashland KY
N/A
ASHLAND KY MED CENTER REVENUE
044293BP2
140000.00000000
PA
USD
144571.60000000
0.039382766179
Long
DBT
MUN
US
N
2
2027-02-01
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Long: IS1QI56 IRS USD R V 12MUSCPI IS1QI67 INFLATIONZERO / Short: IS1QI56 IRS USD P F 2.00900 IS1QI56 INFLATIONZERO
000000000
7000000.00000000
OU
Notional Amount
USD
783705.86000000
0.213489403434
N/A
DIR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-12-27
0.00000000
USD
0.00000000
USD
7000000.00000000
USD
783705.86000000
N
N
N
Sacramento County Water Financing Authority
N/A
SACRAMENTO CNTY CA WTR FING AUTH REVENUE
78615RCV3
1450000.00000000
PA
USD
1244006.77000000
0.338880027253
Long
DBT
MUN
US
N
2
2039-06-01
Floating
2.63500000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: IS1N5S9 CDS USD R F 3.00000 IS1N5S9 CMBX / Short: IS1N5S9 CDS USD P V 01MEVENT IS1N5T0 CMBX
000000000
237670.12000000
OU
Notional Amount
USD
-53285.65000000
-0.01451555004
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-21214.96000000
USD
237670.12000000
USD
-32070.69000000
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
Long: IS1PCY0 CDS USD R F 3.00000 IS1PCY0 CMBX / Short: IS1PCY0 CDS USD P V 01MEVENT IS1PCZ1 CMBX
000000000
180227.18000000
OU
Notional Amount
USD
-40406.94000000
-0.01100725917
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-20923.91000000
USD
180227.18000000
USD
-19483.03000000
N
N
N
Territory of Guam
N/A
GUAM GOVT LTD OBLG REVENUE
40065HDN7
225000.00000000
PA
USD
223357.73000000
0.060844904911
Long
DBT
MUN
US
N
2
2030-12-01
Fixed
5.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
70438.11000000
0.019188053644
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1631569.00000000
CAD
1251501.70000000
USD
2022-10-27
70438.11000000
N
N
N
New York Transportation Development Corp
N/A
NEW YORK ST TRANSPRTN DEV CORP SPL FAC REVENUE
650116CQ7
210000.00000000
PA
USD
185160.19000000
0.050439508647
Long
DBT
MUN
US
N
2
2036-01-01
Fixed
4.00000000
N
N
N
N
N
N
Oakland Unified School District/Alameda County
N/A
OAKLAND CA UNIF SCH DIST ALAMEDA CNTY
672325XJ1
1310000.00000000
PA
USD
1368438.31000000
0.372776437372
Long
DBT
MUN
US
N
2
2025-08-01
Fixed
5.00000000
N
N
N
N
N
N
Los Angeles Unified School District/CA
N/A
LOS ANGELES CA UNIF SCH DIST
544646T28
6815000.00000000
PA
USD
7031651.58000000
1.915493015417
Long
DBT
MUN
US
N
2
2027-07-01
Fixed
5.00000000
N
N
N
N
N
N
CMFA Special Finance Agency VII
N/A
CMFA SPL FIN AGY VII CA ESSENTIAL HSG REVENUE
12574UAC8
1000000.00000000
PA
USD
679820.20000000
0.185189898848
Long
DBT
MUN
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
California Housing Finance Agency
549300BOPCVLBA552Z14
CALIFORNIA HSG FIN AGY MUNI CTFS
13033DAH8
1000000.00000000
PA
USD
56272.80000000
0.015329279918
Long
DBT
MUN
US
N
2
2035-03-25
Variable
0.82300000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
89845.78000000
0.024474899260
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1681952.00000000
CAD
1307380.72000000
USD
2022-10-27
89845.78000000
N
N
N
Riverside County Redevelopment Successor Agency
N/A
RIVERSIDE CNTY CA REDEV SUCCESSOR AGY TAX ALLOCATION
76913AKC6
1900000.00000000
PA
USD
2035234.97000000
0.554418592192
Long
DBT
MUN
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
Metropolitan Water District of Southern California
5493003GD0S0P56RLT45
MET WTR DIST OF STHRN CA WTRWKS REVENUE
59266TNJ6
1000000.00000000
PA
USD
994848.80000000
0.271006875997
Long
DBT
MUN
US
N
2
2037-07-01
Floating
2.60000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SELS03910 TRS CHF R E SELS03910/ZERO RATE / Short: SELS03910 TRS CHF P F .00000 SELS03910/SMZ2
000000000
2628618.35000000
OU
Notional Amount
39243.59000000
0.010690350864
N/A
DE
CH
N
2
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Eurex Swiss Market New Index Futures
SMZ2 INDEX
Y
equity-performance leg
equity-performance leg
2022-12-16
0.00000000
CHF
0.00000000
CHF
2628618.35000000
CHF
39243.59000000
N
N
N
Newport Mesa Unified School District
N/A
NEWPORT MESA CA UNIF SCH DIST
652113YM7
510000.00000000
PA
USD
526945.67000000
0.143545330553
Long
DBT
MUN
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA STWD CMNTYS DEV AUTH REVENUE
13080SKR4
2200000.00000000
PA
USD
2319938.50000000
0.631974713534
Long
DBT
MUN
US
N
2
2028-08-15
Fixed
5.00000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMN2
225000.00000000
PA
USD
224197.09000000
0.061073555065
Long
DBT
MUN
US
N
2
2025-10-01
Fixed
5.00000000
N
N
N
N
N
N
City of Los Angeles Department of Airports
N/A
LOS ANGELES CA DEPT OF ARPTS ARPT REVENUE
544445PK9
1000000.00000000
PA
USD
1080267.40000000
0.294275766644
Long
DBT
MUN
US
N
2
2033-05-15
Fixed
5.00000000
N
N
N
N
N
N
California Housing Finance Agency
549300BOPCVLBA552Z14
CALIFORNIA HSG FIN AGY MUNI CTFS
13033DAE5
2592176.72000000
PA
USD
2239441.09000000
0.610046404821
Long
DBT
MUN
US
N
2
2035-11-20
Fixed
3.50000000
N
N
N
N
N
N
County of Osceola FL Transportation Revenue
N/A
OSCEOLA CNTY FL TRANSPRTN REVENUE
688031EL3
100000.00000000
PA
USD
62861.00000000
0.017123972237
Long
DBT
MUN
US
N
2
2031-10-01
None
0.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-58072.34000000
-0.01581949281
N/A
DFE
CA
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
849281.26000000
USD
1093008.00000000
CAD
2022-10-27
-58072.34000000
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292AL5
1000000.00000000
PA
USD
718434.30000000
0.195708770269
Long
DBT
MUN
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
65621.19000000
0.017875875913
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1258279.21000000
GBP
1471559.80000000
USD
2022-11-17
65621.19000000
N
N
N
Anaheim Housing & Public Improvements Authority
N/A
ANAHEIM CA HSG & PUBLIC IMPT AUTH REVENUE
032556GY2
1150000.00000000
PA
USD
940830.99000000
0.256291878164
Long
DBT
MUN
US
N
2
2032-10-01
Fixed
2.79200000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
S+P/TSX 60 IX FUT DEC22
000000000
-21.00000000
NC
62384.00000000
0.016994032613
N/A
DE
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Short
Montreal Exchange S&P/TSX 60 Index Futures
PTZ2 INDEX
2022-12-15
-4773374.14000000
CAD
62384.00000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Long: IS19KK4 IRS USD R V 03MLIBOR IS19KL5 CPILV506025 / Short: IS19KK4 IRS USD P F 2.01500 IS19KK4 CPILV506025
000000000
4000000.00000000
OU
Notional Amount
USD
475573.08000000
0.129550917404
N/A
DIR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-11-04
0.00000000
USD
0.00000000
USD
4000000.00000000
USD
475573.08000000
N
N
N
SPDR S&P 500 ETF Trust
549300NZAMSJ8FXPQQ63
SPDR S&P 500 ETF Trust
78462F103
84610.00000000
NS
USD
30220999.80000000
8.232506030373
Long
EC
RF
US
N
1
N
N
N
Puerto Rico Industrial Tourist Educational Medical & Envirml Ctl Facs Fing Auth
N/A
PUERTO RICO INDL TOURIST EDUCTNL MED & ENVRNMNTL CONTROL FAC
74527JAC1
1105000.00000000
PA
USD
1141727.55000000
0.311018133173
Long
DBT
MUN
US
N
2
2026-06-01
Fixed
6.62500000
N
N
N
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204E6T0
100000.00000000
PA
USD
102369.62000000
0.027886519954
Long
DBT
MUN
US
N
2
2029-09-01
Fixed
5.00000000
N
N
N
N
N
N
Norman Y Mineta San Jose International Airport SJC
N/A
SAN JOSE CA ARPT REVENUE
798136UK1
1955000.00000000
PA
USD
1988233.24000000
0.541614845518
Long
DBT
MUN
US
N
2
2024-03-01
Fixed
5.00000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412GST3
6000000.00000000
PA
USD
6072504.60000000
1.654211676311
Long
DBT
MUN
US
N
2
2048-05-15
Floating
5.00000000
N
N
N
N
N
N
County of Sacramento CA Airport System Revenue
549300OXI5MD45L13R20
SACRAMENTO CNTY CA ARPT SYS REVENUE
786107SV5
1280000.00000000
PA
USD
1365251.46000000
0.371908307197
Long
DBT
MUN
US
N
2
2032-07-01
Fixed
5.00000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063DD39
2000000.00000000
PA
USD
2034567.00000000
0.554236630407
Long
DBT
MUN
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
County of Los Angeles CA Community Facilities District No 2021-01
N/A
LOS ANGELES CNTY CA CMNTY FACS DIST #2021-01 SPL TAX
54531MAR7
1800000.00000000
PA
USD
1736273.34000000
0.472978420188
Long
DBT
MUN
US
N
2
2042-09-01
Fixed
5.00000000
N
N
N
N
N
N
Los Angeles Department of Water & Power
549300S8NXV6YU61GG95
LOS ANGELES CA DEPT OF WTR & PWR REVENUE
544532BB9
455000.00000000
PA
USD
505359.45000000
0.137665025881
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
5.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-29936.62000000
-0.00815503809
N/A
DFE
CA
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
456262.64000000
USD
588944.00000000
CAD
2022-10-27
-29936.62000000
N
N
N
Puerto Rico Highway & Transportation Authority
549300J6QBXVWJXB7Y41
PUERTO RICO HIGHWAY & TRANSPRTN AUTH HIGHWAY REVENUE
745181F85
110000.00000000
PA
USD
110855.17000000
0.030198069605
Long
DBT
MUN
US
N
2
2031-07-01
Fixed
5.50000000
N
N
N
N
N
N
Territory of Guam
N/A
GUAM GOVT BUSINESS PRIVILEGE TAX REVENUE
40065NCC9
840000.00000000
PA
USD
826947.41000000
0.225268839041
Long
DBT
MUN
US
N
2
2031-11-15
Fixed
5.00000000
N
N
N
N
N
N
Antelope Valley-East Kern Water Agency
N/A
ANTELOPE VLY-E KERN CA WTR AGY WTR REVENUE
03672YAF3
1000000.00000000
PA
USD
1012354.90000000
0.275775714711
Long
DBT
MUN
US
N
2
2023-06-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)DEC22
000000000
99.00000000
NC
USD
-574796.67000000
-0.15658042696
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year U.S. Treasury Notes
TYZ2 COMDTY
2022-12-20
11668984.17000000
USD
-574796.67000000
N
N
N
California Housing Finance Agency
549300BOPCVLBA552Z14
CALIFORNIA HSG FIN AGY MUNI CTFS
13033DAC9
2128470.51000000
PA
USD
2024621.16000000
0.551527282989
Long
DBT
MUN
US
N
2
2033-03-20
Fixed
4.00000000
N
N
N
N
N
N
San Diego County Water Authority
549300Y0QN5OFKA1G520
SAN DIEGO CNTY CA WTR AUTH
797412DB6
780000.00000000
PA
USD
788747.08000000
0.214862682754
Long
DBT
MUN
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
San Diego County Water Authority
549300Y0QN5OFKA1G520
SAN DIEGO CNTY CA WTR AUTH
797412DC4
500000.00000000
PA
USD
514462.50000000
0.140144788778
Long
DBT
MUN
US
N
2
2024-05-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS21YN0 IRS USD R V 12MUSCPI IS21YO1 CCPINFLATIONZERO / Short: BS21YN0 IRS USD P F 1.23000 IS21YN0 CCPINFLATIONZERO
000000000
6470000.00000000
OU
Notional Amount
USD
1079586.14000000
0.294090184529
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-01-15
0.00000000
USD
0.00000000
USD
6470000.00000000
USD
1079586.14000000
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA ST STWD CMNTYS DEV AUTH CLG HSG REVENUE
13081CAB4
215000.00000000
PA
USD
205034.13000000
0.055853370928
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAX2
35476.87000000
PA
USD
36016.03000000
0.009811130873
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Floating
7.08400000
N
N
N
N
N
N
California Infrastructure & Economic Development Bank
549300C1OG9RDIM8ET06
CALIFORNIA ST INFRASTRUCTURE & ECON DEV BANK REVENUE
13034AQ45
2000000.00000000
PA
USD
1978415.20000000
0.538940312113
Long
DBT
MUN
US
N
2
2047-08-01
Floating
2.81000000
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3Q8
191750.00000000
PA
USD
176242.77000000
0.048010313240
Long
DBT
MUN
US
N
2
2024-07-01
None
0.00000000
N
N
N
N
N
N
Michigan Strategic Fund
N/A
MICHIGAN ST STRATEGIC FUND LTD OBLG REVENUE
594698QH8
3325000.00000000
PA
USD
3325674.98000000
0.905947503692
Long
DBT
MUN
US
N
2
2030-06-30
Fixed
5.00000000
N
N
N
N
N
N
City & County of Denver CO
MMTY7HA2MSCBUO4F7J71
DENVER CITY & CNTY CO SPL FACS ARPT REVENUE
249271GV3
1000000.00000000
PA
USD
951706.90000000
0.259254586057
Long
DBT
MUN
US
N
2
2032-10-01
Fixed
5.00000000
N
N
N
N
N
N
Los Angeles Community College District/CA
N/A
LOS ANGELES CA CMNTY CLG DIST
54438CTE2
2585000.00000000
PA
USD
2671356.58000000
0.727704553114
Long
DBT
MUN
US
N
2
2030-08-01
Fixed
5.00000000
N
N
N
N
N
N
Parish of St James LA
N/A
SAINT JAMES PARISH LA REVENUE
790103AU9
110000.00000000
PA
USD
117036.38000000
0.031881893732
Long
DBT
MUN
US
N
2
2038-06-01
Floating
6.10000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2B560 IRS USD R F 2.74800 IS2B560 CCPINFLATIONZERO / Short: SS2B560 IRS USD P V 12MUSCPI IS2B571 CCPINFLATIONZERO
000000000
1000000.00000000
OU
Notional Amount
USD
-45095.39000000
-0.01228444037
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-04-15
0.00000000
USD
0.00000000
USD
1000000.00000000
USD
-45095.39000000
N
N
N
Vauxmont Metropolitan District
549300M7XL6MB0OW8D56
VAUXMONT MET DIST CO
92242SBE2
100000.00000000
PA
USD
104103.12000000
0.028358742889
Long
DBT
MUN
US
N
2
2050-12-01
Fixed
5.00000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI EXEMPT FACS REVENUE
74443QAB8
1135000.00000000
PA
USD
1145116.03000000
0.311941189399
Long
DBT
MUN
US
N
2
2024-01-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-3875.72000000
-0.00105578533
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
827000.00000000
CHF
839431.14000000
USD
2022-12-07
-3875.72000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-4296.75000000
-0.00117047816
N/A
DFE
JP
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
5672301.13000000
USD
815435660.00000000
JPY
2022-12-02
-4296.75000000
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA ST STWD CMNTYS DEV AUTH CLG HSG REVENUE
13081CAA6
120000.00000000
PA
USD
119221.86000000
0.032477240590
Long
DBT
MUN
US
N
2
2024-07-01
Fixed
5.00000000
N
N
N
N
N
N
New Jersey Transportation Trust Fund Authority
549300YUVD5TEXR6L889
NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
6461364A6
2000000.00000000
PA
USD
2082316.60000000
0.567244104433
Long
DBT
MUN
US
N
2
2029-12-15
Fixed
5.00000000
N
N
N
N
N
N
Middle Fork Project Finance Authority
N/A
MIDDLE FORK PROJ FIN AUTH CA
59572CAP2
450000.00000000
PA
USD
465986.66000000
0.126939479630
Long
DBT
MUN
US
N
2
2033-04-01
Fixed
5.00000000
N
N
N
N
N
N
CMFA Special Finance Agency VIII
N/A
CMFA SPL FIN AGY VIII CA ESSENTIAL HSG REVENUE
12574VAB8
855000.00000000
PA
USD
641250.00000000
0.174682986231
Long
DBT
MUN
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
California Housing Finance Agency
549300BOPCVLBA552Z14
CALIFORNIA HSG FIN AGY MUNI CTFS
13033DAG0
1975924.41000000
PA
USD
1812995.41000000
0.493878288099
Long
DBT
MUN
US
N
2
2035-03-25
Fixed
3.75000000
N
N
N
N
N
N
State of Arizona Lottery Revenue
N/A
ARIZONA ST LOTTERY REVENUE
040624BH0
2000000.00000000
PA
USD
2058774.80000000
0.560831079989
Long
DBT
MUN
US
N
2
2024-07-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2CQM6 IRS USD R F 3.29000 IS2CQM6 CCPINFLATIONZERO / Short: SS2CQM6 IRS USD P V 12MUSCPI IS2CQN7 CCPINFLATIONZERO
000000000
9210000.00000000
OU
Notional Amount
USD
-184496.56000000
-0.05025872912
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-01-15
0.00000000
USD
0.00000000
USD
9210000.00000000
USD
-184496.56000000
N
N
N
City of Los Angeles Department of Airports
N/A
LOS ANGELES CA DEPT OF ARPTS ARPT REVENUE
544445CQ0
3585000.00000000
PA
USD
3708833.07000000
1.010323643045
Long
DBT
MUN
US
N
2
2030-05-15
Fixed
5.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
228223.00000000
0.062170253671
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
3911367.00000000
CAD
3059591.55000000
USD
2022-10-27
228223.00000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC22
000000000
37.00000000
NC
USD
-121536.15000000
-0.03310767659
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUZ2 COMDTY
2022-12-30
7720989.31000000
USD
-121536.15000000
N
N
N
City of Roseville CA
549300OH100KESVPND17
ROSEVILLE CA SPL TAX
777870XT8
1000000.00000000
PA
USD
1035889.10000000
0.282186668839
Long
DBT
MUN
US
N
2
2031-09-01
Fixed
5.00000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412GWP6
2270000.00000000
PA
USD
2382843.74000000
0.649110737196
Long
DBT
MUN
US
N
2
2025-05-15
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT DEC22
000000000
26.00000000
NC
USD
-342912.44000000
-0.09341281720
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Ultra Long Term U.S. Treasury Bond Futures
WNZ2 COMDTY
2022-12-20
3904912.44000000
USD
-342912.44000000
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BS9
1000000.00000000
PA
USD
737958.60000000
0.201027387077
Long
DBT
MUN
US
N
2
2043-07-01
Fixed
3.37500000
N
N
N
N
N
N
Los Angeles Department of Water & Power
549300S8NXV6YU61GG95
LOS ANGELES CA DEPT WTR & PWR REVENUE
5444954G6
1660000.00000000
PA
USD
1807853.54000000
0.492477590701
Long
DBT
MUN
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL17137 ALLIANCE
000000000
1530.00000000
NC
213024.05000000
0.058029905954
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
EURO STOXX 50 Index
SX5E INDEX
1.00000000
2800.00000000
EUR
2023-07-21
XXXX
54871.58000000
N
N
N
Bay Area Toll Authority
5493001FUZGUQMIP5D78
BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE
072024XU1
2000000.00000000
PA
USD
1937102.40000000
0.527686287514
Long
DBT
MUN
US
N
2
2056-04-01
Floating
2.87000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-35679.63000000
-0.00971949211
N/A
DFE
CA
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
672070.83000000
USD
879136.53000000
CAD
2022-10-27
-35679.63000000
N
N
N
California Health Facilities Financing Authority
5493007RI8BUDOGHZ546
CALIFORNIA ST HLTH FACS FING AUTH REVENUE
13032URD2
900000.00000000
PA
USD
949878.99000000
0.258756644884
Long
DBT
MUN
US
N
2
2030-11-15
Fixed
5.00000000
N
N
N
N
N
N
California State University
N/A
CALIFORNIA ST UNIV REVENUE
13077C4K7
3000000.00000000
PA
USD
2523041.10000000
0.687301916154
Long
DBT
MUN
US
N
2
2049-11-01
Floating
0.55000000
N
N
N
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA STWD CMNTYS DEV AUTH REVENUE
13080SVH4
500000.00000000
PA
USD
500526.20000000
0.136348399693
Long
DBT
MUN
US
N
2
2028-12-01
Fixed
5.00000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMS1
100000.00000000
PA
USD
97879.29000000
0.026663308643
Long
DBT
MUN
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL17096 ALLIANCE
000000000
11700.00000000
NC
USD
2191530.77000000
0.596995149041
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
S&P 500 Index
SPX INDEX
1.00000000
3250.00000000
USD
2023-07-21
XXXX
869430.77000000
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
MSCI SING IX ETS OCT22
000000000
-64.00000000
NC
12607.20000000
0.003434328801
N/A
DE
SG
N
1
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Short
SGX MSCI Singapore Index Futures
QZV2 INDEX
2022-10-28
-1805360.65000000
SGD
12607.20000000
N
N
N
Parish of St James LA
N/A
SAINT JAMES PARISH LA REVENUE
790103AX3
100000.00000000
PA
USD
106396.71000000
0.028983540004
Long
DBT
MUN
US
N
2
2040-12-01
Floating
6.10000000
N
N
N
N
N
N
California Community Housing Agency
N/A
CALIFORNIA CMNTY HSG AGY ESSENTIAL HSG REVENUE
13013FAM6
1265000.00000000
PA
USD
882361.03000000
0.240364069637
Long
DBT
MUN
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Board of Education
54930099NR6T9V7LVB43
CHICAGO IL BRD OF EDU
167505TF3
2000000.00000000
PA
USD
2034947.40000000
0.554340255215
Long
DBT
MUN
US
N
2
2024-12-01
Fixed
5.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL19229 ALLIANCE
000000000
8000.00000000
NC
USD
1498482.58000000
0.408201811915
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
S&P 500 Index
SPX INDEX
1.00000000
3250.00000000
USD
2023-07-21
XXXX
781167.38000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS20V36 IRS USD R V 12MUSCPI IS20V47 CCPINFLATIONZERO / Short: BS20V36 IRS USD P F .73500 IS20V36 CCPINFLATIONZERO
000000000
5230000.00000000
OU
Notional Amount
USD
1055095.07000000
0.287418569335
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-01-15
0.00000000
USD
0.00000000
USD
5230000.00000000
USD
1055095.07000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-140496.91000000
-0.03827277940
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1872719.35000000
USD
2707643.00000000
AUD
2022-10-20
-140496.91000000
N
N
N
City of Hayward CA
N/A
HAYWARD CA COPS
421209KM8
3365000.00000000
PA
USD
3369910.88000000
0.917997810298
Long
DBT
MUN
US
N
2
2022-11-01
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-49616.04000000
-0.01351591116
N/A
DFE
AU
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
963525.70000000
USD
1428535.40000000
AUD
2022-10-20
-49616.04000000
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152P88
3190000.00000000
PA
USD
3242703.90000000
0.883345342249
Long
DBT
MUN
US
N
2
2024-11-01
Fixed
5.00000000
N
N
N
N
N
N
City of Sparks NV
N/A
SPARKS NV TOURISM IMPT DIST #1 REVENUE
846562AD8
420000.00000000
PA
USD
368096.90000000
0.100273318853
Long
DBT
MUN
US
N
2
2028-06-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAM6
31707.65000000
PA
USD
31801.29000000
0.008662993065
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Floating
5.98400000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063DWF1
4900000.00000000
PA
USD
4999395.03000000
1.361885774960
Long
DBT
MUN
US
N
2
2023-11-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
Long: IS1FYY4 IRS USD R V 12MUSCPI IS1FYZ5 INFLATIONZERO / Short: IS1FYY4 IRS USD P F 2.15800 IS1FYY4 INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
541741.55000000
0.147575877925
N/A
DIR
US
N
2
Morgan Stanley Capital Services LLC
I7331LVCZKQKX5T7XV54
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-07-20
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
541741.55000000
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-302369.78000000
-0.08236858653
N/A
DFE
CA
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
4326419.50000000
USD
5558985.00000000
CAD
2022-10-27
-302369.78000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT DEC22
000000000
104.00000000
NC
USD
-1729129.01000000
-0.47103223243
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME E-Mini Standard & Poor's 500 Index Futures
ESZ2 INDEX
2022-12-16
20456929.01000000
USD
-1729129.01000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-35725.32000000
-0.00973193852
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1497219.47000000
USD
1308000.00000000
GBP
2022-11-17
-35725.32000000
N
N
N
Ohio Air Quality Development Authority
549300DZUU80AYOR6M80
OHIO ST AIR QUALITY DEV AUTH EXEMPT FACS REVENUE
67754AAC8
720000.00000000
PA
USD
716990.33000000
0.195315418235
Long
DBT
MUN
US
N
2
2028-01-15
Fixed
3.75000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMP7
235000.00000000
PA
USD
233407.50000000
0.063582563912
Long
DBT
MUN
US
N
2
2026-10-01
Fixed
5.00000000
N
N
N
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292AQ4
995000.00000000
PA
USD
710282.54000000
0.193488148390
Long
DBT
MUN
US
N
2
2046-12-01
Fixed
2.65000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
142066.59000000
0.038700376116
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
2632481.00000000
AUD
1826203.93000000
USD
2022-10-20
142066.59000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS249D4 IRS USD R V 12MUSCPI IS249E5 CCPINFLATIONZERO / Short: BS249D4 IRS USD P F 1.73100 IS249D4 CCPINFLATIONZERO
000000000
240000.00000000
OU
Notional Amount
USD
33343.67000000
0.009083152978
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-01-15
0.00000000
USD
0.00000000
USD
240000.00000000
USD
33343.67000000
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3H8
100000.00000000
PA
USD
102279.34000000
0.027861926769
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
5.62500000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO STOXX 50 DEC22
000000000
227.00000000
NC
-163386.40000000
-0.04450810801
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex EURO STOXX 50 Futures
VGZ2 INDEX
2022-12-16
7601682.93000000
EUR
-163386.40000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL18732 ALLIANCE
000000000
19000.00000000
NC
139286.96000000
0.037943176789
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
Nikkei 225 Index
NKY INDEX
1.00000000
22000.00000000
JPY
2023-09-08
XXXX
46280.97000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
167202.97000000
0.045547780282
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3388720.79000000
GBP
3953591.06000000
USD
2022-11-17
167202.97000000
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412HAE3
2120000.00000000
PA
USD
2149962.17000000
0.585671441935
Long
DBT
MUN
US
N
2
2024-05-15
Fixed
4.00000000
N
N
N
N
N
N
City of Roseville CA
549300OH100KESVPND17
ROSEVILLE CA SPL TAX
777870WD4
305000.00000000
PA
USD
314223.23000000
0.085597586214
Long
DBT
MUN
US
N
2
2031-09-01
Fixed
5.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-94091.32000000
-0.02563142729
N/A
DFE
CA
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
2039296.33000000
USD
2687184.85000000
CAD
2022-10-27
-94091.32000000
N
N
N
California Public Finance Authority
N/A
CALIFORNIA PUBLIC FIN AUTH REVENUE
13057EDH4
1000000.00000000
PA
USD
1070071.50000000
0.291498300353
Long
DBT
MUN
US
N
2
2054-07-01
Fixed
6.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828U57
200000.00000000
PA
USD
195125.00000000
0.053154023685
Long
DBT
UST
US
N
2
2023-11-30
Fixed
2.12500000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Long: IS19KI2 IRS USD R V 03MLIBOR IS19KJ3 CPILV506024 / Short: IS19KI2 IRS USD P F 1.90000 IS19KI2 CPILV506024
000000000
7000000.00000000
OU
Notional Amount
USD
804481.30000000
0.219148843433
N/A
DIR
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-11-04
0.00000000
USD
0.00000000
USD
7000000.00000000
USD
804481.30000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Long: IS0XPM4 IRS USD R V 12MLIBOR IS0XPN5 CPILV503714 / Short: IS0XPM4 IRS USD P F 1.81750 IS0XPM4 CPILV503714
000000000
4000000.00000000
OU
Notional Amount
USD
496692.32000000
0.135304012001
N/A
DIR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-09-04
0.00000000
USD
0.00000000
USD
4000000.00000000
USD
496692.32000000
N
N
N
River Islands Public Financing Authority
N/A
RIVER ISLANDS CA PUBLIC FING AUTH SPL TAX
76827QHC0
1000000.00000000
PA
USD
910481.60000000
0.248024397344
Long
DBT
MUN
US
N
2
2037-09-01
Fixed
4.50000000
N
N
N
N
N
N
Antonio B Won Pat International Airport Authority
N/A
GUAM INTERNATIONAL ARPT AUTH
40064REE5
200000.00000000
PA
USD
175604.74000000
0.047836507414
Long
DBT
MUN
US
N
2
2027-10-01
Fixed
2.89900000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR DEC22
000000000
-15.00000000
NC
-2242.70000000
-0.00061093416
N/A
DE
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
TSE TOPIX (Tokyo Price Index) Futures
TPZ2 INDEX
2022-12-08
-275431424.00000000
JPY
-2242.70000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL19207 ALLIANCE
000000000
240.00000000
NC
63647.15000000
0.017338127449
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
FTSE 100 Index
UKX INDEX
1.00000000
6000.00000000
GBP
2023-08-18
XXXX
14996.80000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: IS0QGN1 IRS USD R V 12MLIBOR IS0QGO2 CPI SWAP 10212014 06 / Short: IS0QGN1 IRS USD P F 2.38800 IS0QGN1 CPI SWAP 10212014 06
000000000
1000000.00000000
OU
Notional Amount
USD
38778.37000000
0.010563620230
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-10-23
0.00000000
USD
0.00000000
USD
1000000.00000000
USD
38778.37000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-67379.64000000
-0.01835489547
N/A
DFE
AU
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1258257.00000000
USD
1861464.60000000
AUD
2022-10-20
-67379.64000000
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BP5
1250000.00000000
PA
USD
947179.00000000
0.258021140298
Long
DBT
MUN
US
N
2
2047-05-01
Fixed
3.60000000
N
N
N
N
N
N
Regents of the University of California Medical Center Pooled Revenue
N/A
UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE
913366GK0
4885000.00000000
PA
USD
4938939.68000000
1.345417126115
Long
DBT
MUN
US
N
2
2033-05-15
Fixed
5.00000000
N
N
N
N
N
N
Territory of Guam
N/A
GUAM GOVT
40065BCQ4
90000.00000000
PA
USD
84979.58000000
0.023149297158
Long
DBT
MUN
US
N
2
2031-11-15
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2CQK4 IRS USD R F 3.72000 IS2CQK4 CCPINFLATIONZERO / Short: SS2CQK4 IRS USD P V 12MUSCPI IS2CQL5 CCPINFLATIONZERO
000000000
3780000.00000000
OU
Notional Amount
USD
-102998.16000000
-0.02805774060
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-01-15
0.00000000
USD
0.00000000
USD
3780000.00000000
USD
-102998.16000000
N
N
N
Central Plains Energy Project
SVQOT7V5CPLIGNP5BE29
CENTRL PLAINS ENERGY PROJ NE GAS PROJ REVENUE
154871CT2
2290000.00000000
PA
USD
2311062.73000000
0.629556864008
Long
DBT
MUN
US
N
2
2050-03-01
Floating
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS23W54 IRS USD R V 12MUSCPI IS23W65 CCPINFLATIONZERO / Short: BS23W54 IRS USD P F 1.58700 IS23W54 CCPINFLATIONZERO
000000000
1575000.00000000
OU
Notional Amount
USD
239093.55000000
0.065131501446
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-01-15
0.00000000
USD
0.00000000
USD
1575000.00000000
USD
239093.55000000
N
N
N
Los Angeles Unified School District/CA
N/A
LOS ANGELES CA UNIF SCH DIST
544647ED8
2725000.00000000
PA
USD
2764579.54000000
0.753099430366
Long
DBT
MUN
US
N
2
2023-07-01
Fixed
5.00000000
N
N
N
N
N
N
Mission Economic Development Corp
N/A
MISSION TX ECON DEV CORP REVENUE
605156AC2
1010000.00000000
PA
USD
994314.90000000
0.270861436236
Long
DBT
MUN
US
N
2
2031-10-01
Fixed
4.62500000
N
N
N
N
N
N
California State Public Works Board
N/A
CALIFORNIA ST PUBLIC WKS BRD LEASE REVENUE
13068XAB5
4715000.00000000
PA
USD
4788544.10000000
1.304447848874
Long
DBT
MUN
US
N
2
2023-08-01
Fixed
5.00000000
N
N
N
N
N
N
California Health Facilities Financing Authority
5493007RI8BUDOGHZ546
CALIFORNIA ST HLTH FACS FING AUTH REVENUE
13032UMU9
3430000.00000000
PA
USD
3435451.99000000
0.935851871609
Long
DBT
MUN
US
N
2
2032-11-01
Floating
5.00000000
N
N
N
N
N
N
Peralta Community College District
N/A
PERALTA CA CMNTY CLG DIST
713575US5
5855000.00000000
PA
USD
6014891.85000000
1.638517380459
Long
DBT
MUN
US
N
2
2027-08-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac Multifamily
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily ML Certificates
35833JAK3
1258885.48000000
PA
USD
969272.46000000
0.264039622276
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Fixed
2.03200000
N
N
N
N
N
N
Michigan Strategic Fund
N/A
MICHIGAN ST STRATEGIC FUND LTD OBLG REVENUE
594698QJ4
1000000.00000000
PA
USD
996891.20000000
0.271563246416
Long
DBT
MUN
US
N
2
2030-12-31
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS23XF1 IRS USD R V 12MUSCPI IS23XG2 CCPINFLATIONZERO / Short: BS23XF1 IRS USD P F 1.57200 IS23XF1 CCPINFLATIONZERO
000000000
1575000.00000000
OU
Notional Amount
USD
241190.77000000
0.065702805388
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2030-01-15
0.00000000
USD
0.00000000
USD
1575000.00000000
USD
241190.77000000
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
106097.22000000
0.028901955899
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
2892250.01000000
GBP
3337753.55000000
USD
2022-11-17
106097.22000000
N
N
N
State of California
N/A
CALIFORNIA ST
13063CSC5
2135000.00000000
PA
USD
2191121.68000000
0.596883708787
Long
DBT
MUN
US
N
2
2024-03-01
Fixed
5.00000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PML6
100000.00000000
PA
USD
100066.45000000
0.027259113150
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
5.00000000
N
N
N
N
N
N
San Diego Association of Governments
N/A
SAN DIEGO ASSN OF GOVTS CA CAPITAL GRANT RECEIPTS REVENUE
797258AE0
1500000.00000000
PA
USD
1330415.55000000
0.362418652948
Long
DBT
MUN
US
N
2
2027-11-15
Fixed
1.80000000
N
N
N
N
N
N
City & County of San Francisco CA
549300RA28ZEFOB6M782
SAN FRANCISCO CITY & CNTY CA COPS
79765DP20
4175000.00000000
PA
USD
4242185.77000000
1.155614313378
Long
DBT
MUN
US
N
2
2025-09-01
Fixed
5.00000000
N
N
N
N
N
N
Irvine Unified School District
549300BNIP4XNVC0X742
IRVINE CA UNIF SCH DIST SPL TAX
463612HN4
925000.00000000
PA
USD
935239.20000000
0.254768618007
Long
DBT
MUN
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
Sacramento County Sanitation Districts Financing Authority
549300MSDPX3EYMUYV38
SACRAMENTO CNTY CA SANTN DISTS FING AUTH REVENUE
786134UR5
2000000.00000000
PA
USD
2054828.40000000
0.559756040711
Long
DBT
MUN
US
N
2
2029-12-01
Fixed
5.00000000
N
N
N
N
N
N
Territory of Guam
N/A
GUAM GOVT LTD OBLG REVENUE
40065HDQ0
205000.00000000
PA
USD
200586.76000000
0.054641862355
Long
DBT
MUN
US
N
2
2032-12-01
Fixed
5.00000000
N
N
N
N
N
N
Romoland School District
N/A
ROMOLAND CA SCH DIST SPL TAX
776192NH5
300000.00000000
PA
USD
302972.67000000
0.082532819870
Long
DBT
MUN
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
San Diego County Water Authority
549300Y0QN5OFKA1G520
SAN DIEGO CNTY CA WTR AUTH
797412DD2
1000000.00000000
PA
USD
1047759.60000000
0.285420313108
Long
DBT
MUN
US
N
2
2025-05-01
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
Long: IS1PDS1 CDS USD R F 3.00000 IS1PDS1 CMBX / Short: IS1PDS1 CDS USD P V 01MEVENT IS1PDT2 CMBX
000000000
5744.29000000
OU
Notional Amount
USD
-1287.87000000
-0.00035082881
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-671.36000000
USD
5744.29000000
USD
-616.51000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS2BFX7 IRS USD R V 12MUSCPI IS2BFY8 CCPINFLATIONZERO / Short: BS2BFX7 IRS USD P F 2.78200 IS2BFX7 CCPINFLATIONZERO
000000000
1300000.00000000
OU
Notional Amount
USD
65621.62000000
0.017875993049
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-01-15
0.00000000
USD
0.00000000
USD
1300000.00000000
USD
65621.62000000
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMR3
135000.00000000
PA
USD
132671.93000000
0.036141175706
Long
DBT
MUN
US
N
2
2028-10-01
Fixed
5.00000000
N
N
N
N
N
N
iShares Core MSCI Emerging Markets ETF
5493007C24Z3ZDJ0VD06
iShares Core MSCI Emerging Markets ETF
46434G103
278526.00000000
NS
USD
11971047.48000000
3.261034420475
Long
EC
RF
US
N
1
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
73395.08000000
0.019993562181
N/A
DFE
XX
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
8229932.04000000
USD
8433219.00000000
EUR
2022-12-08
73395.08000000
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292AE1
955000.00000000
PA
USD
760065.69000000
0.207049582006
Long
DBT
MUN
US
N
2
2041-08-01
Fixed
2.87500000
N
N
N
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BE0
1000000.00000000
PA
USD
700150.00000000
0.190727942004
Long
DBT
MUN
US
N
2
2046-10-01
Fixed
4.00000000
N
N
N
N
N
N
California Pollution Control Financing Authority
N/A
CALIFORNIA ST POLL CONTROL FING AUTH WTR FURNISHING REVENUE
13054WAN7
450000.00000000
PA
USD
457385.81000000
0.124596521093
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
5.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
59826.67000000
0.016297390053
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
900262.00000000
GBP
1065734.66000000
USD
2022-11-17
59826.67000000
N
N
N
Saugus/Hart School Facilities Financing Authority
N/A
SAUGUS/HART CA SCH FACS FING AUTH SPL TAX
804208CD6
750000.00000000
PA
USD
774043.05000000
0.210857156251
Long
DBT
MUN
US
N
2
2027-09-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-145350.14000000
-0.03959484834
N/A
DFE
NZ
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
2127435.77000000
USD
3541000.00000000
NZD
2022-11-18
-145350.14000000
N
N
N
Regents of the University of California Medical Center Pooled Revenue
N/A
UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE
913366KM1
3000000.00000000
PA
USD
3179575.50000000
0.866148527547
Long
DBT
MUN
US
N
2
2039-05-15
Fixed
5.00000000
N
N
N
N
N
N
Golden State Tobacco Securitization Corp
N/A
GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT
38122ND74
240000.00000000
PA
USD
235037.42000000
0.064026570607
Long
DBT
MUN
US
N
2
2031-06-01
Fixed
1.85000000
N
N
N
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292AN1
1000000.00000000
PA
USD
728232.40000000
0.198377871817
Long
DBT
MUN
US
N
2
2045-07-01
Fixed
3.10000000
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3K1
130000.00000000
PA
USD
114322.14000000
0.031142507302
Long
DBT
MUN
US
N
2
2033-07-01
Fixed
4.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL17472 ALLIANCE
000000000
320.00000000
NC
84862.88000000
0.023117506898
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
FTSE 100 Index
UKX INDEX
1.00000000
6000.00000000
GBP
2023-08-18
XXXX
11371.69000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2EQS8 IRS USD R F 3.73500 IS2EQS8 CCPINFLATIONZERO / Short: SS2EQS8 IRS USD P V 12MUSCPI IS2EQT9 CCPINFLATIONZERO
000000000
1720000.00000000
OU
Notional Amount
USD
27628.50000000
0.007526282861
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2029-01-15
0.00000000
USD
0.00000000
USD
1720000.00000000
USD
27628.50000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-11685.91000000
-0.00318336008
N/A
DFE
CH
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
2895094.81000000
USD
2827653.00000000
CHF
2022-12-07
-11685.91000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: IS1PBC1 CDS USD R F 3.00000 IS1PBC1 CMBX / Short: IS1PBC1 CDS USD P V 01MEVENT IS1PBD2 CMBX
000000000
34465.78000000
OU
Notional Amount
USD
-7727.22000000
-0.00210497288
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-4136.18000000
USD
34465.78000000
USD
-3591.04000000
N
N
N
State of California
N/A
CALIFORNIA ST
13063CYC8
5700000.00000000
PA
USD
5798515.95000000
1.579574396661
Long
DBT
MUN
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152XU0
2165000.00000000
PA
USD
2191478.82000000
0.596980997335
Long
DBT
MUN
US
N
2
2025-05-01
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
35685.71000000
0.009721148364
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
668052.00000000
CAD
519276.59000000
USD
2022-10-27
35685.71000000
N
N
N
Territory of Guam
N/A
GUAM GOVT BUSINESS PRIVILEGE TAX REVENUE
40065NBW6
350000.00000000
PA
USD
351224.20000000
0.095677024706
Long
DBT
MUN
US
N
2
2025-11-15
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS281O1 IRS USD R V 12MUSCPI IS281P2 CCPINFLATIONZERO / Short: BS281O1 IRS USD P F 2.56500 IS281O1 CCPINFLATIONZERO
000000000
1420000.00000000
OU
Notional Amount
USD
122410.09000000
0.033345746691
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2025-01-15
0.00000000
USD
0.00000000
USD
1420000.00000000
USD
122410.09000000
N
N
N
Osaka Exchange
3538001249AILNPRUX57
NIKKEI 225 (OSE) DEC22
000000000
7.00000000
NC
-60625.62000000
-0.01651503211
N/A
DE
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
OSE Nikkei 225 Index Futures
NKZ2 INDEX
2022-12-08
190589075.00000000
JPY
-60625.62000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-5926.29000000
-0.00161438134
N/A
DFE
CA
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1095368.85000000
USD
1505000.00000000
CAD
2022-10-27
-5926.29000000
N
N
N
California School Finance Authority
N/A
CALIFORNIA ST SCH FIN AUTH CHRT SCH REVENUE
13058TBQ2
545000.00000000
PA
USD
528326.00000000
0.143921346407
Long
DBT
MUN
US
N
2
2028-03-01
Fixed
4.25000000
N
N
N
N
N
N
California Municipal Finance Authority
5493000UQOV6R4ZWS346
CALIFORNIA ST MUNI FIN AUTH REVENUE
13048TWY5
1000000.00000000
PA
USD
1052391.90000000
0.286682198484
Long
DBT
MUN
US
N
2
2026-10-01
Fixed
5.00000000
N
N
N
N
N
N
California Municipal Finance Authority
5493000UQOV6R4ZWS346
CALIFORNIA ST MUNI FIN AUTH SPL FAC REVENUE
13050RAA0
2140000.00000000
PA
USD
1965906.93000000
0.535532932844
Long
DBT
MUN
US
N
2
2029-07-15
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SELS23857 TRS CHF R E SELS23857/ZERO RATE / Short: SELS23857 TRS CHF P F .00000 SELS23857/SMZ2
000000000
756023.08000000
OU
Notional Amount
-38403.85000000
-0.01046159719
N/A
DE
CH
N
2
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Eurex Swiss Market New Index Futures
SMZ2 INDEX
Y
equity-performance leg
equity-performance leg
2022-12-16
0.00000000
CHF
0.00000000
CHF
756023.08000000
CHF
-38403.85000000
N
N
N
South Carolina Public Service Authority
EMBXY64GWKA9MZGFUD26
SOUTH CAROLINA ST PUBLIC SVC AUTH REVENUE
837151YS2
2000000.00000000
PA
USD
1749545.60000000
0.476593918061
Long
DBT
MUN
US
N
2
2039-12-01
Fixed
4.00000000
N
N
N
N
N
N
Puerto Rico Sales Tax Financing Corp Sales Tax Revenue
N/A
PUERTO RICO SALES TAX FING CORP SALES TAX REVENUE
74529JQB4
310000.00000000
PA
USD
286415.14000000
0.078022381219
Long
DBT
MUN
US
N
2
2024-07-01
None
0.00000000
N
N
N
N
N
N
Vanguard Mid-Cap ETF
F7RXEPKL33W3OZ8V3S02
Vanguard Mid-Cap ETF
922908629
19951.00000000
NS
USD
3750388.98000000
1.021643893267
Long
EC
RF
US
N
1
N
N
N
Metropolitan Pier & Exposition Authority
254900I3VDCQ58UGBR15
MET PIER & EXPOSITION AUTH IL REVENUE
592250CR3
1400000.00000000
PA
USD
1421251.86000000
0.387163382600
Long
DBT
MUN
US
N
2
2030-12-15
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-14432.59000000
-0.00393158350
N/A
DFE
JP
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
3896801.94000000
USD
558542690.00000000
JPY
2022-12-02
-14432.59000000
N
N
N
Bay Area Toll Authority
5493001FUZGUQMIP5D78
BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE
072024VB5
2700000.00000000
PA
USD
2942971.38000000
0.801695172013
Long
DBT
MUN
US
N
2
2028-04-01
Fixed
5.00000000
N
N
N
N
N
N
California State Public Works Board
N/A
CALIFORNIA ST PUBLIC WKS BRD LEASE REVENUE
13068LMY8
4375000.00000000
PA
USD
4501248.50000000
1.226185621445
Long
DBT
MUN
US
N
2
2030-09-01
Fixed
5.00000000
N
N
N
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204E6M5
100000.00000000
PA
USD
100679.47000000
0.027426105998
Long
DBT
MUN
US
N
2
2023-09-01
Fixed
5.00000000
N
N
N
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
MSCI EMGMKT DEC22
000000000
-160.00000000
NC
USD
616928.98000000
0.168057694377
N/A
DE
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Short
ICE U.S. MSCI Emerging Markets EM Index Futures
MESZ2 Index
2022-12-16
-7588928.98000000
USD
616928.98000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL19337 ALLIANCE
000000000
13000.00000000
NC
95301.61000000
0.025961122538
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
Nikkei 225 Index
NKY INDEX
1.00000000
22000.00000000
JPY
2023-09-08
XXXX
32213.51000000
N
N
N
Plaza Metropolitan District No 1
N/A
PLAZA CO MET DIST #1 REVENUE
72818QAS2
690000.00000000
PA
USD
690633.49000000
0.188135548420
Long
DBT
MUN
US
N
2
2022-12-01
Fixed
5.00000000
N
N
N
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BF7
1000000.00000000
PA
USD
744289.40000000
0.202751961033
Long
DBT
MUN
US
N
2
2047-04-01
Fixed
3.35000000
N
N
N
N
N
N
Stockton Redevelopment Agency Successor Agency
N/A
STOCKTON CA REDEV AGY SUCCESSOR AGY TAX ALLOCATION
861403AB9
1900000.00000000
PA
USD
1976387.60000000
0.538387973364
Long
DBT
MUN
US
N
2
2025-09-01
Fixed
5.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
38822.13000000
0.010575540897
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
1021749.99000000
GBP
1180474.76000000
USD
2022-11-17
38822.13000000
N
N
N
Antonio B Won Pat International Airport Authority
N/A
GUAM INTERNATIONAL ARPT AUTH
40064REJ4
120000.00000000
PA
USD
99458.81000000
0.027093585868
Long
DBT
MUN
US
N
2
2031-10-01
Fixed
3.48900000
N
N
N
N
N
N
Territory of Guam
N/A
GUAM GOVT BUSINESS PRIVILEGE TAX REVENUE
40065NBU0
420000.00000000
PA
USD
421613.14000000
0.114851683945
Long
DBT
MUN
US
N
2
2023-11-15
Fixed
5.00000000
N
N
N
N
N
N
California Community Housing Agency
N/A
CALIFORNIA CMNTY HSG AGY ESSENTIAL HSG REVENUE
13013FAS3
990000.00000000
PA
USD
754845.70000000
0.205627603930
Long
DBT
MUN
US
N
2
2043-02-01
Fixed
4.00000000
N
N
N
N
N
N
Territory of Guam
N/A
GUAM GOVT LTD OBLG REVENUE
40065HDM9
140000.00000000
PA
USD
139785.23000000
0.038078910577
Long
DBT
MUN
US
N
2
2029-12-01
Fixed
5.00000000
N
N
N
N
N
N
California State University
N/A
CALIFORNIA ST UNIV REVENUE
13077C3Y8
1000000.00000000
PA
USD
1054844.00000000
0.287350175327
Long
DBT
MUN
US
N
2
2025-11-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2APJ0 IRS USD R F 2.72150 IS2APJ0 CCPINFLATIONZERO / Short: SS2APJ0 IRS USD P V 12MUSCPI IS2APK1 CCPINFLATIONZERO
000000000
600000.00000000
OU
Notional Amount
USD
-28700.67000000
-0.00781835281
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-04-15
0.00000000
USD
0.00000000
USD
600000.00000000
USD
-28700.67000000
N
N
N
Coronado Community Development Agency Successor Agency
N/A
CORONADO CA CMNTY DEV AGY SUCCESSOR AGY TAX ALLOCATION
21977AAJ1
2520000.00000000
PA
USD
2621843.78000000
0.714216765573
Long
DBT
MUN
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Sterling Ranch Community Authority Board
N/A
STERLING RANCH CMNTY AUTH BRD CO SUPPORTED REVENUE
85950NAD2
1000000.00000000
PA
USD
979749.30000000
0.266893619466
Long
DBT
MUN
US
N
2
2030-12-01
Fixed
5.00000000
N
N
N
N
N
N
City of Los Angeles Department of Airports
N/A
LOS ANGELES CA DEPT OF ARPTS ARPT REVENUE
544445GJ2
2890000.00000000
PA
USD
2996620.19000000
0.816309650513
Long
DBT
MUN
US
N
2
2026-05-15
Fixed
5.00000000
N
N
N
N
N
N
County of San Diego CA
254900MKIGRAYVDUZ926
SAN DIEGO CNTY CA COPS
797391Z77
1250000.00000000
PA
USD
1290728.13000000
0.351607398303
Long
DBT
MUN
US
N
2
2027-10-15
Fixed
5.00000000
N
N
N
N
N
N
California State University
N/A
CALIFORNIA ST UNIV REVENUE
13077DMP4
400000.00000000
PA
USD
329564.96000000
0.089776828647
Long
DBT
MUN
US
N
2
2028-11-01
Fixed
1.49000000
N
N
N
N
N
N
California Infrastructure & Economic Development Bank
549300C1OG9RDIM8ET06
CALIFORNIA ST INFRASTRUCTURE & ECON DEV BANK REVENUE
13034AV56
2500000.00000000
PA
USD
2472403.75000000
0.673507789818
Long
DBT
MUN
US
N
2
2050-01-01
Floating
0.85000000
N
N
N
N
N
N
County of San Diego CA
254900MKIGRAYVDUZ926
SAN DIEGO CNTY CA COPS
797391Z85
1300000.00000000
PA
USD
1340291.29000000
0.365108904417
Long
DBT
MUN
US
N
2
2028-10-15
Fixed
5.00000000
N
N
N
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA STWD CMNTYS DEV AUTH REVENUE
13080SMJ0
1000000.00000000
PA
USD
928619.10000000
0.252965235805
Long
DBT
MUN
US
N
2
2041-12-01
Fixed
5.00000000
N
N
N
N
N
N
San Francisco City & County Airport Comm-San Francisco International Airport
54930055TIDYHNDP4F84
SAN FRANCISCO CALIF CITY &CNTY ARPTS COMMN INTL ARPT REV
79766DGB9
1680000.00000000
PA
USD
1772984.47000000
0.482978903333
Long
DBT
MUN
US
N
2
2026-05-01
Fixed
5.00000000
N
N
N
N
N
N
City of Los Angeles Department of Airports
N/A
LOS ANGELES CA DEPT OF ARPTS ARPT REVENUE
544445NK1
485000.00000000
PA
USD
506273.31000000
0.137913970589
Long
DBT
MUN
US
N
2
2031-05-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-30773.35000000
-0.00838297181
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
677923.95000000
USD
894000.00000000
CAD
2022-10-27
-30773.35000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Long: IS1FYQ6 IRS USD R V 12MUSCPI IS1FYR7 INFLATIONZERO / Short: IS1FYQ6 IRS USD P F 1.99500 IS1FYQ6 INFLATIONZERO
000000000
5000000.00000000
OU
Notional Amount
USD
551379.50000000
0.150201352993
N/A
DIR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-07-20
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
551379.50000000
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
Long: IS1NQY2 CDS USD R F 3.00000 IS1NQY2 CMBX / Short: IS1NQY2 CDS USD P V 01MEVENT IS1NQZ3 CMBX
000000000
183099.33000000
OU
Notional Amount
USD
-41050.87000000
-0.01118267221
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-17282.35000000
USD
183099.33000000
USD
-23768.52000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SELS02556 TRS CHF R E SELS02556/ZERORATE / Short: SELS02556 TRS CHF P F .00000 SELS02556/SMZ2
000000000
440773.06000000
OU
Notional Amount
-30823.00000000
-0.00839649697
N/A
DE
CH
N
2
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Eurex Swiss Market New Index Futures
SMZ2 INDEX
Y
equity-performance leg
equity-performance leg
2022-12-16
0.00000000
CHF
0.00000000
CHF
440773.06000000
CHF
-30823.01000000
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3R6
555000.00000000
PA
USD
305912.50000000
0.083333659299
Long
DBT
MUN
US
N
2
2033-07-01
None
0.00000000
N
N
N
N
N
N
City of Detroit MI
549300BQRJP7MKKHOY28
DETROIT MI
2510933J7
600000.00000000
PA
USD
612349.86000000
0.166810295771
Long
DBT
MUN
US
N
2
2030-04-01
Fixed
5.00000000
N
N
N
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA ST STWD CMNTYS DEV AUTH HOSP REVENUE
13081KAJ9
2915000.00000000
PA
USD
3003118.99000000
0.818079989369
Long
DBT
MUN
US
N
2
2028-01-01
Fixed
5.00000000
N
N
N
N
N
N
American Samoa Economic Development Authority
N/A
AMERICAN SAMOA AS ECON DEV AUTH GEN REVENUE
02936TAF8
235000.00000000
PA
USD
253654.09000000
0.069097939822
Long
DBT
MUN
US
N
2
2028-09-01
Fixed
6.50000000
N
N
N
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BL4
1000000.00000000
PA
USD
776078.40000000
0.211411606178
Long
DBT
MUN
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-92343.69000000
-0.02515535521
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
14051951.00000000
EUR
13743173.43000000
USD
2022-12-08
-92343.69000000
N
N
N
Tobacco Securitization Authority of Southern California
N/A
TOBACCO SECURITIZATION AUTH STHRN CA TOBACCO SETTLEMENT REVE
888804CF6
960000.00000000
PA
USD
1000448.83000000
0.272532380813
Long
DBT
MUN
US
N
2
2030-06-01
Fixed
5.00000000
N
N
N
N
N
N
Howard Bend Levee District
N/A
HOWARD BEND MO LEVEE DIST
442499CE7
100000.00000000
PA
USD
101368.54000000
0.027613815636
Long
DBT
MUN
US
N
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3F2
255000.00000000
PA
USD
257465.70000000
0.070136260940
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
5.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS2CZ96 IRS USD R V 12MUSCPI IS2CZA7 CCPINFLATIONZERO / Short: BS2CZ96 IRS USD P F 2.98850 IS2CZ96 CCPINFLATIONZERO
000000000
1030000.00000000
OU
Notional Amount
USD
31477.36000000
0.008574751256
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2031-01-15
0.00000000
USD
0.00000000
USD
1030000.00000000
USD
31477.36000000
N
N
N
California State University
N/A
CALIFORNIA ST UNIV REVENUE
13077DAP7
1000000.00000000
PA
USD
1075859.10000000
0.293074901134
Long
DBT
MUN
US
N
2
2030-11-01
Fixed
5.00000000
N
N
N
N
N
N
Los Angeles Department of Water & Power
549300S8NXV6YU61GG95
LOS ANGELES CA DEPT OF WTR & PWR REVENUE
544532BA1
365000.00000000
PA
USD
400343.94000000
0.109057738727
Long
DBT
MUN
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
River Islands Public Financing Authority
N/A
RIVER ISLANDS CA PUBLIC FING AUTH SPL TAX
76827QHD8
1000000.00000000
PA
USD
918442.20000000
0.250192945305
Long
DBT
MUN
US
N
2
2042-09-01
Fixed
5.00000000
N
N
N
N
N
N
Golden State Tobacco Securitization Corp
N/A
GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT
38122NA77
1000000.00000000
PA
USD
907812.90000000
0.247297416470
Long
DBT
MUN
US
N
2
2025-06-01
Fixed
1.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-149974.96000000
-0.04085469609
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1846135.81000000
USD
2651275.00000000
AUD
2022-10-20
-149974.96000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P MID 400 EMINI DEC22
000000000
-9.00000000
NC
USD
158277.54000000
0.043116402870
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME E-Mini Standard & Poor's MidCap 400 Index Futures
FAZ2 INDEX
2022-12-16
-2145657.54000000
USD
158277.54000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-23108.81000000
-0.00629507358
N/A
DFE
AU
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
1816751.37000000
USD
2803649.00000000
AUD
2022-10-20
-23108.81000000
N
N
N
2023-09-18
BERNSTEIN SANFORD C FUND INC
Joseph Mantineo
Joseph Mantineo
Treasurer and Chief Financial Officer