0001752724-23-263401.txt : 20231122
0001752724-23-263401.hdr.sgml : 20231122
20231122125533
ACCESSION NUMBER: 0001752724-23-263401
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230930
FILED AS OF DATE: 20231122
DATE AS OF CHANGE: 20231122
PERIOD START: 20230930
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
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05555
FILM NUMBER: 231432106
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
S000027650
Tax-Aware Overlay B Portfolio
C000083500
Class 1
SBTOX
C000083501
Class 2
SBTTX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000832808
XXXXXXXX
S000027650
C000083500
C000083501
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 B Portfolio
S000027650
LUC3N2ZMPZNMBTZW4051
2023-09-30
2023-09-30
N
678673313.29
5277333.15
673395980.14
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1981088.95000000
0.00000000
0.00000000
6540159.18000000
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
Arizona Industrial Development Authority
N/A
ARIZONA ST INDL DEV AUTH NATIONAL CHRT SCH REVOLVING LOAN FD
04052FBN4
850000.00000000
PA
USD
875938.35000000
0.130077751550
Long
DBT
MUN
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
City of Atlanta GA Department of Aviation
N/A
ATLANTA GA ARPT REVENUE
04780MZU6
2350000.00000000
PA
USD
2448438.21000000
0.363595608261
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
County of Washington OH
N/A
WASHINGTON CNTY OH HOSP REVENUE
938154DV0
1000000.00000000
PA
USD
948647.80000000
0.140875180128
Long
DBT
MUN
US
N
2
2037-12-01
Fixed
6.37500000
N
N
N
N
N
N
County of Cuyahoga OH
549300GHDK9DGLUNJU89
CUYAHOGA CNTY OH HOSP REVENUE
2322655J3
4000000.00000000
PA
USD
4004762.40000000
0.594711361236
Long
DBT
MUN
US
N
2
2028-02-15
Fixed
5.00000000
N
N
N
N
N
N
City of Glendale AZ
5493002BC35ZY7XRQ949
GLENDALE AZ COPS
37828AAJ8
2250000.00000000
PA
USD
1756336.28000000
0.260817755347
Long
DBT
MUN
US
N
2
2032-07-01
Fixed
2.44200000
N
N
N
N
N
N
Arizona Industrial Development Authority
N/A
ARIZONA ST INDL DEV AUTH NATIONAL CHRT SCH REVOLVING LOAN FD
04052FBS3
750000.00000000
PA
USD
664798.88000000
0.098723321731
Long
DBT
MUN
US
N
2
2039-11-01
Fixed
4.00000000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
S+P/TSX 60 IX FUT DEC23
000000000
49.00000000
NC
-330369.90000000
-0.04906027207
N/A
DE
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Montreal Exchange S&P/TSX 60 Index Futures
PTZ3 Index
2023-12-14
11976464.91000000
CAD
-330369.90000000
N
N
N
City of Bridgeport CT
N/A
BRIDGEPORT CT
108152BD0
1000000.00000000
PA
USD
1020617.50000000
0.151562755065
Long
DBT
MUN
US
N
2
2025-08-15
Fixed
5.00000000
N
N
N
N
N
N
Puerto Rico Electric Power Authority
5493003BRB67HF8ST418
PUERTO RICO ELEC PWR AUTH PWRREVENUE
74526QPP1
1010000.00000000
PA
USD
996660.53000000
0.148005120225
Long
DBT
MUN
US
N
2
2031-07-01
Fixed
5.25000000
N
N
N
N
N
N
Chicago Board of Education
54930099NR6T9V7LVB43
CHICAGO IL BRD OF EDU
167505YL4
2000000.00000000
PA
USD
1643575.00000000
0.244072588561
Long
DBT
MUN
US
N
2
2041-12-01
Fixed
4.00000000
N
N
N
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204E6X1
200000.00000000
PA
USD
190810.52000000
0.028335559704
Long
DBT
MUN
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
NOVANT HEALTH INC
549300ZUXEGFGE8EP917
Novant Health Inc
66988AAG9
3525000.00000000
PA
USD
2489989.50000000
0.369766017831
Long
DBT
CORP
US
N
2
2036-11-01
Fixed
2.63700000
N
N
N
N
N
N
California Municipal Finance Authority
5493000UQOV6R4ZWS346
CALIFORNIA ST MUNI FIN AUTH SOL WST DISP REVENUE
13048RAG2
4710000.00000000
PA
USD
4113679.62000000
0.610885681132
Long
DBT
MUN
US
N
2
2044-10-01
Floating
2.40000000
N
N
N
N
N
N
New Jersey Transportation Trust Fund Authority
549300YUVD5TEXR6L889
NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
6461363N9
1675000.00000000
PA
USD
1706197.55000000
0.253372102049
Long
DBT
MUN
US
N
2
2030-06-15
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286B1
7796000.00000000
PA
USD
7052943.75000000
1.047369446508
Long
DBT
UST
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
Foursight Capital Automobile Receivables Trust
N/A
Foursight Capital Automobile Receivables Trust 2023-1
35105NAB5
948133.42000000
PA
USD
943382.89000000
0.140093335544
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
5.43000000
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
12000000.00000000
OU
Notional Amount
USD
717279.00000000
0.106516673867
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
12000000.00000000
USD
717279.00000000
N
N
N
New York City Transitional Finance Authority Future Tax Secured Revenue
N/A
NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
64971WAZ3
3350000.00000000
PA
USD
3365027.10000000
0.499710007074
Long
DBT
MUN
US
N
2
2027-11-01
Fixed
5.00000000
N
N
N
N
N
N
Brainerd Independent School District No 181
549300P1U3THZTOHA392
BRAINERD MN INDEP SCH DIST #181
105007NG9
2500000.00000000
PA
USD
2294606.75000000
0.340751477239
Long
DBT
MUN
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
10948.11000000
0.001625805666
N/A
DFE
NZ
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1247880.56000000
USD
2100314.00000000
NZD
2023-10-27
10948.11000000
N
N
N
City of Atlanta GA Department of Aviation
N/A
ATLANTA GA ARPT REVENUE
04780MYR4
600000.00000000
PA
USD
645415.92000000
0.095844932110
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
5.00000000
N
N
N
N
N
N
Washington State Housing Finance Commission
549300YL1HU59NREG764
WASHINGTON ST HSG FIN COMMISSION
93978TS59
965788.44000000
PA
USD
834478.49000000
0.123920919430
Long
DBT
MUN
US
N
2
2035-12-20
Fixed
3.50000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-7619.90000000
-0.00113156303
N/A
DFE
AU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
3274847.10000000
USD
5075559.00000000
AUD
2023-11-08
-7619.90000000
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
1130000.00000000
OU
Notional Amount
USD
175617.70000000
0.026079410210
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
1130000.00000000
USD
175617.70000000
N
N
N
Oklahoma Development Finance Authority
549300PXGPHUWC32DJ91
OKLAHOMA ST DEV FIN AUTH HLTHSYS REVENUE
67884XCV7
1000000.00000000
PA
USD
911174.20000000
0.135310311744
Long
DBT
MUN
US
N
2
2037-08-15
Fixed
5.50000000
N
N
N
N
N
N
Polk County Industrial Development Authority
549300UTRO4TAORRAL04
POLK CNTY FL INDL DEV AUTH
731120NQ0
1000000.00000000
PA
USD
977278.00000000
0.145126794460
Long
DBT
MUN
US
N
2
2033-01-01
Fixed
5.87500000
N
N
N
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
10000000.00000000
OU
Notional Amount
USD
1112438.00000000
0.165198194347
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
10000000.00000000
USD
1112438.00000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2OOT5 IRS USD R F 3.89650 IS2OOT5 CCPOIS / Short: SS2OOT5 IRS USD P V 00MSOFR IS2OOU6 CCPOIS
000000000
6600000.00000000
OU
Notional Amount
USD
-162833.24000000
-0.02418090466
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-07-31
0.00000000
USD
0.00000000
USD
6600000.00000000
USD
-162833.24000000
N
N
N
Spokane County School District No 81 Spokane
N/A
SPOKANE CNTY WA SCH DIST #81 SPOKANE
848712PU3
2000000.00000000
PA
USD
1774792.80000000
0.263558567669
Long
DBT
MUN
US
N
2
2031-12-01
Fixed
3.00000000
N
N
N
N
N
N
Chandler Industrial Development Authority
N/A
CHANDLER AZ INDL DEV AUTH INDL DEV REVENUE
158862CB6
2000000.00000000
PA
USD
2022320.40000000
0.300316672454
Long
DBT
MUN
US
N
2
2052-09-01
Floating
5.00000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCP6
1546000.00000000
PA
USD
1139974.02000000
0.169287321816
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.25000000
N
N
N
N
N
N
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
OMXS30 IND FUTURE OCT23
000000000
-34.00000000
NC
10205.56000000
0.001515536222
N/A
DE
SE
N
1
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
Short
OML Stockholm OMXS30 Index Futures
QCV3 Index
2023-10-20
-7432324.40000000
SEK
10205.56000000
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204E6Q6
100000.00000000
PA
USD
98429.94000000
0.014616947962
Long
DBT
MUN
US
N
2
2026-09-01
Fixed
5.00000000
N
N
N
N
N
N
New York City Transitional Finance Authority Future Tax Secured Revenue
N/A
NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
64971WAG5
5275000.00000000
PA
USD
5287302.36000000
0.785169872695
Long
DBT
MUN
US
N
2
2027-02-01
Fixed
5.00000000
N
N
N
N
N
N
California Community Choice Financing Authority
549300X8VKJ215S2R571
CALIFORNIA CMNTY CHOICE FING AUTH CLEAN ENERGY PROJ REVENUE
13013JCC8
1000000.00000000
PA
USD
993911.10000000
0.147596827024
Long
DBT
MUN
US
N
2
2053-07-01
Floating
5.18800000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
Long: IS1FYS8 IRS USD R V 12MUSCPI IS1FYT9 INFLATIONZERO / Short: IS1FYS8 IRS USD P F 2.10400 IS1FYS8 INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1198807.80000000
0.178024199038
N/A
DIR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2027-07-20
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1198807.80000000
N
N
N
Pennsylvania Economic Development Financing Authority
N/A
PENNSYLVANIA ST ECON DEV FING AUTH UPMC REVENUE
70870JEM6
2000000.00000000
PA
USD
1979009.40000000
0.293884944128
Long
DBT
MUN
US
N
2
2047-11-15
Floating
1.17000000
N
N
N
N
N
N
County of Pasco FL
N/A
PASCO CNTY FL HOSP REVENUE
70252CAA9
1000000.00000000
PA
USD
1020792.30000000
0.151588713046
Long
DBT
MUN
US
N
2
2030-07-01
Fixed
5.00000000
N
N
N
N
N
N
New Jersey Transportation Trust Fund Authority
549300YUVD5TEXR6L889
NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
6461363E9
2750000.00000000
PA
USD
2764578.58000000
0.410542780404
Long
DBT
MUN
US
N
2
2024-06-15
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Long: IS1C8Y3 IRS USD R V 12MUSCPI IS1C8Z4 INFLATIONZERO / Short: IS1C8Y3 IRS USD P F 2.17500 IS1C8Y3 INFLATIONZERO
000000000
10000000.00000000
OU
Notional Amount
USD
1099192.00000000
0.163231149638
N/A
DIR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-03-02
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
1099192.00000000
N
N
N
City of Ashland KY
N/A
ASHLAND KY MED CENTER REVENUE
044293BN7
225000.00000000
PA
USD
226722.22000000
0.033668484322
Long
DBT
MUN
US
N
2
2026-02-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
328869.54000000
0.048837467062
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
13836991.00000000
CHF
15516409.59000000
USD
2023-11-16
328869.54000000
N
N
N
Patriots Energy Group Financing Agency
5493008X0DFBVFH4HL19
PATRIOTS ENERGY GROUP FING AGY SC GAS SPLY REVENUE
70342PAK0
7390000.00000000
PA
USD
7368150.73000000
1.094178009269
Long
DBT
MUN
US
N
2
2048-10-01
Floating
4.00000000
N
N
N
N
N
N
Tobacco Settlement Financing Corp
N/A
TOBACCO SETTLEMENT FING CORP NJ
888808HD7
3450000.00000000
PA
USD
3569975.13000000
0.530145001646
Long
DBT
MUN
US
N
2
2028-06-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SS2MEN3 IRS USD R F 3.47800 IS2MEN3 CCPOIS / Short: SS2MEN3 IRS USD P V 00MSOFR IS2MEO4 CCPOIS
000000000
28200000.00000000
OU
Notional Amount
USD
-1289306.27000000
-0.19146331549
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-04-20
0.00000000
USD
0.00000000
USD
28200000.00000000
USD
-1289306.27000000
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
47408.80000000
OU
Notional Amount
USD
-6822.13000000
-0.00101309336
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
-4318.80000000
USD
47408.80000000
USD
-2503.33000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
57390.85000000
0.008522600623
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
8100438.00000000
CAD
6023257.44000000
USD
2023-10-27
57390.85000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2N4T2 IRS USD R F 3.07500 IS2N4T2 CCPOIS / Short: SS2N4T2 IRS USD P V 00MSOFR IS2N4U3 CCPOIS
000000000
21000000.00000000
OU
Notional Amount
USD
-1640252.44000000
-0.24357918496
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-04-30
0.00000000
USD
0.00000000
USD
21000000.00000000
USD
-1640252.44000000
N
N
N
Port Beaumont Navigation District
549300G8PKBXALUKJY33
PORT BEAUMONT TX NAV DIST DOCK& WHARF FAC REVENUE
73360CAC8
300000.00000000
PA
USD
231921.84000000
0.034440633273
Long
DBT
MUN
US
N
2
2035-01-01
Fixed
3.62500000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
FTSE 100 IDX FUT DEC23
000000000
-66.00000000
NC
37013.17000000
0.005496494052
N/A
DE
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Short
FTSE 100 Index Futures
Z Z3 Index
2023-12-15
-5072798.93000000
GBP
37013.17000000
N
N
N
Pittsburgh Water & Sewer Authority
54930034DVH6W22T1E86
PITTSBURGH PA WTR & SWR AUTH
725304XD6
2500000.00000000
PA
USD
2474678.50000000
0.367492318484
Long
DBT
MUN
US
N
2
2040-09-01
Floating
4.35000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-15240.69000000
-0.00226325823
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1318831.00000000
NZD
775204.11000000
USD
2023-10-27
-15240.69000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
83865.31000000
0.012454085333
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1945029.00000000
EUR
2140998.84000000
USD
2023-10-12
83865.31000000
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152S44
3810000.00000000
PA
USD
3876770.63000000
0.575704450922
Long
DBT
MUN
US
N
2
2025-12-01
Fixed
5.00000000
N
N
N
N
N
N
North Broward Hospital District
549300HZL14T4Q7UDP41
NORTH BROWARD FL HOSP DIST
657883DA9
5000000.00000000
PA
USD
5063379.00000000
0.751917021979
Long
DBT
MUN
US
N
2
2027-01-01
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Global Markets, Inc.
MBNUM2BPBDO7JBLYG310
Long: IS1PAG8 CDS USD R F 3.00000 IS1PAG8 CMBX / Short: IS1PAG8 CDS USD P V 01MEVENT IS1PAH9 CMBX
000000000
168130.18000000
OU
Notional Amount
USD
-24193.93000000
-0.00359282364
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
-20086.51000000
USD
168130.18000000
USD
-4107.42000000
N
N
N
California Infrastructure & Economic Development Bank
549300C1OG9RDIM8ET06
CALIFORNIA ST INFRASTRUCTURE & ECON DEV BANK REVENUE
13034A2R0
3980000.00000000
PA
USD
3955686.98000000
0.587423610574
Long
DBT
MUN
US
N
2
2050-01-01
Floating
3.65000000
N
N
N
N
N
N
Vauxmont Metropolitan District
549300M7XL6MB0OW8D56
VAUXMONT MET DIST CO
92242SBB8
110000.00000000
PA
USD
115882.14000000
0.017208617725
Long
DBT
MUN
US
N
2
2033-12-01
Fixed
5.00000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063D3R7
1000000.00000000
PA
USD
1040332.30000000
0.154490423269
Long
DBT
MUN
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
New York Transportation Development Corp
N/A
NEW YORK ST TRANSPRTN DEV CORP SPL FAC REVENUE
650116CX2
4000000.00000000
PA
USD
3855512.80000000
0.572547641166
Long
DBT
MUN
US
N
2
2030-10-01
Fixed
4.00000000
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3G0
1053285.00000000
PA
USD
1080842.73000000
0.160506264052
Long
DBT
MUN
US
N
2
2027-07-01
Fixed
5.62500000
N
N
N
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204ET32
3020000.00000000
PA
USD
3110459.57000000
0.461906465398
Long
DBT
MUN
US
N
2
2030-04-01
Fixed
5.00000000
N
N
N
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
325019.09000000
OU
Notional Amount
USD
-46770.25000000
-0.00694543053
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-29141.60000000
USD
325019.09000000
USD
-17628.65000000
N
N
N
City of Houston TX Airport System Revenue
N/A
HOUSTON TX ARPT SYS REVENUE
4423487H5
375000.00000000
PA
USD
368914.31000000
0.054784156852
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
5.00000000
N
N
N
N
N
N
City of Ashland KY
N/A
ASHLAND KY MED CENTER REVENUE
044293BT4
195000.00000000
PA
USD
196482.62000000
0.029177872424
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
2355000.00000000
OU
Notional Amount
USD
220795.29000000
0.032788329083
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
2355000.00000000
USD
220795.29000000
N
N
N
New York Liberty Development Corp
N/A
NEW YORK ST LIBERTY DEV CORP LIBERTY REVENUE
649519DH5
2370000.00000000
PA
USD
2040614.79000000
0.303033408303
Long
DBT
MUN
US
N
2
2069-09-15
Fixed
2.80000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI HOTEL REVENUE
74447DAE7
1400000.00000000
PA
USD
1275792.56000000
0.189456515575
Long
DBT
MUN
US
N
2
2042-02-01
Fixed
5.50000000
N
N
N
N
N
N
Lakewood Ranch Stewardship District
N/A
LAKEWOOD RANCH FL STEWARDSHIP DIST SPL ASSMNT REVENUE
51265KDJ4
1830000.00000000
PA
USD
1493412.86000000
0.221773355357
Long
DBT
MUN
US
N
2
2033-05-01
Fixed
2.50000000
N
N
N
N
N
N
New York Liberty Development Corp
N/A
NEW YORK ST LIBERTY DEV CORP LIBERTY REVENUE
649519DC6
100000.00000000
PA
USD
96153.39000000
0.014278877931
Long
DBT
MUN
US
N
2
2040-11-15
Fixed
5.37500000
N
N
N
N
N
N
MEDLINE BORROWER LP
254900QT3R363TVK6F09
Medline Borrower LP
62482BAA0
1150000.00000000
PA
USD
971681.00000000
0.144295634167
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
North Broward Hospital District
549300HZL14T4Q7UDP41
NORTH BROWARD FL HOSP DIST
657883DF8
2950000.00000000
PA
USD
3003977.33000000
0.446093742551
Long
DBT
MUN
US
N
2
2032-01-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Education
54930099NR6T9V7LVB43
CHICAGO IL BRD OF EDU
167505NG7
1000000.00000000
PA
USD
969836.80000000
0.144021768558
Long
DBT
MUN
US
N
2
2029-11-01
Fixed
6.31900000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT DEC23
000000000
341.00000000
NC
USD
-2773402.40000000
-0.41185312680
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME E-Mini Standard & Poor's 500 Index Futures
ESZ3 Index
2023-12-15
76523177.40000000
USD
-2773402.40000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO STOXX 50 DEC23
000000000
133.00000000
NC
-94521.12000000
-0.01403648414
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex EURO STOXX 50 Futures
VGZ3 Index
2023-12-15
5661449.52000000
EUR
-94521.12000000
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3J4
112694.00000000
PA
USD
117688.72000000
0.017476896725
Long
DBT
MUN
US
N
2
2031-07-01
Fixed
5.75000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
9326.63000000
0.001385014207
N/A
DFE
SE
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1541301.50000000
USD
16893768.00000000
SEK
2023-12-07
9326.63000000
N
N
N
Triborough Bridge & Tunnel Authority
54930020ZN4LQF7K3456
TRIBOROUGH NY BRIDGE & TUNNEL AUTH PAYROLL MOBILITY TAX
89602HAG2
3000000.00000000
PA
USD
2271273.60000000
0.337286480315
Long
DBT
MUN
US
N
2
2034-05-15
Fixed
2.41100000
N
N
N
N
N
N
Freddie Mac Multifamily
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily ML Certificates
35833JAJ6
973841.22000000
PA
USD
677703.21000000
0.100639628092
Long
ABS-MBS
USGSE
US
N
2
2038-06-25
Fixed
2.04600000
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
4150000.00000000
OU
Notional Amount
USD
324835.23000000
0.048238367851
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
4150000.00000000
USD
324835.23000000
N
N
N
New York City Transitional Finance Authority Future Tax Secured Revenue
N/A
NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
64971WCD0
10665000.00000000
PA
USD
10712233.15000000
1.590777709687
Long
DBT
MUN
US
N
2
2028-11-01
Fixed
5.00000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMQ5
805000.00000000
PA
USD
796974.47000000
0.118351533645
Long
DBT
MUN
US
N
2
2027-10-01
Fixed
5.00000000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
NIKKEI 225 (OSE) DEC23
000000000
12.00000000
NC
-67765.51000000
-0.01006324837
N/A
DE
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
OSE Nikkei 225 Index Futures
NKZ3 Index
2023-12-07
391868543.00000000
JPY
-67765.51000000
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI EDUCTNL FAC REVENUE
74443DHG9
1000000.00000000
PA
USD
934618.60000000
0.138791829408
Long
DBT
MUN
US
N
2
2042-03-01
Fixed
5.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2O7X0 IRS USD R F 3.80550 IS2O7X0 CCPOIS / Short: SS2O7X0 IRS USD P V 00MSOFR IS2O7Y1 CCPOIS
000000000
6900000.00000000
OU
Notional Amount
USD
-218273.38000000
-0.03241382283
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-07-31
0.00000000
USD
0.00000000
USD
6900000.00000000
USD
-218273.38000000
N
N
N
San Francisco City & County Airport Comm-San Francisco International Airport
54930055TIDYHNDP4F84
SAN FRANCISCO CALIF CITY &CNTY ARPTS COMMN INTL ARPT REV
79766DSH3
3755000.00000000
PA
USD
3775046.44000000
0.560598303425
Long
DBT
MUN
US
N
2
2024-05-01
Fixed
5.00000000
N
N
N
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204ET57
1725000.00000000
PA
USD
1770359.91000000
0.262900278916
Long
DBT
MUN
US
N
2
2032-04-01
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
25903.77000000
OU
Notional Amount
USD
-3727.54000000
-0.00055354354
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-2381.51000000
USD
25903.77000000
USD
-1346.03000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO STOXX 50 DEC23
000000000
-308.00000000
NC
281649.76000000
0.041825280860
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex EURO STOXX 50 Futures
VGZ3 Index
2023-12-15
-13170085.57000000
EUR
281649.76000000
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
MSCI SING IX ETS OCT23
000000000
-28.00000000
NC
-8942.03000000
-0.00132790070
N/A
DE
SG
N
1
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Short
SGX MSCI Singapore Index Futures
QZV3 Index
2023-10-30
-786052.44000000
SGD
-8942.03000000
N
N
N
Port of Seattle WA
549300T9UCDUJ3GZL429
PORT OF SEATTLE WA REVENUE
735389F52
5340000.00000000
PA
USD
5456935.32000000
0.810360542821
Long
DBT
MUN
US
N
2
2027-05-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
7951.10000000
0.001180746579
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2674006.00000000
CHF
2942951.44000000
USD
2023-11-16
7951.10000000
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
Long: IS1WUB4 IRS USD R V 01MMUNIP IS1WUC5 VANILLA / Short: IS1WUB4 IRS USD P F 1.12500 IS1WUB4 VANILLA
000000000
12470000.00000000
OU
Notional Amount
USD
1511423.87000000
0.224448008983
N/A
DIR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2029-10-09
0.00000000
USD
0.00000000
USD
12470000.00000000
USD
1511423.87000000
N
N
N
Municipal Electric Authority of Georgia
JA0WNILDDF2KUPS83B16
MUNI ELEC AUTH OF GEORGIA
626207X74
180000.00000000
PA
USD
186479.69000000
0.027692426967
Long
DBT
MUN
US
N
2
2028-01-01
Fixed
5.00000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063CMU1
50000.00000000
PA
USD
50576.26000000
0.007510626955
Long
DBT
MUN
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBM5
80323.70000000
PA
USD
85733.26000000
0.012731477841
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Floating
12.17900000
N
N
N
N
N
N
City of Ashland KY
N/A
ASHLAND KY MED CENTER REVENUE
044293BP2
240000.00000000
PA
USD
243414.72000000
0.036147337848
Long
DBT
MUN
US
N
2
2027-02-01
Fixed
5.00000000
N
N
N
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
SPI 200 FUTURES DEC23
000000000
-128.00000000
NC
421359.71000000
0.062572353032
N/A
DE
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
SFE S&P ASX Share Price Index 200 Futures
XPZ3 Index
2023-12-21
-23180119.74000000
AUD
421359.71000000
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Long: IS1QI56 IRS USD R V 12MUSCPI IS1QI67 INFLATIONZERO / Short: IS1QI56 IRS USD P F 2.00900 IS1QI56 INFLATIONZERO
000000000
28000000.00000000
OU
Notional Amount
USD
3497592.00000000
0.519396031926
N/A
DIR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2028-12-27
0.00000000
USD
0.00000000
USD
28000000.00000000
USD
3497592.00000000
N
N
N
Sacramento County Water Financing Authority
N/A
SACRAMENTO CNTY CA WTR FING AUTH REVENUE
78615RCV3
3675000.00000000
PA
USD
3009915.04000000
0.446975498632
Long
DBT
MUN
US
N
2
2039-06-01
Floating
4.37000000
N
N
N
N
N
N
South Lyon Community Schools
N/A
SOUTH LYON MI CMNTY SCHS
838736XB7
3640000.00000000
PA
USD
3731391.66000000
0.554115523413
Long
DBT
MUN
US
N
2
2028-05-01
Fixed
5.00000000
N
N
N
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204EL71
6775000.00000000
PA
USD
6841944.45000000
1.016035832078
Long
DBT
MUN
US
N
2
2033-05-15
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Education
54930099NR6T9V7LVB43
CHICAGO IL BRD OF EDU
167505XC5
160000.00000000
PA
USD
160977.82000000
0.023905372878
Long
DBT
MUN
US
N
2
2033-12-01
Fixed
5.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: IS1IRW2 IRS USD R V 12MUSCPI IS1IRX3 INFLATIONZERO / Short: IS1IRW2 IRS USD P F 2.23250 IS1IRW2 INFLATIONZERO
000000000
13000000.00000000
OU
Notional Amount
USD
1541659.08000000
0.228937968961
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2032-12-04
0.00000000
USD
0.00000000
USD
13000000.00000000
USD
1541659.08000000
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
421791.70000000
OU
Notional Amount
USD
-60695.83000000
-0.00901339357
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-36717.26000000
USD
421791.70000000
USD
-23978.57000000
N
N
N
Palm Beach County Health Facilities Authority
N/A
PALM BEACH CNTY FL HLTH FACS AUTH REVENUE
696507UT7
200000.00000000
PA
USD
159919.24000000
0.023748172652
Long
DBT
MUN
US
N
2
2055-06-01
Fixed
5.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL67682 ALLIANCE
000000000
1120.00000000
NC
137684.98000000
0.020446362030
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
FTSE 100 Index
UKX INDEX
1.00000000
6600.00000000
GBP
2024-07-19
XXXX
-25206.81000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SELS86625 TRS CHF R F .00000 SELS86625/SMZ3 / Short: SELS86625 TRS CHF P E SELS86625/SMZ3/EA8KGE4
000000000
2653691.08000000
OU
Notional Amount
14432.82000000
0.002143288707
N/A
DE
CH
N
2
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Eurex Swiss Market New Index Futures
SMZ3 Index
Y
equity-performance leg
equity-performance leg
2023-12-15
0.00000000
CHF
0.00000000
CHF
2653691.08000000
CHF
14432.82000000
N
N
N
New York Transportation Development Corp
N/A
NEW YORK ST TRANSPRTN DEV CORP SPL FAC REVENUE
650116CQ7
265000.00000000
PA
USD
243852.76000000
0.036212387241
Long
DBT
MUN
US
N
2
2036-01-01
Fixed
4.00000000
N
N
N
N
N
N
Comanche County Hospital Authority
N/A
COMANCHE CNTY OK HOSP AUTH REVENUE
199875HN8
1000000.00000000
PA
USD
966903.90000000
0.143586229873
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
5.00000000
N
N
N
N
N
N
BAYLOR SCOTT & WHITE HOL
549300JQDKSBWYRGGV95
Baylor Scott & White Holdings
072863AH6
1000000.00000000
PA
USD
774900.00000000
0.115073452003
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
1.77700000
N
N
N
N
N
N
New Jersey Transportation Trust Fund Authority
549300YUVD5TEXR6L889
NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
6461363L3
1630000.00000000
PA
USD
1662179.62000000
0.246835393887
Long
DBT
MUN
US
N
2
2029-06-15
Fixed
5.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL69127 ALLIANCE
000000000
5250.00000000
NC
621445.66000000
0.092285323691
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
EURO STOXX 50 Index
SX5E INDEX
1.00000000
3750.00000000
EUR
2024-07-19
XXXX
78624.10000000
N
N
N
Southeast Energy Authority A Cooperative District
25490090A3RLJHITY273
SOUTHEAST ENERGY AUTH AL COMMODITY SPLY REVENUE
84136FBT3
2000000.00000000
PA
USD
2012979.40000000
0.298929524286
Long
DBT
MUN
US
N
2
2054-01-01
Floating
5.25000000
N
N
N
N
N
N
California Housing Finance Agency
549300BOPCVLBA552Z14
CALIFORNIA HSG FIN AGY MUNI CTFS
13033DAH8
1950279.96000000
PA
USD
96006.04000000
0.014256996304
Long
DBT
MUN
US
N
2
2035-03-25
Variable
0.84100000
N
N
N
N
N
N
County of Montgomery OH
N/A
MONTGOMERY CNTY OH HOSP REVENUE
613520NT8
1150000.00000000
PA
USD
1218111.40000000
0.180890803617
Long
DBT
MUN
US
N
2
2034-08-01
Fixed
5.00000000
N
N
N
N
N
N
Michigan Finance Authority
54930022O46HOX5J1D14
MICHIGAN ST FIN AUTH REVENUE
59447TDZ3
900000.00000000
PA
USD
861920.10000000
0.127996026917
Long
DBT
MUN
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
Vauxmont Metropolitan District
549300M7XL6MB0OW8D56
VAUXMONT MET DIST CO
92242SAN3
177000.00000000
PA
USD
127822.46000000
0.018981767603
Long
DBT
MUN
US
N
2
2050-12-15
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0AD1
80644.65000000
PA
USD
81016.47000000
0.012031029645
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Floating
9.67900000
N
N
N
N
N
N
Vauxmont Metropolitan District
549300M7XL6MB0OW8D56
VAUXMONT MET DIST CO
92242SAV5
105000.00000000
PA
USD
109305.09000000
0.016231918993
Long
DBT
MUN
US
N
2
2027-12-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
20753VCZ9
250000.00000000
PA
USD
260544.48000000
0.038691124937
Long
ABS-MBS
USGSE
US
N
2
2040-02-25
Floating
9.07900000
N
N
N
N
N
N
New York Transportation Development Corp
N/A
NEW YORK ST TRANSPRTN DEV CORP SPL FAC REVENUE
650116FP6
1000000.00000000
PA
USD
994547.50000000
0.147691333083
Long
DBT
MUN
US
N
2
2039-12-01
Fixed
5.00000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063CQT0
2085000.00000000
PA
USD
2123384.22000000
0.315324754323
Long
DBT
MUN
US
N
2
2026-03-01
Fixed
5.00000000
N
N
N
N
N
N
Michigan Finance Authority
54930022O46HOX5J1D14
MICHIGAN ST FIN AUTH REVENUE
59447TH97
1000000.00000000
PA
USD
869837.50000000
0.129171769011
Long
DBT
MUN
US
N
2
2039-06-01
Fixed
3.26700000
N
N
N
N
N
N
HTA TRRB Custodial Trust
N/A
HTA TRRB-2007N-745190ZR2 ASSURED CUSTODIAL TRUST
44333GAA8
1005000.00000000
PA
USD
979281.55000000
0.145424323708
Long
DBT
MUN
US
N
2
2034-07-01
Fixed
5.25000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMN2
730000.00000000
PA
USD
723596.88000000
0.107454885585
Long
DBT
MUN
US
N
2
2025-10-01
Fixed
5.00000000
N
N
N
N
N
N
City of Bridgeport CT
N/A
BRIDGEPORT CT
108152AK5
1890000.00000000
PA
USD
1968575.43000000
0.292335488784
Long
DBT
MUN
US
N
2
2029-11-01
Fixed
5.00000000
N
N
N
N
N
N
Oklahoma Development Finance Authority
549300PXGPHUWC32DJ91
OKLAHOMA ST DEV FIN AUTH
6789084D3
1000000.00000000
PA
USD
877478.00000000
0.130306391169
Long
DBT
MUN
US
N
2
2045-11-01
Fixed
4.38000000
N
N
N
N
N
N
California Housing Finance Agency
549300BOPCVLBA552Z14
CALIFORNIA HSG FIN AGY MUNI CTFS
13033DAE5
962821.84000000
PA
USD
844340.35000000
0.125385415847
Long
DBT
MUN
US
N
2
2035-11-20
Fixed
3.50000000
N
N
N
N
N
N
New Jersey Economic Development Authority
5493006JS6QWDVU4R678
NEW JERSEY ST ECON DEV AUTH SPL FAC REVENUE
64578CAH4
1185000.00000000
PA
USD
1180183.57000000
0.175258481607
Long
DBT
MUN
US
N
2
2029-09-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBB9
29127.23000000
PA
USD
30616.79000000
0.004546625002
Long
ABS-MBS
USGSE
US
N
2
2025-07-25
Floating
10.42900000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
281831.89000000
0.041852327354
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6536328.00000000
EUR
7194890.50000000
USD
2023-10-12
281831.89000000
N
N
N
New Jersey Health Care Facilities Financing Authority
N/A
NEW JERSEY ST HLTH CARE FACS FING AUTH REVENUE
645790LB0
1325000.00000000
PA
USD
1370991.02000000
0.203593585413
Long
DBT
MUN
US
N
2
2027-07-01
Fixed
5.00000000
N
N
N
N
N
N
Florida Municipal Power Agency
549300M3I10QJUPNU131
FLORIDA ST MUNI PWR AGY
342816S22
500000.00000000
PA
USD
446370.20000000
0.066286436682
Long
DBT
MUN
US
N
2
2026-10-01
Fixed
1.42500000
N
N
N
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292AL5
1500000.00000000
PA
USD
1063414.20000000
0.157918109309
Long
DBT
MUN
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Long: IS19KK4 IRS USD R V 03MLIBOR IS19KL5 CPILV506025 / Short: IS19KK4 IRS USD P F 2.01500 IS19KK4 CPILV506025
000000000
13000000.00000000
OU
Notional Amount
USD
1662797.11000000
0.246927091791
N/A
DIR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2026-11-04
0.00000000
USD
0.00000000
USD
13000000.00000000
USD
1662797.11000000
N
N
N
SPDR S&P 500 ETF Trust
549300NZAMSJ8FXPQQ63
SPDR S&P 500 ETF Trust
78462F103
216510.00000000
NS
USD
92553694.80000000
13.74431946872
Long
EC
RF
US
N
1
N
N
N
Puerto Rico Industrial Tourist Educational Medical & Envirml Ctl Facs Fing Auth
549300YJRISCG6HQ4512
PUERTO RICO INDL TOURIST EDUCTNL MED & ENVRNMNTL CONTROL FAC
74527JAC1
3315000.00000000
PA
USD
2320500.00000000
0.344596651663
Long
DBT
MUN
US
N
2
2026-06-01
Fixed
6.62500000
Y
N
N
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204E6T0
100000.00000000
PA
USD
97648.34000000
0.014500879553
Long
DBT
MUN
US
N
2
2029-09-01
Fixed
5.00000000
N
N
N
N
N
N
Kansas Development Finance Authority
549300WTL7BL8KBDPR87
KANSAS ST DEV FIN AUTH REVENUE
48542RSJ4
2000000.00000000
PA
USD
1797642.60000000
0.266951786618
Long
DBT
MUN
US
N
2
2026-05-01
Fixed
1.14900000
N
N
N
N
N
N
Allegheny County Sanitary Authority
N/A
ALLEGHENY CNTY PA SAN AUTH
017357YS7
3105000.00000000
PA
USD
3110822.50000000
0.461960360879
Long
DBT
MUN
US
N
2
2024-12-01
Fixed
5.00000000
N
N
N
N
N
N
New York City Transitional Finance Authority Future Tax Secured Revenue
N/A
NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
64971WAJ9
2500000.00000000
PA
USD
2505667.00000000
0.372094142807
Long
DBT
MUN
US
N
2
2029-02-01
Fixed
5.00000000
N
N
N
N
N
N
Pennsylvania Turnpike Commission
549300J8LLBYEYEXZJ24
PENNSYLVANIA ST TURNPIKE COMMISSION TURNPIKE REVENUE
709224A58
2540000.00000000
PA
USD
2673070.09000000
0.396953674930
Long
DBT
MUN
US
N
2
2030-12-01
Fixed
5.00000000
N
N
N
N
N
N
California Community Choice Financing Authority
549300X8VKJ215S2R571
CALIFORNIA CMNTY CHOICE FING AUTH CLEAN ENERGY PROJ REVENUE
13013JCS3
1000000.00000000
PA
USD
1029062.30000000
0.152816816605
Long
DBT
MUN
US
N
2
2054-05-01
Floating
5.50000000
N
N
N
N
N
N
Chicago Board of Education Dedicated Capital Improvement Tax
N/A
CHICAGO IL BRD OF EDU DEDICATED CAPITAL IMPT TAX
167510BC9
1000000.00000000
PA
USD
1030261.90000000
0.152994958447
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
5.25000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-6428.02000000
-0.00095456762
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
2100314.00000000
NZD
1252400.65000000
USD
2023-10-27
-6428.02000000
N
N
N
County of Osceola FL Transportation Revenue
N/A
OSCEOLA CNTY FL TRANSPRTN REVENUE
688031EK5
100000.00000000
PA
USD
71308.33000000
0.010589360807
Long
DBT
MUN
US
N
2
2030-10-01
None
0.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
32216.92000000
0.004784245963
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
713971.00000000
EUR
787338.66000000
USD
2023-10-12
32216.92000000
N
N
N
City of Whiting IN
N/A
WHITING IN ENVRNMNTL FACS REVENUE
96634RAW2
2000000.00000000
PA
USD
1947889.20000000
0.289263562220
Long
DBT
MUN
US
N
2
2045-11-01
Floating
4.40000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2NKJ4 IRS USD R F 3.50000 IS2NKJ4 CCPOIS / Short: SS2NKJ4 IRS USD P V 00MSOFR IS2NKK5 CCPOIS
000000000
4600000.00000000
OU
Notional Amount
USD
-235195.08000000
-0.03492671280
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-04-30
0.00000000
USD
0.00000000
USD
4600000.00000000
USD
-235195.08000000
N
N
N
California Housing Finance Agency
549300BOPCVLBA552Z14
CALIFORNIA HSG FIN AGY MUNI CTFS
13033DAC9
2137071.13000000
PA
USD
2033125.06000000
0.301921175647
Long
DBT
MUN
US
N
2
2033-03-20
Fixed
4.00000000
N
N
N
N
N
N
Centerra Metropolitan District No 1
549300SHE5ZPSMGZH793
CENTERRA CO MET DIST #1 SPL REVENUE
15200XAE3
2375000.00000000
PA
USD
2291100.51000000
0.340230796970
Long
DBT
MUN
US
N
2
2029-12-01
Fixed
5.00000000
N
N
N
N
N
N
Louisiana Local Government Environmental Facilities & Community Development Auth
5493004WIZ1HV87IVF85
LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH
54627RAR1
1400000.00000000
PA
USD
1378625.78000000
0.204727355175
Long
DBT
MUN
US
N
2
2031-06-01
Fixed
5.08100000
N
N
N
N
N
N
Clark County School District
N/A
CLARK CNTY NV SCH DIST
1810592P0
1155000.00000000
PA
USD
1212673.42000000
0.180083257958
Long
DBT
MUN
US
N
2
2038-06-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily VRD Certificates
N/A
FEDERAL HOME LOAN MTGE CORP VA MF VARIABLE RATE CTFS
31350ACN6
4745000.00000000
PA
USD
3766621.81000000
0.559347237151
Long
DBT
USGSE
US
N
2
2035-06-15
Fixed
2.65000000
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3Q8
1963.00000000
PA
USD
1896.27000000
0.000281598057
Long
DBT
MUN
US
N
2
2024-07-01
None
0.00000000
N
N
N
N
N
N
New Jersey Turnpike Authority
5493005YN67D71KSMI84
NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
646139ZX6
11070000.00000000
PA
USD
11411497.32000000
1.694619162654
Long
DBT
MUN
US
N
2
2026-01-01
Fixed
5.25000000
N
N
N
N
N
N
Puerto Rico Highway & Transportation Authority
549300J6QBXVWJXB7Y41
PUERTO RICO CMWLTH HIGHWAY & TRANSPRTN AUTH RESTRUCTURED TOL
745197AB9
325000.00000000
PA
USD
209625.00000000
0.031129529457
Long
DBT
MUN
US
N
2
2032-07-01
None
0.00000000
N
N
N
N
N
N
City of Glendale AZ
5493002BC35ZY7XRQ949
GLENDALE AZ COPS
37828AAF6
1000000.00000000
PA
USD
834677.30000000
0.123950442921
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
2.06200000
N
N
N
N
N
N
Port of Seattle WA
549300T9UCDUJ3GZL429
PORT OF SEATTLE WA REVENUE
735389F45
4925000.00000000
PA
USD
5002204.30000000
0.742832515715
Long
DBT
MUN
US
N
2
2026-05-01
Fixed
5.00000000
N
N
N
N
N
N
New York City Transitional Finance Authority Future Tax Secured Revenue
N/A
NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
64971WBA7
6000000.00000000
PA
USD
6026572.80000000
0.894952298162
Long
DBT
MUN
US
N
2
2028-11-01
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-31781.80000000
-0.00471963019
N/A
DFE
GB
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1537175.49000000
USD
1233510.00000000
GBP
2023-11-17
-31781.80000000
N
N
N
Parish of St James LA
N/A
SAINT JAMES PARISH LA REVENUE
790103AU9
585000.00000000
PA
USD
617303.12000000
0.091670152214
Long
DBT
MUN
US
N
2
2038-06-01
Floating
6.10000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-3851.82000000
-0.00057199925
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1258556.00000000
NZD
750467.00000000
USD
2023-10-27
-3851.82000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BS2P5R3 CDS USD R V 03MEVENT IS2P5S4 CCPCDX / Short: BS2P5R3 CDS USD P F 5.00000 IS2P5R3 CCPCDX
000000000
14100000.00000000
OU
Notional Amount
USD
-134354.50000000
-0.01995178230
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S41
2I65BRZP8
Y
buy protection
2028-12-20
0.00000000
USD
-135147.39000000
USD
14100000.00000000
USD
792.89000000
N
N
N
Chicago Board of Education
54930099NR6T9V7LVB43
CHICAGO IL BRD OF EDU
167505XA9
310000.00000000
PA
USD
312756.95000000
0.046444730771
Long
DBT
MUN
US
N
2
2031-12-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-132497.44000000
-0.01967600697
N/A
DFE
XX
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
5227066.55000000
USD
4816938.00000000
EUR
2023-10-12
-132497.44000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
21938.05000000
0.003257823130
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
5075559.00000000
AUD
3289165.25000000
USD
2023-11-08
21938.05000000
N
N
N
Ohio Higher Educational Facility Commission
5493007MQT6NGNN6BR81
OHIO ST HGR EDUCTNL FAC COMMISSION HLTHCR REVENUE
677510CS6
1110000.00000000
PA
USD
1114147.63000000
0.165452076171
Long
DBT
MUN
US
N
2
2038-01-01
Fixed
5.25000000
N
N
N
N
N
N
Vauxmont Metropolitan District
549300M7XL6MB0OW8D56
VAUXMONT MET DIST CO
92242SBE2
100000.00000000
PA
USD
100603.70000000
0.014939753572
Long
DBT
MUN
US
N
2
2050-12-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-26353.94000000
-0.00391358736
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
5404232.00000000
AUD
3452445.89000000
USD
2023-11-08
-26353.94000000
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204E6W3
100000.00000000
PA
USD
96101.45000000
0.014271164787
Long
DBT
MUN
US
N
2
2032-09-01
Fixed
5.00000000
N
N
N
N
N
N
Ohio Higher Educational Facility Commission
5493007MQT6NGNN6BR81
OHIO ST HGR EDUCTNL FAC COMMISSION HLTHCR REVENUE
677510CN7
360000.00000000
PA
USD
367737.88000000
0.054609455780
Long
DBT
MUN
US
N
2
2034-01-01
Fixed
5.00000000
N
N
N
N
N
N
Wisconsin Department of Transportation
N/A
WISCONSIN ST TRANSPRTN REVENUE
9771233C0
1765000.00000000
PA
USD
1870580.71000000
0.277783171442
Long
DBT
MUN
US
N
2
2031-07-01
Fixed
5.00000000
N
N
N
N
N
N
Arizona Industrial Development Authority
N/A
ARIZONA ST INDL DEV AUTH NATIONAL CHRT SCH REVOLVING LOAN FD
04052FBQ7
1100000.00000000
PA
USD
998773.49000000
0.148318896972
Long
DBT
MUN
US
N
2
2037-11-01
Fixed
4.00000000
N
N
N
N
N
N
Ohio Higher Educational Facility Commission
5493007MQT6NGNN6BR81
OHIO ST HGR EDUCTNL FAC COMMISSION HLTHCR REVENUE
677510CP2
750000.00000000
PA
USD
777403.73000000
0.115445258499
Long
DBT
MUN
US
N
2
2035-01-01
Fixed
5.25000000
N
N
N
N
N
N
City of Philadelphia PA Water & Wastewater Revenue
N/A
PHILADELPHIA PA WTR & WSTWTR REVENUE
717893P88
685000.00000000
PA
USD
708697.99000000
0.105242385000
Long
DBT
MUN
US
N
2
2037-11-01
Fixed
5.00000000
N
N
N
N
N
N
Port of Seattle WA
549300T9UCDUJ3GZL429
PORT OF SEATTLE WA REVENUE
735389F60
5775000.00000000
PA
USD
5929696.66000000
0.880566091108
Long
DBT
MUN
US
N
2
2028-05-01
Fixed
5.00000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI EXEMPT FACS REVENUE
74443QAB8
3245000.00000000
PA
USD
3247676.48000000
0.482283318549
Long
DBT
MUN
US
N
2
2024-01-01
Fixed
5.00000000
N
N
N
N
N
N
Tobacco Settlement Finance Authority
N/A
TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED
88880LAW3
3030000.00000000
PA
USD
2743664.70000000
0.407437047579
Long
DBT
MUN
US
N
2
2049-06-01
Fixed
4.87500000
N
N
N
N
N
N
New Jersey Transportation Trust Fund Authority
549300YUVD5TEXR6L889
NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
6461364A6
160000.00000000
PA
USD
167551.55000000
0.024881578586
Long
DBT
MUN
US
N
2
2029-12-15
Fixed
5.00000000
N
N
N
N
N
N
Ohio Higher Educational Facility Commission
5493007MQT6NGNN6BR81
OHIO ST HGR EDUCTNL FAC COMMISSION HLTHCR REVENUE
677510CT4
780000.00000000
PA
USD
779978.39000000
0.115827598174
Long
DBT
MUN
US
N
2
2039-01-01
Fixed
5.25000000
N
N
N
N
N
N
City of Detroit MI
549300BQRJP7MKKHOY28
DETROIT MI
2510933E8
1200000.00000000
PA
USD
1204787.64000000
0.178912211467
Long
DBT
MUN
US
N
2
2026-04-01
Fixed
5.00000000
N
N
N
N
N
N
State of Nevada Department of Business & Industry
N/A
DIRECTOR OF THE ST OF NEVADA DEPT OF BUSINESS & INDUSTRY
25457VBS4
450000.00000000
PA
USD
447322.41000000
0.066427840853
Long
DBT
MUN
US
N
2
2050-01-01
Floating
3.70000000
N
N
N
N
N
N
Indiana Finance Authority
549300PS0PAS7NDSSI20
INDIANA ST FIN AUTH POLL CONTROL REVENUE
45505VAE6
330000.00000000
PA
USD
283871.38000000
0.042155193730
Long
DBT
MUN
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PTT2
1000000.00000000
PA
USD
918125.10000000
0.136342527588
Long
DBT
MUN
US
N
2
2027-06-01
Fixed
2.25000000
N
N
N
N
N
N
New Hampshire Business Finance Authority
N/A
NATIONAL FIN AUTH NH MUNI CTFS
63607WAC8
4921316.69000000
PA
USD
4557064.94000000
0.676728860046
Long
DBT
MUN
US
N
2
2036-09-20
Fixed
4.37500000
N
N
N
N
N
N
Pennsylvania Economic Development Financing Authority
N/A
PENNSYLVANIA ST ECON DEV FING AUTH T/E PRIVATE ACTIVITY REV
70868YAS8
3300000.00000000
PA
USD
3419776.47000000
0.507840345184
Long
DBT
MUN
US
N
2
2041-06-30
Fixed
5.50000000
N
N
N
N
N
N
California Housing Finance Agency
549300BOPCVLBA552Z14
CALIFORNIA HSG FIN AGY MUNI CTFS
13033DAG0
2925469.90000000
PA
USD
2705929.47000000
0.401833326869
Long
DBT
MUN
US
N
2
2035-03-25
Fixed
3.75000000
N
N
N
N
N
N
County of Osceola FL Transportation Revenue
N/A
OSCEOLA CNTY FL TRANSPRTN REVENUE
688031EP4
100000.00000000
PA
USD
57907.37000000
0.008599304377
Long
DBT
MUN
US
N
2
2034-10-01
None
0.00000000
N
N
N
N
N
N
New Hampshire Business Finance Authority
N/A
NATIONAL FIN AUTH NH MUNI CTFS
63607WAD6
3750000.00000000
PA
USD
83568.38000000
0.012409990921
Long
DBT
MUN
US
N
2
2036-09-20
Variable
0.35000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS2N2X2 IRS USD R V 12MUSCPI IS2N2Y3 CCP INFLATION ZERO / Short: BS2N2X2 IRS USD P F 3.49300 BS2N2X2 CCP INFLATION ZERO
000000000
30420000.00000000
OU
Notional Amount
USD
237551.61000000
0.035276659945
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
30420000.00000000
USD
237551.61000000
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412HPS6
1000000.00000000
PA
USD
1059990.10000000
0.157409626915
Long
DBT
MUN
US
N
2
2042-05-15
Fixed
5.00000000
N
N
N
N
N
N
Virginia Small Business Financing Authority
N/A
VIRGINIA ST SMALL BUSINESS FING AUTH ENVIRONMENTAL FACS REVE
92810RAA5
1320000.00000000
PA
USD
1318883.68000000
0.195855591493
Long
DBT
MUN
US
N
2
2052-11-01
Floating
3.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)DEC23
000000000
480.00000000
NC
USD
-936401.59000000
-0.13905660526
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year U.S. Treasury Notes
TYZ3 Comdty
2023-12-19
52806401.59000000
USD
-936401.59000000
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BS9
800000.00000000
PA
USD
599125.60000000
0.088970771681
Long
DBT
MUN
US
N
2
2043-07-01
Fixed
3.37500000
N
N
N
N
N
N
State of Nevada Department of Business & Industry
N/A
DIRECTOR OF THE ST OF NEVADA DEPT OF BUSINESS & INDUSTRY
25457VBT2
520000.00000000
PA
USD
519361.54000000
0.077125726217
Long
DBT
MUN
US
N
2
2050-01-01
Variable
8.12500000
N
N
N
N
N
N
American Municipal Power Inc
EARKGGZJJEMVD66XQ486
AMERICAN MUNI PWR-OHIO INC OH REVENUE
02765UPV0
3085000.00000000
PA
USD
3209903.32000000
0.476673965195
Long
DBT
MUN
US
N
2
2036-02-15
Fixed
5.00000000
N
N
N
N
N
N
Southeast Energy Authority A Cooperative District
25490090A3RLJHITY273
SOUTHEAST ENERGY AUTH AL COMMODITY SPLY REVENUE
84136FAV9
5500000.00000000
PA
USD
5115470.80000000
0.759652708193
Long
DBT
MUN
US
N
2
2051-12-01
Floating
4.00000000
N
N
N
N
N
N
OCHSNER LSU HEALTH SYST
N/A
Ochsner LSU Health System of North Louisiana
67555JAA4
2000000.00000000
PA
USD
1410340.00000000
0.209436949669
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.51000000
N
N
N
N
N
N
California State University
N/A
CALIFORNIA ST UNIV REVENUE
13077DQP0
1000000.00000000
PA
USD
723785.50000000
0.107482895851
Long
DBT
MUN
US
N
2
2035-11-01
Fixed
2.37400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2ODT8 IRS USD R F 4.01600 IS2ODT8 CCPOIS / Short: SS2ODT8 IRS USD P V 00MSOFR IS2ODU9 CCPOIS
000000000
5300000.00000000
OU
Notional Amount
USD
-97339.15000000
-0.01445496451
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-07-31
0.00000000
USD
0.00000000
USD
5300000.00000000
USD
-97339.15000000
N
N
N
Virginia Small Business Financing Authority
N/A
VIRGINIA ST SMALL BUSINESS FING AUTH REVENUE
928104PP7
1120000.00000000
PA
USD
1130278.35000000
0.167847504786
Long
DBT
MUN
US
N
2
2038-07-01
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-32801.66000000
-0.00487108045
N/A
DFE
XX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
787923.40000000
USD
713971.00000000
EUR
2023-10-12
-32801.66000000
N
N
N
City of Bridgeport CT
N/A
BRIDGEPORT CT
108152AH2
1735000.00000000
PA
USD
1807199.42000000
0.268370984279
Long
DBT
MUN
US
N
2
2027-11-01
Fixed
5.00000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMS1
200000.00000000
PA
USD
197355.24000000
0.029307457398
Long
DBT
MUN
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
Washington State Convention Center Public Facilities District
N/A
WASHINGTON ST CONVENTION CENTER PUBLIC FACS DIST
93976ACR1
1650000.00000000
PA
USD
1518176.88000000
0.225450837957
Long
DBT
MUN
US
N
2
2031-07-01
Fixed
4.00000000
N
N
N
N
N
N
Parish of St James LA
N/A
SAINT JAMES PARISH LA REVENUE
790103AX3
500000.00000000
PA
USD
527609.50000000
0.078350556813
Long
DBT
MUN
US
N
2
2040-12-01
Floating
6.10000000
N
N
N
N
N
N
American Municipal Power Inc
EARKGGZJJEMVD66XQ486
AMERICAN MUNI PWR-OHIO INC OH REVENUE
02765UPU2
5260000.00000000
PA
USD
5506204.82000000
0.817677114564
Long
DBT
MUN
US
N
2
2035-02-15
Fixed
5.00000000
N
N
N
N
N
N
California Community Housing Agency
N/A
CALIFORNIA CMNTY HSG AGY ESSENTIAL HSG REVENUE
13013FAM6
2585000.00000000
PA
USD
1916388.20000000
0.284585631117
Long
DBT
MUN
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Kentucky Public Energy Authority
N/A
KENTUCKY ST PUBLIC ENERGY AUTH GAS SPLY REVENUE
74440DCZ5
6370000.00000000
PA
USD
6246611.19000000
0.927628226812
Long
DBT
MUN
US
N
2
2050-12-01
Floating
4.00000000
N
N
N
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
4990000.00000000
OU
Notional Amount
USD
1062919.80000000
0.157844690397
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
4990000.00000000
USD
1062919.80000000
N
N
N
New York City Transitional Finance Authority Future Tax Secured Revenue
N/A
NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
64971WAH3
2000000.00000000
PA
USD
2004599.00000000
0.297685026213
Long
DBT
MUN
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P MID 400 EMINI DEC23
000000000
33.00000000
NC
USD
-267960.29000000
-0.03979238039
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME E-Mini Standard & Poor's MidCap 400 Index Futures
FAZ3 Index
2023-12-15
8585280.29000000
USD
-267960.29000000
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152P88
12010000.00000000
PA
USD
12108575.68000000
1.798136020574
Long
DBT
MUN
US
N
2
2024-11-01
Fixed
5.00000000
N
N
N
N
N
N
New Hampshire Business Finance Authority
N/A
NATIONAL FIN AUTH NH MUNI CTFS
63607WAA2
1697287.98000000
PA
USD
1578748.20000000
0.234445741667
Long
DBT
MUN
US
N
2
2034-01-20
Fixed
4.12500000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC23
000000000
188.00000000
NC
USD
-72350.10000000
-0.01074406473
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUZ3 Comdty
2023-12-29
38182006.44000000
USD
-72350.10000000
N
N
N
Southeast Energy Authority A Cooperative District
25490090A3RLJHITY273
SOUTHEAST ENERGY AUTH AL COMMODITY SPLY REVENUE
84136GAK1
1000000.00000000
PA
USD
1010087.20000000
0.149998994616
Long
DBT
MUN
US
N
2
2054-01-01
Floating
5.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-32120.21000000
-0.00476988442
N/A
DFE
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2124980.02000000
USD
1714876.00000000
GBP
2023-11-17
-32120.21000000
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAM6
45158.94000000
PA
USD
45552.45000000
0.006764585970
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Floating
8.32900000
N
N
N
N
N
N
Wausau School District
N/A
WAUSAU WI SCH DIST
943363QJ3
2180000.00000000
PA
USD
2328543.24000000
0.345791081128
Long
DBT
MUN
US
N
2
2031-03-01
Fixed
5.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-2575.41000000
-0.00038245105
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1886878.00000000
AUD
1212041.37000000
USD
2023-11-08
-2575.41000000
N
N
N
South Carolina Public Service Authority
EMBXY64GWKA9MZGFUD26
SOUTH CAROLINA ST PUBLIC SVC AUTH REVENUE
837151YR4
3000000.00000000
PA
USD
2719148.10000000
0.403796307105
Long
DBT
MUN
US
N
2
2038-12-01
Fixed
4.00000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMP7
770000.00000000
PA
USD
761585.52000000
0.113096237943
Long
DBT
MUN
US
N
2
2026-10-01
Fixed
5.00000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
FTSE 100 IDX FUT DEC23
000000000
15.00000000
NC
10620.57000000
0.001577165637
N/A
DE
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Long
FTSE 100 Index Futures
Z Z3 Index
2023-12-15
1137309.59000000
GBP
10620.57000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-48996.47000000
-0.00727602650
N/A
DFE
JP
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
3250999.95000000
USD
477289251.00000000
JPY
2023-10-19
-48996.47000000
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
1130000.00000000
OU
Notional Amount
USD
173904.43000000
0.025824987842
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
1130000.00000000
USD
173904.43000000
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3H8
110000.00000000
PA
USD
113663.86000000
0.016879200849
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
5.62500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-12337.19000000
-0.00183208548
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
3897078.00000000
CAD
2857809.76000000
USD
2023-10-27
-12337.19000000
N
N
N
Kentucky Public Energy Authority
N/A
KENTUCKY ST PUBLIC ENERGY AUTH GAS SPLY REVENUE
74440DBR4
5000000.00000000
PA
USD
4926571.50000000
0.731600966637
Long
DBT
MUN
US
N
2
2049-12-01
Floating
4.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-30794.86000000
-0.00457306858
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
6314906.00000000
AUD
4034221.94000000
USD
2023-11-08
-30794.86000000
N
N
N
Irving Hospital Authority
N/A
IRVING TX HOSP AUTH
463794JV0
1100000.00000000
PA
USD
1118615.52000000
0.166115562461
Long
DBT
MUN
US
N
2
2028-10-15
Fixed
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-72027.79000000
-0.01069620136
N/A
DFE
CH
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
3580816.11000000
USD
3196770.00000000
CHF
2023-11-16
-72027.79000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-8113.34000000
-0.00120483938
N/A
DFE
AU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
3486913.17000000
USD
5404232.00000000
AUD
2023-11-08
-8113.34000000
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204ET40
2450000.00000000
PA
USD
2517655.04000000
0.373874379154
Long
DBT
MUN
US
N
2
2031-04-01
Fixed
5.00000000
N
N
N
N
N
N
Louisiana Local Government Environmental Facilities & Community Development Auth
5493004WIZ1HV87IVF85
LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH
546282H56
1550000.00000000
PA
USD
1520057.10000000
0.225730052573
Long
DBT
MUN
US
N
2
2030-11-15
Fixed
6.00000000
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3T2
79318.85000000
PA
USD
41146.65000000
0.006110320110
Long
DBT
MUN
US
N
2
2043-11-01
Variable
1.00000000
N
N
N
N
N
N
Vauxmont Metropolitan District
549300M7XL6MB0OW8D56
VAUXMONT MET DIST CO
92242SAS2
115000.00000000
PA
USD
116122.79000000
0.017244354499
Long
DBT
MUN
US
N
2
2024-12-01
Fixed
5.00000000
N
N
N
N
N
N
Howard Bend Levee District
N/A
HOWARD BEND MO LEVEE DIST
442499CC1
185000.00000000
PA
USD
185876.47000000
0.027602848172
Long
DBT
MUN
US
N
2
2025-03-01
Fixed
5.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828U57
1698000.00000000
PA
USD
1688979.38000000
0.250815185984
Long
DBT
UST
US
N
2
2023-11-30
Fixed
2.12500000
N
N
N
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
Long: IS19KI2 IRS USD R V 03MLIBOR IS19KJ3 CPILV506024 / Short: IS19KI2 IRS USD P F 1.90000 IS19KI2 CPILV506024
000000000
22000000.00000000
OU
Notional Amount
USD
2927568.60000000
0.434746967065
N/A
DIR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2023-11-04
0.00000000
USD
0.00000000
USD
22000000.00000000
USD
2927568.60000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
11383.37000000
0.001690442226
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1606707.00000000
CAD
1194702.05000000
USD
2023-10-27
11383.37000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2NUJ4 IRS USD R F 3.71450 IS2NUJ4 CCPOIS / Short: SS2NUJ4 IRS USD P V 00MSOFR IS2NUK5 CCPOIS
000000000
4500000.00000000
OU
Notional Amount
USD
-168295.80000000
-0.02499210048
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-04-30
0.00000000
USD
0.00000000
USD
4500000.00000000
USD
-168295.80000000
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
10000000.00000000
OU
Notional Amount
USD
1335302.70000000
0.198293832957
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
10000000.00000000
USD
1335302.70000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BS2MVV0 IRS USD R V 00MSOFR IS2MVW1 CCPOIS / Short: BS2MVV0 IRS USD P F 3.11950 IS2MVV0 CCPOIS
000000000
55400000.00000000
OU
Notional Amount
USD
5435897.53000000
0.807236409232
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-31
0.00000000
USD
0.00000000
USD
55400000.00000000
USD
5435897.53000000
N
N
N
City of Fort Wayne IN
N/A
FORT WAYNE IN ECON DEV SOLID WST FAC REVENUE
34924CAB1
26951.15000000
PA
USD
2.70000000
0.000000400952
Long
DBT
MUN
US
N
2
2029-12-01
Fixed
10.75000000
Y
N
N
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
MSCI EMGMKT DEC23
000000000
486.00000000
NC
USD
-601271.40000000
-0.08928942520
N/A
DE
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Long
ICE U.S. MSCI Emerging Markets EM Index Futures
MESZ3 Index
2023-12-15
23819921.40000000
USD
-601271.40000000
N
N
N
Colorado Health Facilities Authority
5493002JB6DRFRZPEQ21
COLORADO ST HLTH FACS AUTH REVENUE
19648FJT2
845000.00000000
PA
USD
871131.54000000
0.129363935290
Long
DBT
MUN
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
Capital Trust Agency Inc
549300F49UWS7X0OGQ59
CAPITAL TRUST AGY FL EDUCTNL FACS LEASE REVENUE
14054DAB3
385000.00000000
PA
USD
377957.20000000
0.056127035376
Long
DBT
MUN
US
N
2
2024-12-15
Fixed
4.00000000
N
N
N
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
10000000.00000000
OU
Notional Amount
USD
551710.60000000
0.081929595107
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
10000000.00000000
USD
551710.60000000
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3P0
13131.00000000
PA
USD
10123.74000000
0.001503385867
Long
DBT
MUN
US
N
2
2046-07-01
Fixed
4.00000000
N
N
N
N
N
N
Philadelphia Authority for Industrial Development
549300DIY68KQZEW7M79
PHILADELPHIA PA AUTH FOR INDL DEV CHRT SCH REVENUE
71780CBB5
760000.00000000
PA
USD
752742.91000000
0.111783101206
Long
DBT
MUN
US
N
2
2030-08-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-26102.24000000
-0.00387620965
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
3417452.00000000
NZD
2022156.52000000
USD
2023-10-27
-26102.24000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
69602.75000000
0.010336080412
N/A
DFE
NZ
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
7921153.79000000
USD
13332313.00000000
NZD
2023-10-27
69602.75000000
N
N
N
City of Los Angeles CA
549300E7TO710PTXPJ65
LOS ANGELES CA
544351RJ0
2500000.00000000
PA
USD
2529586.00000000
0.375646139062
Long
DBT
MUN
US
N
2
2024-06-27
Fixed
5.00000000
N
N
N
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BP5
1800000.00000000
PA
USD
1353084.48000000
0.200934445691
Long
DBT
MUN
US
N
2
2047-05-01
Fixed
3.60000000
N
N
N
N
N
N
Kentucky Economic Development Finance Authority
N/A
KENTUCKY ST ECON DEV FIN AUTH
49126KJU6
4265000.00000000
PA
USD
4299566.55000000
0.638490082626
Long
DBT
MUN
US
N
2
2026-06-01
Fixed
5.00000000
N
N
N
N
N
N
Territory of Guam
N/A
GUAM GOVT
40065BCQ4
180000.00000000
PA
USD
177403.64000000
0.026344624148
Long
DBT
MUN
US
N
2
2031-11-15
Fixed
5.00000000
N
N
N
N
N
N
Central Plains Energy Project
SVQOT7V5CPLIGNP5BE29
CENTRL PLAINS ENERGY PROJ NE GAS PROJ REVENUE
154871CT2
6500000.00000000
PA
USD
6521945.95000000
0.968515723637
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
5125000.00000000
OU
Notional Amount
USD
854176.73000000
0.126846128458
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
5125000.00000000
USD
854176.73000000
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR DEC23
000000000
-15.00000000
NC
15004.27000000
0.002228149624
N/A
DE
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
TSE TOPIX Futures
TPZ3 Index
2023-12-07
-350240025.00000000
JPY
15004.27000000
N
N
N
BELLEMEADE RE LT
549300O2GEH6GH9NO762
Bellemeade Re 2018-1 Ltd
078768AE8
50703.27000000
PA
USD
50811.12000000
0.007545503908
Long
ABS-MBS
CORP
BM
N
2
2028-04-25
Floating
8.33400000
N
N
N
N
N
N
Kentucky Economic Development Finance Authority
N/A
KENTUCKY ST ECON DEV FIN AUTH
49126KJZ5
6195000.00000000
PA
USD
6113828.77000000
0.907909900015
Long
DBT
MUN
US
N
2
2031-06-01
Fixed
5.00000000
N
N
N
N
N
N
Commonwealth of Massachusetts
5493001N1YCXNI1O7K10
MASSACHUSETTS ST SPL OBLG REVENUE
576004HG3
1506768.06000000
PA
USD
1450037.79000000
0.215332112570
Long
DBT
MUN
US
N
2
2031-07-15
Fixed
4.11000000
N
N
N
N
N
N
Colorado Health Facilities Authority
5493002JB6DRFRZPEQ21
COLORADO ST HLTH FACS AUTH REVENUE
19648FKN3
8975000.00000000
PA
USD
9149383.35000000
1.358692896874
Long
DBT
MUN
US
N
2
2036-08-01
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
5125000.00000000
OU
Notional Amount
USD
860946.65000000
0.127851468584
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
5125000.00000000
USD
860946.65000000
N
N
N
County of Osceola FL Transportation Revenue
N/A
OSCEOLA CNTY FL TRANSPRTN REVENUE
688031EM1
100000.00000000
PA
USD
64429.63000000
0.009567866738
Long
DBT
MUN
US
N
2
2032-10-01
None
0.00000000
N
N
N
N
N
N
HTA TRRB Custodial Trust
N/A
HTA TRRB-2007N-745190ZS0 ASSURED CUSTODIAL TR
40445GAA1
1110000.00000000
PA
USD
1114388.50000000
0.165487845616
Long
DBT
MUN
US
N
2
2036-07-01
Fixed
5.25000000
N
N
N
N
N
N
North Broward Hospital District
549300HZL14T4Q7UDP41
NORTH BROWARD FL HOSP DIST
657883DE1
3590000.00000000
PA
USD
3658746.35000000
0.543327619692
Long
DBT
MUN
US
N
2
2031-01-01
Fixed
5.00000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PML6
195000.00000000
PA
USD
195000.00000000
0.028957701820
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
5.00000000
N
N
N
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204EL63
7130000.00000000
PA
USD
7210079.88000000
1.070704324445
Long
DBT
MUN
US
N
2
2032-05-15
Fixed
5.00000000
N
N
N
N
N
N
St Lucie County School Board
N/A
SAINT LUCIE CNTY FL SCH DIST SALES TAX REVENUE
79207QCS4
1565000.00000000
PA
USD
1565000.00000000
0.232404119738
Long
DBT
MUN
US
N
2
2023-10-01
Fixed
5.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
200376.68000000
0.029756144365
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
12444851.00000000
EUR
13362504.45000000
USD
2023-10-12
200376.68000000
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI HOSP REVENUE
74442CDP6
1000000.00000000
PA
USD
735308.50000000
0.109194073277
Long
DBT
MUN
US
N
2
2040-02-01
Fixed
4.00000000
N
N
N
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204E6R4
100000.00000000
PA
USD
98360.15000000
0.014606584075
Long
DBT
MUN
US
N
2
2027-09-01
Fixed
5.00000000
N
N
N
N
N
N
iShares Core MSCI EAFE ETF
5493009FT582MI7Y3I36
iShares Core MSCI EAFE ETF
46432F842
1345053.00000000
NS
USD
86554160.55000000
12.85338242322
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
72716.76000000
0.010798514120
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6101855.98000000
USD
67270674.00000000
SEK
2023-12-07
72716.76000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-23149.32000000
-0.00343769797
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
8859162.87000000
USD
11997516.00000000
CAD
2023-10-27
-23149.32000000
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
488.74000000
OU
Notional Amount
USD
-70.33000000
-0.00001044407
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-55.70000000
USD
488.74000000
USD
-14.63000000
N
N
N
State of North Carolina
N/A
NORTH CAROLINA ST GRANT ANTICIPATION REVENUE
658268DD6
1850000.00000000
PA
USD
1873366.06000000
0.278196798800
Long
DBT
MUN
US
N
2
2026-03-01
Fixed
5.00000000
N
N
N
N
N
N
New Hampshire Business Finance Authority
N/A
NATIONAL FIN AUTH NH MUNI CTFS
63607WAE4
1975526.86000000
PA
USD
1769889.73000000
0.262830456699
Long
DBT
MUN
US
N
2
2036-10-20
Fixed
4.00000000
N
N
N
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
4400000.00000000
OU
Notional Amount
USD
302409.05000000
0.044908056911
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
4400000.00000000
USD
302409.05000000
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMR3
440000.00000000
PA
USD
435410.36000000
0.064658889099
Long
DBT
MUN
US
N
2
2028-10-01
Fixed
5.00000000
N
N
N
N
N
N
Iowa Finance Authority
549300NQVL49BTHOW391
IOWA ST FIN AUTH MIDWSTRN DISASTER AREA REVENUE
46246SAW5
1000000.00000000
PA
USD
932050.60000000
0.138410478750
Long
DBT
MUN
US
N
2
2050-12-01
Floating
4.00000000
N
N
N
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204E6Y9
100000.00000000
PA
USD
94365.35000000
0.014013352140
Long
DBT
MUN
US
N
2
2034-09-01
Fixed
5.00000000
N
N
N
N
N
N
Parish of St James LA
N/A
SAINT JAMES PARISH LA REVENUE
790103AY1
435000.00000000
PA
USD
441760.07000000
0.065601827606
Long
DBT
MUN
US
N
2
2041-08-01
Floating
5.85000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
21614.42000000
0.003209763740
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
6152181.00000000
AUD
3981882.26000000
USD
2023-11-08
21614.42000000
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BE0
1000000.00000000
PA
USD
709324.90000000
0.105335481784
Long
DBT
MUN
US
N
2
2046-10-01
Fixed
4.00000000
N
N
N
N
N
N
City of Corpus Christi TX Utility System Revenue
N/A
CORPUS CHRISTI TX UTILITY SYSREVENUE
220245XC3
1030000.00000000
PA
USD
1050089.74000000
0.155939413208
Long
DBT
MUN
US
N
2
2026-07-15
Fixed
5.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL66720 ALLIANCE
000000000
41900.00000000
NC
USD
4094790.29000000
0.608080596077
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
S&P 500 Index
SPX INDEX
1.00000000
3850.00000000
USD
2024-07-19
XXXX
595302.29000000
N
N
N
City of Corpus Christi TX Utility System Revenue
N/A
CORPUS CHRISTI TX UTILITY SYSREVENUE
220245WD2
1290000.00000000
PA
USD
1299593.09000000
0.192990918913
Long
DBT
MUN
US
N
2
2024-07-15
Fixed
5.00000000
N
N
N
N
N
N
HTA TRRB Custodial Trust
N/A
HTA TRRB 2005L-745190UR7 ASSURED CUSTODIAL TRUST
40444FAA4
905000.00000000
PA
USD
883250.23000000
0.131163573298
Long
DBT
MUN
US
N
2
2041-07-01
Fixed
5.25000000
N
N
N
N
N
N
City of Kansas City MO
549300EGAE3I3XU7XE19
KANSAS CITY MO SPL OBLG
485106ZA9
1500000.00000000
PA
USD
1553113.80000000
0.230639006736
Long
DBT
MUN
US
N
2
2038-09-01
Fixed
5.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
6269.30000000
0.000930997538
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
547845.00000000
EUR
585690.13000000
USD
2023-10-12
6269.30000000
N
N
N
Tennessee Energy Acquisition Corp
549300OJ2Z8PGEY46K92
TENNESSEE ST ENERGY ACQUISITION CORP GAS REVENUE
880443JF4
5000000.00000000
PA
USD
4988377.50000000
0.740779221604
Long
DBT
MUN
US
N
2
2053-05-01
Floating
5.00000000
N
N
N
N
N
N
Allegheny County Sanitary Authority
N/A
ALLEGHENY CNTY PA SAN AUTH
017357YU2
4365000.00000000
PA
USD
4371525.68000000
0.649176087907
Long
DBT
MUN
US
N
2
2025-12-01
Fixed
5.00000000
N
N
N
N
N
N
Metropolitan Washington Airports Authority Aviation Revenue
N/A
MET WASHINGTON DC ARPTS AUTH ARPT SYS REVENUE
592647FD8
1910000.00000000
PA
USD
1957696.14000000
0.290719902960
Long
DBT
MUN
US
N
2
2030-10-01
Fixed
5.00000000
N
N
N
N
N
N
Port of Seattle WA
549300T9UCDUJ3GZL429
PORT OF SEATTLE WA REVENUE
735389C63
6500000.00000000
PA
USD
6642337.00000000
0.986393919164
Long
DBT
MUN
US
N
2
2027-05-01
Fixed
5.00000000
N
N
N
N
N
N
City of New York NY
549300ABYZD2SFD5JB29
NEW YORK NY
64966QZY9
3385000.00000000
PA
USD
2935050.57000000
0.435858047354
Long
DBT
MUN
US
N
2
2027-08-01
Fixed
1.39600000
N
N
N
N
N
N
City of Detroit MI
549300BQRJP7MKKHOY28
DETROIT MI
2510933G3
2475000.00000000
PA
USD
2510543.48000000
0.372818305134
Long
DBT
MUN
US
N
2
2028-04-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
11207.95000000
0.001664392174
N/A
DFE
NO
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1283648.82000000
USD
13826021.00000000
NOK
2023-12-07
11207.95000000
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI HOSP REVENUE
74442CDM3
1000000.00000000
PA
USD
752250.50000000
0.111709977811
Long
DBT
MUN
US
N
2
2038-02-01
Fixed
4.00000000
N
N
N
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292AN1
600000.00000000
PA
USD
425244.72000000
0.063149281038
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
312038.00000000
PA
USD
279690.46000000
0.041534322783
Long
DBT
MUN
US
N
2
2033-07-01
Fixed
4.00000000
N
N
N
N
N
N
Moon Industrial Development Authority
549300CGX4T1GTNHL435
MOON INDL DEV AUTH PA REVENUE
61543RAQ9
1095000.00000000
PA
USD
1042670.39000000
0.154837632054
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
5.12500000
N
N
N
N
N
N
Johnstown Plaza Metropolitan District
N/A
JOHNSTOWN PLAZA MET DIST CO
479706AA1
588000.00000000
PA
USD
443053.53000000
0.065793907755
Long
DBT
MUN
US
N
2
2046-12-01
Fixed
4.25000000
N
N
N
N
N
N
New Jersey Transportation Trust Fund Authority
549300YUVD5TEXR6L889
NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
6461365F4
1570000.00000000
PA
USD
1622166.39000000
0.240893387819
Long
DBT
MUN
US
N
2
2034-06-15
Fixed
5.00000000
N
N
N
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI HOSP REVENUE
74442CED2
1000000.00000000
PA
USD
880119.80000000
0.130698701203
Long
DBT
MUN
US
N
2
2032-02-01
Fixed
5.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
25788.80000000
0.003829663490
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
713064.00000000
EUR
779951.26000000
USD
2023-10-12
25788.80000000
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
2900000.00000000
OU
Notional Amount
USD
277451.41000000
0.041201821540
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
2900000.00000000
USD
277451.41000000
N
N
N
Puerto Rico Sales Tax Financing Corp Sales Tax Revenue
N/A
PUERTO RICO SALES TAX FING CORP SALES TAX REVENUE
74529JQB4
578000.00000000
PA
USD
559543.82000000
0.083092836384
Long
DBT
MUN
US
N
2
2024-07-01
None
0.00000000
N
N
N
N
N
N
Parish of St John the Baptist LA
N/A
SAINT JOHN THE BAPTIST PARISH LA REVENUE
79020FAX4
1570000.00000000
PA
USD
1540876.50000000
0.228821755021
Long
DBT
MUN
US
N
2
2037-06-01
Floating
2.10000000
N
N
N
N
N
N
New York State Dormitory Authority
549300C8XO7EXTX2XU71
NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE
64990EQQ3
2340000.00000000
PA
USD
2347927.45000000
0.348669656375
Long
DBT
MUN
US
N
2
2029-03-15
Fixed
5.00000000
N
N
N
N
N
N
City of Bridgeport CT
N/A
BRIDGEPORT CT
108152AL3
2015000.00000000
PA
USD
2097837.05000000
0.311530973137
Long
DBT
MUN
US
N
2
2030-11-01
Fixed
5.00000000
N
N
N
N
N
N
Sumter County Industrial Development Authority/AL
N/A
SUMTER CNTY AL INDL DEV AUTH EXEMPT FACS REVENUE
86651LAA2
1250000.00000000
PA
USD
877981.50000000
0.130381161440
Long
DBT
MUN
US
N
2
2052-07-15
Floating
6.00000000
N
N
N
N
N
N
City of Bridgeport CT
N/A
BRIDGEPORT CT
108152AM1
1335000.00000000
PA
USD
1389726.46000000
0.206375817644
Long
DBT
MUN
US
N
2
2031-11-01
Fixed
5.00000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE
59261AQA8
4340000.00000000
PA
USD
4485682.95000000
0.666128560652
Long
DBT
MUN
US
N
2
2030-11-15
Fixed
5.00000000
N
N
N
N
N
N
Comanche County Hospital Authority
N/A
COMANCHE CNTY OK HOSP AUTH REVENUE
199875HK4
1000000.00000000
PA
USD
980351.10000000
0.145583152990
Long
DBT
MUN
US
N
2
2026-07-01
Fixed
5.00000000
N
N
N
N
N
N
Michigan Finance Authority
54930022O46HOX5J1D14
MICHIGAN ST FIN AUTH REVENUE
59447PZF1
10115000.00000000
PA
USD
10160852.31000000
1.508897084281
Long
DBT
MUN
US
N
2
2024-07-01
Fixed
5.00000000
N
N
N
N
N
N
Mississippi Development Bank
549300122LOI8CB50V38
MISSISSIPPI DEV BK SPL OBLIG
60534XLT1
1100000.00000000
PA
USD
925691.69000000
0.137466174034
Long
DBT
MUN
US
N
2
2035-10-01
Fixed
4.00000000
N
N
N
N
N
N
New York City Transitional Finance Authority Future Tax Secured Revenue
N/A
NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE
64971WBB5
1155000.00000000
PA
USD
1160049.66000000
0.172268575134
Long
DBT
MUN
US
N
2
2029-11-01
Fixed
5.00000000
N
N
N
N
N
N
Via Metropolitan Transit
549300JAPHDC9HLZQY91
VIA MET TRANSIT AUTH TX SALES TAX REVENUE
92555RAG1
2580000.00000000
PA
USD
2598590.45000000
0.385893371305
Long
DBT
MUN
US
N
2
2024-07-15
Fixed
5.00000000
N
N
N
N
N
N
Connecticut State Health & Educational Facilities Authority
549300ZOQJ5U8YBS5Q35
CONNECTICUT ST HLTH & EDUCTNL FACS AUTH REVENUE
20775DUX8
3380000.00000000
PA
USD
3257115.71000000
0.483685053974
Long
DBT
MUN
US
N
2
2048-07-01
Floating
2.80000000
N
N
N
N
N
N
County of Cuyahoga OH
549300GHDK9DGLUNJU89
CUYAHOGA CNTY OH HOSP REVENUE
2322655F1
1500000.00000000
PA
USD
1507197.30000000
0.223820358964
Long
DBT
MUN
US
N
2
2025-02-15
Fixed
5.00000000
N
N
N
N
N
N
Comanche County Hospital Authority
N/A
COMANCHE CNTY OK HOSP AUTH REVENUE
199875HM0
1000000.00000000
PA
USD
971649.90000000
0.144291015785
Long
DBT
MUN
US
N
2
2028-07-01
Fixed
5.00000000
N
N
N
N
N
N
City of Atlanta GA Department of Aviation
N/A
ATLANTA GA ARPT REVENUE
04780MXU8
640000.00000000
PA
USD
688443.65000000
0.102234594548
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
5.00000000
N
N
N
N
N
N
Indiana Finance Authority
549300PS0PAS7NDSSI20
INDIANA ST FIN AUTH HOSP REVENUE
45471ANY4
3000000.00000000
PA
USD
2771269.80000000
0.411536433499
Long
DBT
MUN
US
N
2
2040-12-01
Fixed
4.00000000
N
N
N
N
N
N
Michigan Strategic Fund
N/A
MICHIGAN ST STRATEGIC FUND LTD OBLG REVENUE
594698QP0
1090000.00000000
PA
USD
1108869.97000000
0.164668338199
Long
DBT
MUN
US
N
2
2033-06-30
Fixed
5.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
6874.55000000
0.001020877789
N/A
DFE
NZ
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
783570.25000000
USD
1318831.00000000
NZD
2023-10-27
6874.55000000
N
N
N
Wisconsin Health & Educational Facilities Authority
549300ISNGXS0VHGVD41
WISCONSIN ST HLTH & EDUCTNL FACS AUTH REVENUE
97712JGW7
1000000.00000000
PA
USD
1020519.40000000
0.151548187113
Long
DBT
MUN
US
N
2
2054-08-15
Floating
5.00000000
N
N
N
N
N
N
Arizona Industrial Development Authority
N/A
ARIZONA ST INDL DEV AUTH NATIONAL CHRT SCH REVOLVING LOAN FD
04052FBR5
600000.00000000
PA
USD
538003.80000000
0.079894121121
Long
DBT
MUN
US
N
2
2038-11-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-19310.84000000
-0.00286767972
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
510831.15000000
USD
73265804.00000000
JPY
2023-10-19
-19310.84000000
N
N
N
Metropolitan Nashville Airport Authority/The
549300IC0HNF8TDXEE63
MET NASHVILLE TN ARPT AUTH ARPT REVENUE
592190NX6
1205000.00000000
PA
USD
1247407.20000000
0.185241260237
Long
DBT
MUN
US
N
2
2032-07-01
Fixed
5.00000000
N
N
N
N
N
N
California Community Choice Financing Authority
549300X8VKJ215S2R571
CALIFORNIA CMNTY CHOICE FING AUTH CLEAN ENERGY PROJ REVENUE
13013JCM6
3070000.00000000
PA
USD
3062759.10000000
0.454822896234
Long
DBT
MUN
US
N
2
2054-01-01
Floating
5.25000000
N
N
N
N
N
N
City Of South Miami Health Facilities Authority Inc
N/A
S MIAMI FL HLTH FACS AUTH
838810DQ9
3550000.00000000
PA
USD
3680254.12000000
0.546521545797
Long
DBT
MUN
US
N
2
2027-08-15
Fixed
5.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-114578.18000000
-0.01701497831
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
9914861.00000000
NZD
5827919.60000000
USD
2023-10-27
-114578.18000000
N
N
N
BAYLOR SCOTT & WHITE HOL
549300JQDKSBWYRGGV95
Baylor Scott & White Holdings
072863AG8
1075000.00000000
PA
USD
960007.25000000
0.142562070210
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
0.82700000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE
59261AG35
1355000.00000000
PA
USD
1260195.26000000
0.187140300382
Long
DBT
MUN
US
N
2
2045-11-15
Fixed
4.75000000
N
N
N
N
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
Long: IS1FYQ6 IRS USD R V 12MUSCPI IS1FYR7 INFLATIONZERO / Short: IS1FYQ6 IRS USD P F 1.99500 IS1FYQ6 INFLATIONZERO
000000000
33000000.00000000
OU
Notional Amount
USD
4024290.60000000
0.597611319147
N/A
DIR
US
N
2
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
Inflation based on US CPI Urban Consumers NSA
2024-07-20
0.00000000
USD
0.00000000
USD
33000000.00000000
USD
4024290.60000000
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
323552.88000000
OU
Notional Amount
USD
-46559.26000000
-0.00691409829
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-29782.80000000
USD
323552.88000000
USD
-16776.46000000
N
N
N
State of Colorado
N/A
COLORADO ST COPS
196711UZ6
3000000.00000000
PA
USD
3388182.00000000
0.503148533689
Long
DBT
MUN
US
N
2
2041-12-15
Fixed
6.00000000
N
N
N
N
N
N
State of Wisconsin
549300VTAT608CNZ5827
WISCONSIN ST
97705MTD7
750000.00000000
PA
USD
809155.95000000
0.120160496032
Long
DBT
MUN
US
N
2
2035-05-01
Fixed
5.00000000
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3R6
325491.00000000
PA
USD
191833.39000000
0.028487456958
Long
DBT
MUN
US
N
2
2033-07-01
None
0.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
21651.80000000
0.003215314709
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
251489879.00000000
JPY
1708828.84000000
USD
2023-10-19
21651.80000000
N
N
N
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
HANG SENG IDX FUT OCT23
000000000
-5.00000000
NC
8226.23000000
0.001221603668
N/A
DE
HK
N
1
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
Short
HKG Hang Seng Index Futures
HIV3 Index
2023-10-30
-4515399.60000000
HKD
8226.23000000
N
N
N
Chicago Board of Education
54930099NR6T9V7LVB43
CHICAGO IL BRD OF EDU
167505WZ5
270000.00000000
PA
USD
273521.58000000
0.040618237718
Long
DBT
MUN
US
N
2
2030-12-01
Fixed
5.00000000
N
N
N
N
N
N
City of New York NY
549300ABYZD2SFD5JB29
NEW YORK NY
64966QXM7
2500000.00000000
PA
USD
2466551.75000000
0.366285487698
Long
DBT
MUN
US
N
2
2035-08-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SS2NHV5 IRS USD R F 3.41100 IS2NHV5 CCPOIS / Short: SS2NHV5 IRS USD P V 00MSOFR IS2NHW6 CCPOIS
000000000
5300000.00000000
OU
Notional Amount
USD
-301725.78000000
-0.04480659060
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-04-30
0.00000000
USD
0.00000000
USD
5300000.00000000
USD
-301725.78000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-89359.63000000
-0.01326999754
N/A
DFE
XX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
2146493.16000000
USD
1945029.00000000
EUR
2023-10-12
-89359.63000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
E-MINI RUSS 2000 DEC23
000000000
125.00000000
NC
USD
-461493.14000000
-0.06853220892
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME E-mini Russell 2000 Index Futures
RTYZ3 Index
2023-12-15
11702743.14000000
USD
-461493.14000000
N
N
N
New York Liberty Development Corp
N/A
NEW YORK ST LIBERTY DEV CORP LIBERTY REVENUE
649519DF9
855000.00000000
PA
USD
741299.45000000
0.110083735552
Long
DBT
MUN
US
N
2
2069-09-15
Fixed
2.45000000
N
N
N
N
N
N
American Samoa Economic Development Authority
N/A
AMERICAN SAMOA AS ECON DEV AUTH GEN REVENUE
02936TAF8
400000.00000000
PA
USD
413880.48000000
0.061461679636
Long
DBT
MUN
US
N
2
2028-09-01
Fixed
6.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL73775 ALLIANCE
000000000
70000.00000000
NC
361871.49000000
0.053738290793
N/A
DE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
Nikkei 225 Index
NKY INDEX
1.00000000
26500.00000000
JPY
2024-09-13
XXXX
41416.41000000
N
N
N
Franklin County School District No 1 Pasco
N/A
FRANKLIN CNTY WA SCH DIST #1 PASCO
353442ZY5
8615000.00000000
PA
USD
8726474.65000000
1.295890517223
Long
DBT
MUN
US
N
2
2025-12-01
Fixed
5.00000000
N
N
N
N
N
N
New Jersey Turnpike Authority
5493005YN67D71KSMI84
NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE
646140DS9
1225000.00000000
PA
USD
1038212.74000000
0.154175666416
Long
DBT
MUN
US
N
2
2029-01-01
Fixed
1.71300000
N
N
N
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BL4
1700000.00000000
PA
USD
1253768.53000000
0.186185924326
Long
DBT
MUN
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
47399.55000000
0.007038882232
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
550555055.00000000
JPY
3740923.34000000
USD
2023-10-19
47399.55000000
N
N
N
Howard Bend Levee District
N/A
HOWARD BEND MO LEVEE DIST
442499CE7
155000.00000000
PA
USD
155772.86000000
0.023132430931
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
423407.00000000
PA
USD
427754.16000000
0.063521935475
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
5.37500000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT DEC23
000000000
142.00000000
NC
USD
-1238265.55000000
-0.18388371575
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term U.S. Treasury Bond Futures
WNZ3 Comdty
2023-12-19
18091890.55000000
USD
-1238265.55000000
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
3500000.00000000
OU
Notional Amount
USD
172004.38000000
0.025542828450
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
3500000.00000000
USD
172004.38000000
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3L9
10820.00000000
PA
USD
9403.14000000
0.001396376022
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
4.00000000
N
N
N
N
N
N
Lendbuzz Securitization Trust
N/A
Lendbuzz Securitization Trust 2023-1
52608LAB6
1908361.52000000
PA
USD
1900424.64000000
0.282215025935
Long
ABS-O
CORP
US
N
2
2028-08-15
Fixed
6.92000000
N
N
N
N
N
N
City of Ashland KY
N/A
ASHLAND KY MED CENTER REVENUE
044293BS6
155000.00000000
PA
USD
159260.42000000
0.023650337200
Long
DBT
MUN
US
N
2
2030-02-01
Fixed
5.00000000
N
N
N
N
N
N
City of Tempe AZ
N/A
TEMPE AZ COPS
87971LAQ8
1475000.00000000
PA
USD
1089879.71000000
0.161848264935
Long
DBT
MUN
US
N
2
2033-07-01
Fixed
2.17100000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XCB8
36919.51000000
PA
USD
38765.49000000
0.005756715386
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Floating
11.42900000
N
N
N
N
N
N
New Jersey Transportation Trust Fund Authority
549300YUVD5TEXR6L889
NEW JERSEY ST TRANSPRTN TRUST FUND AUTH
6461365X5
1250000.00000000
PA
USD
1291533.75000000
0.191794098582
Long
DBT
MUN
US
N
2
2034-06-15
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Education
54930099NR6T9V7LVB43
CHICAGO IL BRD OF EDU
167505XB7
200000.00000000
PA
USD
201500.36000000
0.029923012008
Long
DBT
MUN
US
N
2
2032-12-01
Fixed
5.00000000
N
N
N
N
N
N
2023-10-26
BERNSTEIN SANFORD C FUND INC
Joseph Mantineo
Joseph Mantineo
Treasurer and Chief Financial Officer