0001752724-23-263409.txt : 20231122
0001752724-23-263409.hdr.sgml : 20231122
20231122125539
ACCESSION NUMBER: 0001752724-23-263409
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: 231432112
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
1
primary_doc.xml
NPORT-P
false
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
2023-09-30
2023-09-30
N
180738201.74
1270036.26
179468165.48
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
3440798.44000000
USD
N
19% Russell 3000, 11% MSCI ACWI ex-USA IMI (net)42% Bloomberg 1-10 Year Municipal Bond, and 28% Bloomberg 1-10 Year US Gov Inflation-Linked Bonds
^RUA,NDUEACWZ,B12MTR,LTI1TRUU:IND
City of Detroit MI
549300BQRJP7MKKHOY28
DETROIT MI
2510933H1
1000000.00000000
PA
USD
1012464.50000000
0.564147127314
Long
DBT
MUN
US
N
2
2029-04-01
Fixed
5.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-11009.18000000
-0.00613433584
N/A
DFE
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
728335.97000000
USD
587773.00000000
GBP
2023-11-17
-11009.18000000
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
S+P/TSX 60 IX FUT DEC23
000000000
14.00000000
NC
-88765.98000000
-0.04946057132
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
3414206.39000000
CAD
-88765.98000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
1769.17000000
0.000985784857
N/A
DFE
NZ
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
402482.18000000
USD
674480.00000000
NZD
2023-10-27
1769.17000000
N
N
N
Illinois Finance Authority
549300ZG6UBPNNNRN315
ILLINOIS ST FIN AUTH REVENUE
45204E6X1
100000.00000000
PA
USD
95405.26000000
0.053159990656
Long
DBT
MUN
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286B1
2670000.00000000
PA
USD
2415515.63000000
1.345929860897
Long
DBT
UST
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
California Community Choice Financing Authority
549300X8VKJ215S2R571
CALIFORNIA CMNTY CHOICE FING AUTH CLEAN ENERGY PROJ REVENUE
13013JAX4
1300000.00000000
PA
USD
1259842.87000000
0.701986821245
Long
DBT
MUN
US
N
2
2052-10-01
Floating
4.00000000
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
298866.25000000
0.166528837691
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
298866.25000000
N
N
N
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
OMXS30 IND FUTURE OCT23
000000000
30.00000000
NC
-9106.84000000
-0.00507434840
N/A
DE
SE
N
1
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
Long
OML Stockholm OMXS30 Index Futures
QCV3 Index
2023-10-20
6559047.00000000
SEK
-9106.84000000
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA STWD CMNTYS DEV AUTH REVENUE
13080SWM2
375000.00000000
PA
USD
355936.88000000
0.198328700272
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
1813421.52000000
1.010441888203
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
2140000.00000000
PA
USD
2184772.44000000
1.217359320610
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
569355.84000000
0.317246146957
Long
DBT
MUN
US
N
2
2030-07-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-32394.19000000
-0.01805010371
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2803185.00000000
NZD
1647702.05000000
USD
2023-10-27
-32394.19000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-6904.22000000
-0.00384704439
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
903940.00000000
NZD
534874.57000000
USD
2023-10-27
-6904.22000000
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
37299.33000000
0.020783256963
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
37299.33000000
N
N
N
Guam Power Authority
549300IPOV320QCKW060
GUAM PWR AUTH REVENUE
400653JT9
1000000.00000000
PA
USD
1025093.80000000
0.571184197073
Long
DBT
MUN
US
N
2
2028-10-01
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-79275.49000000
-0.04417245241
N/A
DFE
GB
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
3834280.27000000
USD
3076827.00000000
GBP
2023-11-17
-79275.49000000
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
556219.00000000
0.309926274953
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
556219.00000000
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
2100000.00000000
OU
Notional Amount
USD
-51810.58000000
-0.02886895280
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-07-31
0.00000000
USD
0.00000000
USD
2100000.00000000
USD
-51810.58000000
N
N
N
California Infrastructure & Economic Development Bank
549300C1OG9RDIM8ET06
CALIFORNIA ST INFRASTRUCTURE & ECON DEV BANK REVENUE
13034A2T6
370000.00000000
PA
USD
369506.98000000
0.205889985564
Long
DBT
MUN
US
N
2
2050-01-01
Floating
8.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
17656.18000000
0.009838056767
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
205079934.00000000
JPY
1393481.55000000
USD
2023-10-19
17656.18000000
N
N
N
California Community Choice Financing Authority
549300X8VKJ215S2R571
CALIFORNIA CMNTY CHOICE FING AUTH CLEAN ENERGY PROJ REVENUE
13013JCB0
1000000.00000000
PA
USD
1008655.60000000
0.562024801057
Long
DBT
MUN
US
N
2
2053-07-01
Floating
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-19218.11000000
-0.01070836710
N/A
DFE
CH
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
955416.36000000
USD
852947.00000000
CHF
2023-11-16
-19218.11000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
96768.31000000
0.053919484684
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2244279.00000000
EUR
2470399.54000000
USD
2023-10-12
96768.31000000
N
N
N
California Community Choice Financing Authority
549300X8VKJ215S2R571
CALIFORNIA CMNTY CHOICE FING AUTH CLEAN ENERGY PROJ REVENUE
13013JCC8
1200000.00000000
PA
USD
1192693.32000000
0.664570965446
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
3000000.00000000
OU
Notional Amount
USD
359642.34000000
0.200393389567
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
3000000.00000000
USD
359642.34000000
N
N
N
California Enterprise Development Authority
549300544P6FSHU1HB46
CALIFORNIA ST ENTERPRISE DEV AUTH CHRT SCH REVENUE
13069AAS7
540000.00000000
PA
USD
479909.02000000
0.267406210297
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
943376.60000000
0.525651219243
Long
DBT
MUN
US
N
2
2042-10-01
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
3000000.00000000
OU
Notional Amount
USD
329757.60000000
0.183741556123
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
3000000.00000000
USD
329757.60000000
N
N
N
California Municipal Finance Authority
5493000UQOV6R4ZWS346
CALIFORNIA ST MUNI FIN AUTH REVENUE
13048VBM9
1000000.00000000
PA
USD
1020574.10000000
0.568665811716
Long
DBT
MUN
US
N
2
2029-06-30
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Long: SELS86651 TRS CHF R E SELS86651/SMZ3/EA8KGE4 / Short: SELS86651 TRS CHF P F .00000 SELS86651/SMZ3
000000000
1327654.65000000
OU
Notional Amount
-8100.35000000
-0.00451353028
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
1327654.65000000
CHF
-8100.35000000
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
1600000.00000000
OU
Notional Amount
USD
-73152.12000000
-0.04076049911
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2028-04-20
0.00000000
USD
0.00000000
USD
1600000.00000000
USD
-73152.12000000
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
18083.77000000
OU
Notional Amount
USD
-2602.26000000
-0.00144998417
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
-1647.38000000
USD
18083.77000000
USD
-954.88000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-20324.36000000
-0.01132477169
N/A
DFE
JP
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1348556.00000000
USD
197985633.00000000
JPY
2023-10-19
-20324.36000000
N
N
N
Kalispel Tribe of Indians
N/A
KALISPEL TRIBE OF INDIANS PRIORITY DIST WA REVENUE
48340PAR3
990000.00000000
PA
USD
1010773.86000000
0.563205099520
Long
DBT
MUN
US
N
2
2032-01-01
Fixed
5.00000000
N
N
N
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
5900000.00000000
OU
Notional Amount
USD
-460832.83000000
-0.25677692128
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-04-30
0.00000000
USD
0.00000000
USD
5900000.00000000
USD
-460832.83000000
N
N
N
Territory of Guam
N/A
GUAM GOVT HOTEL OCCUPANCY TAX REVENUE
40065KAV5
1000000.00000000
PA
USD
928053.50000000
0.517113159048
Long
DBT
MUN
US
N
2
2040-11-01
Fixed
5.00000000
N
N
N
N
N
N
California Educational Facilities Authority
N/A
CALIFORNIA ST EDUCTNL FACS AUTH REVENUE
1301786S0
2000000.00000000
PA
USD
2052455.60000000
1.143632128021
Long
DBT
MUN
US
N
2
2027-11-01
Fixed
5.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
3523.62000000
0.001963367704
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
404430.00000000
CAD
301381.02000000
USD
2023-10-27
3523.62000000
N
N
N
California Infrastructure & Economic Development Bank
549300C1OG9RDIM8ET06
CALIFORNIA ST INFRASTRUCTURE & ECON DEV BANK REVENUE
13034A2R0
4305000.00000000
PA
USD
4278701.62000000
2.384100605562
Long
DBT
MUN
US
N
2
2050-01-01
Floating
3.65000000
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
1048889.47000000
0.584443189238
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
2370076.02000000
1.320610824577
Long
DBT
MUN
US
N
2
2026-03-01
Fixed
5.00000000
N
N
N
N
N
N
California Community Housing Agency
N/A
CALIFORNIA CMNTY HSG AGY ESSENTIAL HSG REVENUE
13013FBC7
595000.00000000
PA
USD
414317.78000000
0.230858647767
Long
DBT
MUN
US
N
2
2050-02-01
Fixed
4.00000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063D3R7
1000000.00000000
PA
USD
1040332.30000000
0.579675117989
Long
DBT
MUN
US
N
2
2033-03-01
Fixed
6.00000000
N
N
N
N
N
N
Capital Trust Agency Inc
549300F49UWS7X0OGQ59
CAPITAL TRUST AGY FL EDUCTNL FACS LEASE REVENUE
14054DAD9
100000.00000000
PA
USD
97724.03000000
0.054452013669
Long
DBT
MUN
US
N
2
2026-12-15
Fixed
5.00000000
N
N
N
N
N
N
University of California
N/A
UNIV OF CALIFORNIA CA REVENUES
91412HNW9
1500000.00000000
PA
USD
1415326.05000000
0.788622342137
Long
DBT
MUN
US
N
2
2033-05-15
Fixed
4.69300000
N
N
N
N
N
N
California Community Choice Financing Authority
549300X8VKJ215S2R571
CALIFORNIA CMNTY CHOICE FING AUTH CLEAN ENERGY PROJ REVENUE
13013JBL9
2130000.00000000
PA
USD
2145209.27000000
1.195314647732
Long
DBT
MUN
US
N
2
2053-12-01
Floating
5.00000000
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3G0
750000.00000000
PA
USD
769622.70000000
0.428835218737
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
1472082.20000000
0.820246975870
Long
DBT
MUN
US
N
2
2034-11-01
Fixed
2.27400000
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
49852.54000000
OU
Notional Amount
USD
-7173.78000000
-0.00399724373
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-4464.47000000
USD
49852.54000000
USD
-2709.31000000
N
N
N
City of Ashland KY
N/A
ASHLAND KY MED CENTER REVENUE
044293BT4
100000.00000000
PA
USD
100760.32000000
0.056143840179
Long
DBT
MUN
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
28294.87000000
0.015765954883
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2374296.90000000
USD
26175733.00000000
SEK
2023-12-07
28294.87000000
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
60116.31000000
OU
Notional Amount
USD
-8650.74000000
-0.00482020862
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
-7065.23000000
USD
60116.31000000
USD
-1585.51000000
N
N
N
City of Fremont CA Community Facilities District No 1
N/A
FREMONT CA CMNTY FACS DIST #1
357129BZ7
1505000.00000000
PA
USD
1523559.96000000
0.848930480748
Long
DBT
MUN
US
N
2
2028-09-01
Fixed
5.00000000
N
N
N
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BK6
1000000.00000000
PA
USD
662978.40000000
0.369412813813
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
1008262.80000000
0.561805932157
Long
DBT
MUN
US
N
2
2026-01-01
Fixed
5.00000000
N
N
N
N
N
N
California Health Facilities Financing Authority
5493007RI8BUDOGHZ546
CALIFORNIA ST HLTH FACS FING AUTH REVENUE
13032UWW4
1850000.00000000
PA
USD
1774493.92000000
0.988751356127
Long
DBT
MUN
US
N
2
2035-04-01
Fixed
4.00000000
N
N
N
N
N
N
Puerto Rico Commonwealth Aqueduct & Sewer Authority
N/A
PUERTO RICO CMWLTH AQUEDUCT & SWR AUTH REVENUE
745160SH5
250000.00000000
PA
USD
244552.33000000
0.136265019116
Long
DBT
MUN
US
N
2
2035-07-01
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
1735327.53000000
0.966927769812
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 DEC23
000000000
117.00000000
NC
USD
-970589.65000000
-0.54081438198
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
26274764.65000000
USD
-970589.65000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO STOXX 50 DEC23
000000000
150.00000000
NC
-56491.20000000
-0.03147700309
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex EURO STOXX 50 Futures
VGZ3 Index
2023-12-15
6337695.42000000
EUR
-56491.20000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
19353.44000000
0.010783773238
N/A
DFE
NZ
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2202521.59000000
USD
3707125.00000000
NZD
2023-10-27
19353.44000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
53488.01000000
0.029803619966
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
3321995.00000000
EUR
3566950.94000000
USD
2023-10-12
53488.01000000
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3J4
100000.00000000
PA
USD
104432.11000000
0.058189768486
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
2840281.66000000
1.582610293253
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
1955588.00000000
1.089657318761
Long
DBT
MUN
US
N
2
2056-04-01
Floating
4.28000000
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
92362.79000000
0.051464720638
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
92362.79000000
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMQ5
245000.00000000
PA
USD
242557.45000000
0.135153468221
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
2162960.94000000
1.205205911708
Long
DBT
MUN
US
N
2
2025-07-01
Fixed
5.00000000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
NIKKEI 225 (OSE) DEC23
000000000
3.00000000
NC
-18106.12000000
-0.01008876418
N/A
DE
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
OSE Nikkei 225 Index Futures
NKZ3 Index
2023-12-07
98141194.00000000
JPY
-18106.12000000
N
N
N
Alliance Bernstein
5493006YWHO7MNK2U579
AB Fixed Income Shares, Inc. - Government Money Market Portfolio
018616748
11321657.52000000
NS
USD
11321657.52000000
6.308448904974
Long
STIV
RF
US
N
1
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
2600000.00000000
OU
Notional Amount
USD
-82247.95000000
-0.04582871273
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-07-31
0.00000000
USD
0.00000000
USD
2600000.00000000
USD
-82247.95000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2103.85000000
0.001172269184
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
160563.00000000
EUR
171921.13000000
USD
2023-10-12
2103.85000000
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
9775.01000000
OU
Notional Amount
USD
-1406.63000000
-0.00078377688
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-898.70000000
USD
9775.01000000
USD
-507.93000000
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
3815000.00000000
OU
Notional Amount
USD
462396.31000000
0.257648095283
N/A
DIR
US
N
2
Citibank NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2029-10-09
0.00000000
USD
0.00000000
USD
3815000.00000000
USD
462396.31000000
N
N
N
City of Ashland KY
N/A
ASHLAND KY MED CENTER REVENUE
044293BP2
140000.00000000
PA
USD
141991.92000000
0.079118165397
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
-20.00000000
NC
64671.49000000
0.036035076096
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
-3620080.25000000
AUD
64671.49000000
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
7000000.00000000
OU
Notional Amount
USD
874398.00000000
0.487216213338
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
7000000.00000000
USD
874398.00000000
N
N
N
Sacramento County Water Financing Authority
N/A
SACRAMENTO CNTY CA WTR FING AUTH REVENUE
78615RCV3
1450000.00000000
PA
USD
1187585.53000000
0.661724895233
Long
DBT
MUN
US
N
2
2039-06-01
Floating
4.37000000
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
64026.33000000
OU
Notional Amount
USD
-9213.39000000
-0.00513371826
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-5568.99000000
USD
64026.33000000
USD
-3644.40000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL67682 ALLIANCE
000000000
300.00000000
NC
36879.91000000
0.020549555349
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
-6751.82000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-974.70000000
-0.00054310467
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
234919.00000000
NZD
139824.61000000
USD
2023-10-27
-974.70000000
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
122676.39000000
OU
Notional Amount
USD
-17653.13000000
-0.00983635730
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-13889.56000000
USD
122676.39000000
USD
-3763.57000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
16620.23000000
0.009260823475
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2345865.00000000
CAD
1744319.11000000
USD
2023-10-27
16620.23000000
N
N
N
Territory of Guam
N/A
GUAM GOVT LTD OBLG REVENUE
40065HDN7
225000.00000000
PA
USD
225915.28000000
0.125880419736
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
13013JDC7
1000000.00000000
PA
USD
993122.30000000
0.553369617025
Long
DBT
MUN
US
N
2
2054-02-01
Floating
5.22800000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL69127 ALLIANCE
000000000
1420.00000000
NC
168086.25000000
0.093657975246
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
21265.94000000
N
N
N
California Housing Finance Agency
549300BOPCVLBA552Z14
CALIFORNIA HSG FIN AGY MUNI CTFS
13033DAH8
975139.98000000
PA
USD
48003.02000000
0.026747373202
Long
DBT
MUN
US
N
2
2035-03-25
Variable
0.84100000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-5959.17000000
-0.00332046075
N/A
DFE
AU
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
893457.28000000
USD
1378707.00000000
AUD
2023-11-08
-5959.17000000
N
N
N
Metropolitan Water District of Southern California
5493003GD0S0P56RLT45
MET WTR DIST OF STHRN CA WTRWKS REVENUE
59266TNJ6
1000000.00000000
PA
USD
996741.80000000
0.555386409246
Long
DBT
MUN
US
N
2
2037-07-01
Floating
4.12000000
N
N
N
N
N
N
Newport Mesa Unified School District
N/A
NEWPORT MESA CA UNIF SCH DIST
652113YM7
510000.00000000
PA
USD
516202.72000000
0.287629128330
Long
DBT
MUN
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-206626.52000000
-0.11513268631
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
5465907.52000000
USD
783946147.00000000
JPY
2023-10-19
-206626.52000000
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMN2
225000.00000000
PA
USD
223026.44000000
0.124270752644
Long
DBT
MUN
US
N
2
2025-10-01
Fixed
5.00000000
N
N
N
N
N
N
California Housing Finance Agency
549300BOPCVLBA552Z14
CALIFORNIA HSG FIN AGY MUNI CTFS
13033DAE5
2551477.65000000
PA
USD
2237501.74000000
1.246740185935
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
67830.95000000
0.037795533162
Long
DBT
MUN
US
N
2
2031-10-01
None
0.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
3606.82000000
0.002009726900
N/A
DFE
SE
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
404433.62000000
USD
4445515.00000000
SEK
2023-12-07
3606.82000000
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292AL5
700000.00000000
PA
USD
496259.96000000
0.276516984877
Long
DBT
MUN
US
N
2
2046-10-01
Fixed
3.50000000
N
N
N
N
N
N
Anaheim Housing & Public Improvements Authority
N/A
ANAHEIM CA HSG & PUBLIC IMPT AUTH REVENUE
032556GY2
1150000.00000000
PA
USD
925760.70000000
0.515835606567
Long
DBT
MUN
US
N
2
2032-10-01
Fixed
2.79200000
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
4000000.00000000
OU
Notional Amount
USD
511629.88000000
0.285081133264
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
4000000.00000000
USD
511629.88000000
N
N
N
SPDR S&P 500 ETF Trust
549300NZAMSJ8FXPQQ63
SPDR S&P 500 ETF Trust
78462F103
45594.00000000
NS
USD
19490523.12000000
10.86015621091
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
995000.00000000
PA
USD
696500.00000000
0.388091112502
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
0.054409839059
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
1958466.22000000
1.091261068369
Long
DBT
MUN
US
N
2
2024-03-01
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
1726883.46000000
0.962222718096
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
496607.02000000
0.276710367363
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
5.00000000
N
N
N
N
N
N
Territory of Guam
N/A
GUAM GOVT BUSINESS PRIVILEGE TAX REVENUE
40065NCC9
840000.00000000
PA
USD
827883.67000000
0.461298341009
Long
DBT
MUN
US
N
2
2031-11-15
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
0.573395452752
Long
DBT
MUN
US
N
2
2054-05-01
Floating
5.50000000
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
1010000.00000000
OU
Notional Amount
USD
-51640.66000000
-0.02877427306
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-04-30
0.00000000
USD
0.00000000
USD
1010000.00000000
USD
-51640.66000000
N
N
N
California Housing Finance Agency
549300BOPCVLBA552Z14
CALIFORNIA HSG FIN AGY MUNI CTFS
13033DAC9
2090102.52000000
PA
USD
1988440.98000000
1.107963061126
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
797412DC4
500000.00000000
PA
USD
503752.70000000
0.280691953724
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
3700000.00000000
OU
Notional Amount
USD
658142.09000000
0.366718012768
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
3700000.00000000
USD
658142.09000000
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA ST STWD CMNTYS DEV AUTH CLG HSG REVENUE
13081CAB4
215000.00000000
PA
USD
211928.25000000
0.118086820263
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
28111.14000000
PA
USD
28954.47000000
0.016133485246
Long
ABS-MBS
USGSE
US
N
2
2025-05-25
Floating
9.42900000
N
N
N
N
N
N
California Infrastructure & Economic Development Bank
549300C1OG9RDIM8ET06
CALIFORNIA ST INFRASTRUCTURE & ECON DEV BANK REVENUE
13034AQ45
2000000.00000000
PA
USD
1981005.80000000
1.103820164819
Long
DBT
MUN
US
N
2
2047-08-01
Floating
4.33000000
N
N
N
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3Q8
93503.00000000
PA
USD
90324.56000000
0.050329015041
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
2000000.00000000
PA
USD
2033386.20000000
1.133006622406
Long
DBT
MUN
US
N
2
2030-06-30
Fixed
5.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
651.80000000
0.000363184188
N/A
DFE
NZ
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
148283.13000000
USD
248493.00000000
NZD
2023-10-27
651.80000000
N
N
N
Puerto Rico Highway & Transportation Authority
549300J6QBXVWJXB7Y41
PUERTO RICO CMWLTH HIGHWAY & TRANSPRTN AUTH RESTRUCTURED TOL
745197AB9
225000.00000000
PA
USD
145125.00000000
0.080863923477
Long
DBT
MUN
US
N
2
2032-07-01
None
0.00000000
N
N
N
N
N
N
Parish of St James LA
N/A
SAINT JAMES PARISH LA REVENUE
790103AU9
110000.00000000
PA
USD
116074.09000000
0.064676701681
Long
DBT
MUN
US
N
2
2038-06-01
Floating
6.10000000
N
N
N
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
3800000.00000000
OU
Notional Amount
USD
-36209.02000000
-0.02017573417
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.HY.S41
2I65BRZP8
Y
buy protection
2028-12-20
0.00000000
USD
-36422.70000000
USD
3800000.00000000
USD
213.68000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
4471.59000000
0.002491578374
N/A
DFE
NO
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
512132.30000000
USD
5516113.00000000
NOK
2023-12-07
4471.59000000
N
N
N
Vauxmont Metropolitan District
549300M7XL6MB0OW8D56
VAUXMONT MET DIST CO
92242SBE2
100000.00000000
PA
USD
100603.70000000
0.056056571220
Long
DBT
MUN
US
N
2
2050-12-01
Fixed
5.00000000
N
N
N
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
MSCI SING IX ETS OCT23
000000000
10.00000000
NC
3113.70000000
0.001734959507
N/A
DE
SG
N
1
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Long
SGX MSCI Singapore Index Futures
QZV3 Index
2023-10-30
280842.21000000
SGD
3113.70000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-2798.49000000
-0.00155932390
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
674480.00000000
NZD
401452.86000000
USD
2023-10-27
-2798.49000000
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA ST STWD CMNTYS DEV AUTH CLG HSG REVENUE
13081CAA6
40000.00000000
PA
USD
40043.26000000
0.022312179930
Long
DBT
MUN
US
N
2
2024-07-01
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
463770.18000000
0.258413618236
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
280000.00000000
PA
USD
215037.00000000
0.119819021621
Long
DBT
MUN
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-6226.72000000
-0.00346954011
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2382942.91000000
USD
3227099.00000000
CAD
2023-10-27
-6226.72000000
N
N
N
California Housing Finance Agency
549300BOPCVLBA552Z14
CALIFORNIA HSG FIN AGY MUNI CTFS
13033DAG0
1950313.29000000
PA
USD
1803953.00000000
1.005166011016
Long
DBT
MUN
US
N
2
2035-03-25
Fixed
3.75000000
N
N
N
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
3674598.11000000
2.047492991401
Long
DBT
MUN
US
N
2
2030-05-15
Fixed
5.00000000
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
3100000.00000000
OU
Notional Amount
USD
24208.09000000
0.013488793366
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
3100000.00000000
USD
24208.09000000
N
N
N
City of Roseville CA
549300OH100KESVPND17
ROSEVILLE CA SPL TAX
777870XT8
1000000.00000000
PA
USD
1021699.60000000
0.569292942437
Long
DBT
MUN
US
N
2
2031-09-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)DEC23
000000000
130.00000000
NC
USD
-253774.45000000
-0.14140360175
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 10 Year U.S. Treasury Notes
TYZ3 Comdty
2023-12-19
14301899.45000000
USD
-253774.45000000
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BS9
500000.00000000
PA
USD
374453.50000000
0.208646195830
Long
DBT
MUN
US
N
2
2043-07-01
Fixed
3.37500000
N
N
N
N
N
N
Bay Area Toll Authority
5493001FUZGUQMIP5D78
BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE
072024XU1
2000000.00000000
PA
USD
1949393.60000000
1.086205787408
Long
DBT
MUN
US
N
2
2056-04-01
Floating
4.39000000
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
1600000.00000000
OU
Notional Amount
USD
-29385.40000000
-0.01637360025
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-07-31
0.00000000
USD
0.00000000
USD
1600000.00000000
USD
-29385.40000000
N
N
N
California Health Facilities Financing Authority
5493007RI8BUDOGHZ546
CALIFORNIA ST HLTH FACS FING AUTH REVENUE
13032URD2
900000.00000000
PA
USD
944966.88000000
0.526537326256
Long
DBT
MUN
US
N
2
2030-11-15
Fixed
5.00000000
N
N
N
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA STWD CMNTYS DEV AUTH REVENUE
13080SVH4
500000.00000000
PA
USD
495803.10000000
0.276262421624
Long
DBT
MUN
US
N
2
2028-12-01
Fixed
5.00000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
2872.62000000
0.001600629277
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
817643.00000000
AUD
529203.90000000
USD
2023-11-08
2872.62000000
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMS1
100000.00000000
PA
USD
98677.62000000
0.054983355814
Long
DBT
MUN
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
Parish of St James LA
N/A
SAINT JAMES PARISH LA REVENUE
790103AX3
100000.00000000
PA
USD
105521.90000000
0.058797001528
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
615000.00000000
PA
USD
455929.88000000
0.254044988302
Long
DBT
MUN
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-4171.90000000
-0.00232459054
N/A
DFE
AU
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
1792977.79000000
USD
2778867.00000000
AUD
2023-11-08
-4171.90000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P MID 400 EMINI DEC23
000000000
9.00000000
NC
USD
-73080.08000000
-0.04072035829
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
2341440.08000000
USD
-73080.08000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-32858.47000000
-0.01830880140
N/A
DFE
XX
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1296277.10000000
USD
1194568.00000000
EUR
2023-10-12
-32858.47000000
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
4438.19000000
0.002472967831
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
30090013.00000000
JPY
206303.88000000
USD
2023-10-19
4438.19000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) DEC23
000000000
51.00000000
NC
USD
-19633.49000000
-0.01093981762
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
10357891.33000000
USD
-19633.49000000
N
N
N
City of Sparks NV
N/A
SPARKS NV TOURISM IMPT DIST #1 REVENUE
846562AD8
410000.00000000
PA
USD
374554.80000000
0.208702640380
Long
DBT
MUN
US
N
2
2028-06-15
Fixed
2.75000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-15607.90000000
-0.00869675129
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
3200612.00000000
AUD
2044682.71000000
USD
2023-11-08
-15607.90000000
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAM6
22400.27000000
PA
USD
22595.46000000
0.012590232891
Long
ABS-MBS
USGSE
US
N
2
2024-07-25
Floating
8.32900000
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
654256.80000000
0.364553121858
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
654256.80000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-2789.77000000
-0.00155446510
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
881234.00000000
CAD
646227.54000000
USD
2023-10-27
-2789.77000000
N
N
N
Ohio Air Quality Development Authority
549300DZUU80AYOR6M80
OHIO ST AIR QUALITY DEV AUTH EXEMPT FACS REVENUE
67754AAC8
590000.00000000
PA
USD
578077.10000000
0.322105649463
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
232431.94000000
0.129511514968
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
25.00000000
NC
15229.37000000
0.008485833662
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
1897541.70000000
GBP
15229.37000000
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292AQ4
995000.00000000
PA
USD
695655.64000000
0.387620633519
Long
DBT
MUN
US
N
2
2046-12-01
Fixed
2.65000000
N
N
N
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
36935.46000000
0.020580507914
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
36935.46000000
N
N
N
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
HANG SENG IDX FUT OCT23
000000000
4.00000000
NC
469.24000000
0.000261461412
N/A
DE
HK
N
1
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
Long
HKG Hang Seng Index Futures
HIV3 Index
2023-10-30
3557109.73000000
HKD
469.24000000
N
N
N
City of Roseville CA
549300OH100KESVPND17
ROSEVILLE CA SPL TAX
777870WD4
305000.00000000
PA
USD
310195.46000000
0.172841494852
Long
DBT
MUN
US
N
2
2031-09-01
Fixed
5.00000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-717.97000000
-0.00040005423
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
303579.00000000
AUD
194701.21000000
USD
2023-11-08
-717.97000000
N
N
N
City of Los Angeles Department of Airports
N/A
LOS ANGELES CA DEPT OF ARPTS ARPT REVENUE
544445J83
215000.00000000
PA
USD
220555.58000000
0.122893984796
Long
DBT
MUN
US
N
2
2026-05-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-303570.04000000
-0.16914979834
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
7418847.67000000
USD
6727527.00000000
EUR
2023-10-12
-303570.04000000
N
N
N
California Public Finance Authority
N/A
CALIFORNIA PUBLIC FIN AUTH REVENUE
13057EDH4
1000000.00000000
PA
USD
1032433.50000000
0.575273891744
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
198937.50000000
0.110848349883
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
7000000.00000000
OU
Notional Amount
USD
931499.10000000
0.519033053861
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
7000000.00000000
USD
931499.10000000
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
534121.08000000
0.297613272287
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
534121.08000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
2111.41000000
0.001176481630
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
710081.00000000
CHF
781499.33000000
USD
2023-11-16
2111.41000000
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
14000000.00000000
OU
Notional Amount
USD
1373692.53000000
0.765424066338
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-31
0.00000000
USD
0.00000000
USD
14000000.00000000
USD
1373692.53000000
N
N
N
River Islands Public Financing Authority
N/A
RIVER ISLANDS CA PUBLIC FING AUTH SPL TAX
76827QHC0
1000000.00000000
PA
USD
911292.50000000
0.507773898263
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
175666.44000000
0.097881671398
Long
DBT
MUN
US
N
2
2027-10-01
Fixed
2.89900000
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
1000000.00000000
OU
Notional Amount
USD
55171.06000000
0.030741418597
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
55171.06000000
N
N
N
City of Los Angeles CA
549300E7TO710PTXPJ65
LOS ANGELES CA
544351RJ0
1000000.00000000
PA
USD
1011834.40000000
0.563796034407
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
950000.00000000
PA
USD
714127.92000000
0.397913422745
Long
DBT
MUN
US
N
2
2047-05-01
Fixed
3.60000000
N
N
N
N
N
N
Territory of Guam
N/A
GUAM GOVT
40065BCQ4
85000.00000000
PA
USD
83773.94000000
0.046678997233
Long
DBT
MUN
US
N
2
2031-11-15
Fixed
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
262503.09000000
0.146267216415
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
262503.09000000
N
N
N
Mission Economic Development Corp
N/A
MISSION TX ECON DEV CORP REVENUE
605156AC2
1010000.00000000
PA
USD
966669.59000000
0.538630117165
Long
DBT
MUN
US
N
2
2031-10-01
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac Multifamily
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily ML Certificates
35833JAK3
1243289.13000000
PA
USD
860523.92000000
0.479485549817
Long
ABS-MBS
USGSE
US
N
2
2038-01-25
Fixed
2.03200000
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
264583.60000000
0.147426480508
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
264583.60000000
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PML6
100000.00000000
PA
USD
100000.00000000
0.055720188442
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
220000.00000000
PA
USD
196052.30000000
0.109240711006
Long
DBT
MUN
US
N
2
2027-11-15
Fixed
1.80000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5704.11000000
0.003178340840
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
147607.00000000
EUR
161818.65000000
USD
2023-10-12
5704.11000000
N
N
N
Sacramento County Sanitation Districts Financing Authority
549300MSDPX3EYMUYV38
SACRAMENTO CNTY CA SANTN DISTS FING AUTH REVENUE
786134UR5
2000000.00000000
PA
USD
2018512.60000000
1.124719024458
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
206049.70000000
0.114811281125
Long
DBT
MUN
US
N
2
2032-12-01
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
3910.00000000
OU
Notional Amount
USD
-562.65000000
-0.00031350964
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-445.67000000
USD
3910.00000000
USD
-116.98000000
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
89348.13000000
0.049784946405
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
89348.13000000
N
N
N
Public Finance Authority
5493004S6D3NA627K012
PUBLIC FIN AUTH WI REVENUE
74442PMR3
135000.00000000
PA
USD
133591.82000000
0.074437613847
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
227886.00000000
NS
USD
10845094.74000000
6.042907225910
Long
EC
RF
US
N
1
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292AE1
930000.00000000
PA
USD
749009.82000000
0.417349683157
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
709324.90000000
0.395237170950
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
461536.79000000
0.257169169120
Long
DBT
MUN
US
N
2
2029-07-01
Fixed
5.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL66720 ALLIANCE
000000000
11300.00000000
NC
USD
1104322.92000000
0.615330812039
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
160546.92000000
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
760150.95000000
0.423557541788
Long
DBT
MUN
US
N
2
2027-09-01
Fixed
5.00000000
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
913366KM1
3000000.00000000
PA
USD
3196869.00000000
1.781301431064
Long
DBT
MUN
US
N
2
2039-05-15
Fixed
5.00000000
N
N
N
N
N
N
HTA TRRB Custodial Trust
N/A
HTA TRRB 2005L-745190UR7 ASSURED CUSTODIAL TRUST
40444FAA4
190000.00000000
PA
USD
185433.75000000
0.103324034936
Long
DBT
MUN
US
N
2
2041-07-01
Fixed
5.25000000
N
N
N
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292AN1
400000.00000000
PA
USD
283496.48000000
0.157964772884
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
116523.50000000
0.064927113779
Long
DBT
MUN
US
N
2
2033-07-01
Fixed
4.00000000
N
N
N
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
23460.04000000
OU
Notional Amount
USD
-3375.90000000
-0.00188105784
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-2745.65000000
USD
23460.04000000
USD
-630.25000000
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152XU0
2165000.00000000
PA
USD
2168706.26000000
1.208407214839
Long
DBT
MUN
US
N
2
2025-05-01
Fixed
5.00000000
N
N
N
N
N
N
Territory of Guam
N/A
GUAM GOVT BUSINESS PRIVILEGE TAX REVENUE
40065NBW6
350000.00000000
PA
USD
349154.79000000
0.194549706944
Long
DBT
MUN
US
N
2
2025-11-15
Fixed
5.00000000
N
N
N
N
N
N
California School Finance Authority
N/A
CALIFORNIA ST SCH FIN AUTH CHRT SCH REVENUE
13058TBQ2
460000.00000000
PA
USD
446475.72000000
0.248777112534
Long
DBT
MUN
US
N
2
2028-03-01
Fixed
4.25000000
N
N
N
N
N
N
State Street Bank & Trust Co.
571474TGEMMWANRLN572
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-2712.26000000
-0.00151127638
N/A
DFE
US
N
2
State Street Bank & Trust Co.
571474TGEMMWANRLN572
248493.00000000
NZD
146222.67000000
USD
2023-10-27
-2712.26000000
N
N
N
California Municipal Finance Authority
5493000UQOV6R4ZWS346
CALIFORNIA ST MUNI FIN AUTH REVENUE
13048TWY5
1000000.00000000
PA
USD
1023535.40000000
0.570315853657
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
2048049.76000000
1.141177185670
Long
DBT
MUN
US
N
2
2029-07-15
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
176000.00000000
PA
USD
170380.13000000
0.094936129504
Long
DBT
MUN
US
N
2
2024-07-01
None
0.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
49231.12000000
0.027431672836
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
2071370.00000000
CHF
2322775.62000000
USD
2023-11-16
49231.12000000
N
N
N
Metropolitan Pier & Exposition Authority
254900I3VDCQ58UGBR15
MET PIER & EXPOSITION AUTH IL REVENUE
592250CR3
1400000.00000000
PA
USD
1429785.56000000
0.796679208357
Long
DBT
MUN
US
N
2
2030-12-15
Fixed
5.00000000
N
N
N
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BF7
500000.00000000
PA
USD
362336.05000000
0.201894329855
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
1932840.55000000
1.076982396755
Long
DBT
MUN
US
N
2
2025-09-01
Fixed
5.00000000
N
N
N
N
N
N
Antonio B Won Pat International Airport Authority
N/A
GUAM INTERNATIONAL ARPT AUTH
40064REJ4
120000.00000000
PA
USD
95529.58000000
0.053229261994
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
419972.49000000
0.234009462835
Long
DBT
MUN
US
N
2
2023-11-15
Fixed
5.00000000
N
N
N
N
N
N
Territory of Guam
N/A
GUAM GOVT LTD OBLG REVENUE
40065HDM9
140000.00000000
PA
USD
140785.12000000
0.078445734163
Long
DBT
MUN
US
N
2
2029-12-01
Fixed
5.00000000
N
N
N
N
N
N
Puerto Rico Commonwealth Aqueduct & Sewer Authority
N/A
PUERTO RICO CMWLTH AQUEDUCT & SWR AUTH REVENUE
745160SG7
600000.00000000
PA
USD
598256.40000000
0.333349593450
Long
DBT
MUN
US
N
2
2030-07-01
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-24763.04000000
-0.01379801255
N/A
DFE
XX
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
594829.08000000
USD
539000.00000000
EUR
2023-10-12
-24763.04000000
N
N
N
Coronado Community Development Agency Successor Agency
N/A
CORONADO CA CMNTY DEV AGY SUCCESSOR AGY TAX ALLOCATION
21977AAJ1
2040000.00000000
PA
USD
2084517.08000000
1.161496845094
Long
DBT
MUN
US
N
2
2033-09-01
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
2946974.91000000
1.642059973209
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
1266220.63000000
0.705540521135
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
336194.00000000
0.187327930332
Long
DBT
MUN
US
N
2
2028-11-01
Fixed
1.49000000
N
N
N
N
N
N
County of San Diego CA
254900MKIGRAYVDUZ926
SAN DIEGO CNTY CA COPS
797391Z85
1300000.00000000
PA
USD
1316078.27000000
0.733321292096
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
927505.40000000
0.516807756695
Long
DBT
MUN
US
N
2
2041-12-01
Fixed
5.00000000
N
N
N
N
N
N
California Community Choice Financing Authority
549300X8VKJ215S2R571
CALIFORNIA CMNTY CHOICE FING AUTH CLEAN ENERGY PROJ REVENUE
13013JCM6
2500000.00000000
PA
USD
2494103.50000000
1.389719170154
Long
DBT
MUN
US
N
2
2054-01-01
Floating
5.25000000
N
N
N
N
N
N
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
3362.09000000
0.001873362883
N/A
DFE
US
N
2
HSBC Bank USA N.A.
1IE8VN30JCEQV1H4R804
956962.00000000
AUD
619375.47000000
USD
2023-11-08
3362.09000000
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
504744.16000000
0.281244397105
Long
DBT
MUN
US
N
2
2031-05-15
Fixed
5.00000000
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
5000000.00000000
OU
Notional Amount
USD
609741.00000000
0.339748834212
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
5000000.00000000
USD
609741.00000000
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
124631.38000000
OU
Notional Amount
USD
-17934.46000000
-0.00999311490
N/A
DCR
GB
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
CMBX.NA.BBB-.6
137BERAF4
Y
sell protection
2063-05-11
0.00000000
USD
-11472.23000000
USD
124631.38000000
USD
-6462.23000000
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
MSCI EMGMKT DEC23
000000000
-95.00000000
NC
USD
144788.38000000
0.080676358179
N/A
DE
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Short
ICE U.S. MSCI Emerging Markets EM Index Futures
MESZ3 Index
2023-12-15
-4683413.38000000
USD
144788.38000000
N
N
N
Commonwealth of Puerto Rico
549300X44HXPLJU48U63
PUERTO RICO CMWLTH
74514L3R6
555000.00000000
PA
USD
327098.24000000
0.182259755720
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
606356.64000000
0.337863062442
Long
DBT
MUN
US
N
2
2030-04-01
Fixed
5.00000000
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
1400000.00000000
OU
Notional Amount
USD
-79701.16000000
-0.04440963654
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-04-30
0.00000000
USD
0.00000000
USD
1400000.00000000
USD
-79701.16000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
E-MINI RUSS 2000 DEC23
000000000
34.00000000
NC
USD
-125526.13000000
-0.06994339618
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME E-mini Russell 2000 Index Futures
RTYZ3 Index
2023-12-15
3183146.13000000
USD
-125526.13000000
N
N
N
California Statewide Communities Development Authority
549300KTNI2GCJNX2U48
CALIFORNIA ST STWD CMNTYS DEV AUTH HOSP REVENUE
13081KAJ9
2915000.00000000
PA
USD
2970952.84000000
1.655420520989
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
243154.78000000
0.135486301623
Long
DBT
MUN
US
N
2
2028-09-01
Fixed
6.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
AL73775 ALLIANCE
000000000
19000.00000000
NC
98222.26000000
0.054729628364
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
11241.59000000
N
N
N
CSCDA Community Improvement Authority
N/A
CSCDA CMNTY IMPT AUTH CA ESSENTIAL HSG REVENUE
126292BL4
1000000.00000000
PA
USD
737510.90000000
0.410942463264
Long
DBT
MUN
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
Tobacco Securitization Authority of Southern California
N/A
TOBACCO SECURITIZATION AUTH STHRN CA TOBACCO SETTLEMENT REVE
888804CF6
960000.00000000
PA
USD
1018370.88000000
0.567438173380
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
100498.62000000
0.055998020446
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
257618.11000000
0.143545296354
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
38.00000000
NC
USD
-331371.02000000
-0.18464055678
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
4841496.02000000
USD
-331371.02000000
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
50618.43000000
0.028204684582
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
50618.43000000
N
N
N
Los Angeles Department of Water & Power
549300S8NXV6YU61GG95
LOS ANGELES CA DEPT OF WTR & PWR REVENUE
544532BA1
365000.00000000
PA
USD
393222.09000000
0.219104089546
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
929018.80000000
0.517651026027
Long
DBT
MUN
US
N
2
2042-09-01
Fixed
5.00000000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR DEC23
000000000
31.00000000
NC
-72651.75000000
-0.04048169200
N/A
DE
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
TSE TOPIX Futures
TPZ3 Index
2023-12-07
730052502.00000000
JPY
-72651.75000000
N
N
N
Golden State Tobacco Securitization Corp
N/A
GOLDEN ST TOBACCO SECURITIZATION CORP CA TOBACCO SETTLEMENT
38122NA77
1000000.00000000
PA
USD
934890.70000000
0.520922859772
Long
DBT
MUN
US
N
2
2025-06-01
Fixed
1.40000000
N
N
N
N
N
N
2023-10-26
BERNSTEIN SANFORD C FUND INC
Joseph Mantineo
Joseph Mantineo
Treasurer and Chief Financial Officer