0001752724-21-186115.txt : 20210826
0001752724-21-186115.hdr.sgml : 20210826
20210826094548
ACCESSION NUMBER: 0001752724-21-186115
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210826
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: BlackRock Strategic Global Bond Fund, Inc.
CENTRAL INDEX KEY: 0000835620
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05603
FILM NUMBER: 211209210
BUSINESS ADDRESS:
STREET 1: 100 BELLEVUE PARKWAY
CITY: WILMINGTON
STATE: DE
ZIP: 19809
BUSINESS PHONE: 800-441-7762
MAIL ADDRESS:
STREET 1: 100 BELLEVUE PARKWAY
CITY: WILMINGTON
STATE: DE
ZIP: 19809
FORMER COMPANY:
FORMER CONFORMED NAME: BLACKROCK WORLD INCOME FUND, INC.
DATE OF NAME CHANGE: 20061002
FORMER COMPANY:
FORMER CONFORMED NAME: MERRILL LYNCH WORLD INCOME FUND INC
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: WORLD INCOME FUND INC
DATE OF NAME CHANGE: 19910916
0000835620
S000002866
BlackRock Strategic Global Bond Fund, Inc.
C000007879
Investor A
C000007882
Institutional
C000038980
Investor C
C000162768
Class K
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000835620
XXXXXXXX
S000002866
C000007882
C000038980
C000007879
C000162768
BlackRock Strategic Global Bond Fund, Inc.
811-05603
0000835620
WLNAPPG3EBO2UQ0EB806
100 BELLEVUE PARKWAY
WILMINGTON
19809
800-441-7762
BlackRock Strategic Global Bond Fund, Inc.
S000002866
WLNAPPG3EBO2UQ0EB806
2021-12-31
2021-06-30
N
1070482438.75
145137484.41
925344954.34
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
76069287.84000000
0.00000000
0.00000000
77154302.20000000
CNY
EUR
GBP
JPY
MXN
USD
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AL8
100000.00000000
PA
USD
104893.75000000
0.011335637537
Long
DBT
NUSS
ZA
N
2
2022-05-30
Fixed
5.88000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
000000000
146000.00000000
PA
213857.35000000
0.023111094840
Long
DBT
CORP
GB
N
2
2027-03-22
Fixed
4.25000000
N
N
N
N
N
N
CONTEMPRY RUIDNG DEVELOP
549300MSU00BINFBY870
Contemporary Ruiding Development Ltd
000000000
200000.00000000
PA
USD
199920.00000000
0.021604915989
Long
DBT
CORP
VG
N
2
2025-09-17
Fixed
1.88000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0075000 PUT EUR
000000000
-2485000.00000000
OU
Notional Amount
-13317.37000000
-0.00143917897
N/A
DIR
NO
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
2485000.00000000
OU
Notional Amount
N/A
-13317.37000000
0.00000000
DIR
NO
N/A
N/A
2032-06-10
0.00000000
N/A
0.00000000
N/A
2485000.00000000
EUR
1.00000000
0.00750000
EUR
2022-06-08
XXXX
1988.76000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.850000 27-MAY-2026
000000000
28080033.00000000
OU
Notional Amount
USD
119961.03000000
0.012963925446
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-05-27
0.00000000
USD
-256.48000000
USD
28080033.00000000
USD
120217.51000000
N
N
N
UPCB Finance VII Ltd
5493006V3WX8F38SQ991
UPCB Finance VII Ltd
000000000
100000.00000000
PA
121073.15000000
0.013084109815
Long
DBT
CORP
KY
N
2
2029-06-15
Fixed
3.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJXW3
26587.91000000
PA
USD
28319.77000000
0.003060455440
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
REPSOL EUROPE FINANCE
222100TAWUOMRM7NNG09
Repsol Europe Finance Sarl
000000000
300000.00000000
PA
355187.51000000
0.038384335304
Long
DBT
CORP
LU
N
2
2033-07-06
Fixed
0.88000000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087XG4
170000.00000000
PA
199771.94000000
0.021588915470
Long
DBT
NUSS
CA
N
2
2033-06-01
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HH6H3
4834.33000000
PA
USD
5349.44000000
0.000578102249
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
FRONTERA ENERGY CORP
A25574TZFLBNK7NWQT47
Frontera Energy Corp
35905BAC1
585000.00000000
PA
USD
586462.50000000
0.063377716304
Long
DBT
CORP
CA
N
2
2028-06-21
Fixed
7.88000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCK6
590000.00000000
PA
USD
578760.50000000
0.062545378054
Long
DBT
CORP
MX
N
2
2028-02-12
Fixed
5.35000000
N
N
N
N
N
N
EMIRATES NBD BANK PJSC
54930029BCN8HF3B1286
Emirates NBD Bank PJSC
000000000
744000.00000000
PA
USD
801427.50000000
0.086608512451
Long
DBT
CORP
AE
N
2
2025-03-20
Fixed
6.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HMP40
4707.56000000
PA
USD
5077.34000000
0.000548696999
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
4.00000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAS4
268000.00000000
PA
USD
311752.32000000
0.033690389571
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.25000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DW7
118000.00000000
PA
USD
115856.67000000
0.012520376261
Long
DBT
CORP
US
N
2
2050-05-11
Fixed
2.65000000
N
N
N
N
N
N
Mortimer BTL
213800XP3NPPV83PMY32
Mortimer BTL 2021-1 PLC
000000000
100000.00000000
PA
137998.01000000
0.014913142320
Long
ABS-MBS
CORP
GB
N
2
2053-06-23
Variable
1.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-18989.74000000
-0.00205217955
N/A
DFE
ID
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
908000.00000000
USD
13060672000.00000000
IDR
2021-09-13
-18989.74000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417AYD5
47739.71000000
PA
USD
52501.99000000
0.005673774926
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
3379.90000000
0.000365258381
N/A
DFE
CL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
549000.00000000
USD
405793350.00000000
CLP
2021-07-14
3379.90000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
556000.00000000
PA
USD
593634.25000000
0.064152751599
Long
DBT
NUSS
EG
N
2
2025-06-11
Fixed
5.88000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
23821.96000000
0.002574386977
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
886000.00000000
EUR
1074663.07000000
USD
2021-07-14
23821.96000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE SEP21 XEUR 20210908
000000000
58.00000000
NC
49778.41000000
0.005379443608
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Long-Term Euro-BTP (FBTP)
IKU1 Comdty
2021-09-08
8739799.48000000
EUR
49778.41000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BLACKROCK FXVAN PUT USD BRL 4.9300000
000000000
-2753000.00000000
OU
Notional Amount
USD
-19400.39000000
-0.00209655760
N/A
DFE
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Contract
N/A
1.00000000
NC
USD
-19400.39000000
0.00000000
DFE
BR
-2753000.00000000
USD
-13572290.00000000
BRL
2021-07-14
1.00000000
4.93000000
USD
2021-07-14
XXXX
-6543.88000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.270000 30-DEC-2050
000000000
6800000.00000000
OU
Notional Amount
USD
858320.93000000
0.092756860668
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-12-30
0.00000000
USD
-193.32000000
USD
6800000.00000000
USD
858514.25000000
N
N
N
Calpine Corp
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CK0
33000.00000000
PA
USD
33948.75000000
0.003668766965
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.25000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2017-BRBK Mortgage Trust
23305JAN2
240000.00000000
PA
USD
243321.77000000
0.026295250096
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.65000000
N
N
N
N
N
N
Scenery Journey Ltd
549300Q2FGQXKG7X0I83
Scenery Journey Ltd
000000000
200000.00000000
PA
USD
163100.00000000
0.017625859333
Long
DBT
CORP
VG
N
2
2022-11-06
Fixed
13.00000000
N
N
N
N
N
N
SCHNEIDER ELECTRIC SE
969500A1YF1XUYYXS284
Schneider Electric SE
000000000
100000.00000000
PA
119320.85000000
0.012894742597
Long
DBT
CORP
FR
N
2
2023-06-12
None
0.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0173000 PUT USD 202
000000000
-15125582.00000000
OU
Notional Amount
USD
-10920.82000000
-0.00118018906
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
IRS Swap
N/A
15125582.00000000
OU
Notional Amount
N/A
-10920.82000000
0.00000000
DIR
US
N/A
N/A
2031-07-28
0.00000000
N/A
0.00000000
N/A
15125582.00000000
USD
1.00000000
0.01730000
USD
2021-07-26
XXXX
82762.35000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDB5
274000.00000000
PA
USD
288385.00000000
0.031165134542
Long
DBT
CORP
MX
N
2
2027-01-23
Fixed
6.49000000
N
N
N
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-16207.17000000
-0.00175147332
N/A
DFE
XX
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
761991.71000000
USD
628000.00000000
EUR
2021-09-15
-16207.17000000
N
N
N
ENERGEAN ISRAEL FINANCE
98450044QACBL3F8EB03
Energean Israel Finance Ltd
000000000
1370000.00000000
PA
USD
1408959.38000000
0.152263150449
Long
DBT
CORP
IL
N
2
2031-03-30
Fixed
5.88000000
N
N
N
N
N
N
BOXER PARENT CO INC
5493006T045HLTF7YX04
Boxer Parent Co Inc
000000000
300000.00000000
PA
377328.22000000
0.040777033281
Long
DBT
CORP
US
N
2
2025-10-02
Fixed
6.50000000
N
N
N
N
N
N
COLBUN SA
5493003VQJLE2QB8IF36
Colbun SA
192714AD5
200000.00000000
PA
USD
203975.00000000
0.022043130947
Long
DBT
CORP
CL
N
2
2030-03-06
Fixed
3.15000000
N
N
N
N
N
N
Azul Investments LLP
549300C6XNC8IDH04C74
Azul Investments LLP
05502FAA6
282000.00000000
PA
USD
273011.25000000
0.029503727093
Long
DBT
CORP
US
N
2
2024-10-26
Fixed
5.88000000
N
N
N
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CDJ7
109977.94000000
PA
USD
108531.25000000
0.011728734186
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
0.45000000
N
N
N
N
N
N
EQT Corp
4NT01YGM4X7ZX86ISY52
EQT Corp
26884L109
16144.00000000
NS
USD
359365.44000000
0.038835835038
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83C9
26049.99000000
PA
USD
28131.71000000
0.003040132208
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
CHINA AOYUAN GROUP LTD
549300YSOKQO5QD6MP25
China Aoyuan Group Ltd
000000000
200000.00000000
PA
USD
188000.00000000
0.020316747729
Long
DBT
CORP
KY
N
2
2024-02-08
Fixed
6.35000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-22810.00000000
-0.00246502667
N/A
DFE
KR
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1376394.39000000
USD
1530000000.00000000
KRW
2021-09-15
-22810.00000000
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-58.89000000
-0.00000636411
N/A
DFE
XX
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
24969.00000000
USD
21000.00000000
EUR
2021-07-20
-58.89000000
N
N
N
INFRAESTRUCTURA ENERGETI
715K4H1JYF3O6JOK1411
Infraestructura Energetica Nova SAB de CV
456829AB6
273000.00000000
PA
USD
279876.19000000
0.030245606104
Long
DBT
CORP
MX
N
2
2048-01-14
Fixed
4.88000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DT9
200000.00000000
PA
USD
189475.00000000
0.020476147744
Long
DBT
NUSS
CO
N
2
2051-05-15
Fixed
4.13000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2007-TOP27
61754JAL2
1250000.00000000
PA
USD
1269651.25000000
0.137208426332
Long
ABS-MBS
CORP
US
N
2
2042-06-11
Variable
6.21000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
18176.91000000
0.001964338803
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
677000.00000000
EUR
821231.53000000
USD
2021-07-20
18176.91000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBJF8
699930.16000000
PA
USD
743971.90000000
0.080399411755
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
4.00000000
N
N
N
N
N
N
BAYER AG
549300J4U55H3WP1XT59
Bayer AG
000000000
200000.00000000
PA
242779.02000000
0.026236596294
Long
DBT
CORP
DE
N
2
2032-07-06
Fixed
1.38000000
N
N
N
N
N
N
Avoca CLO
5493000BN1WPGQDK4X78
Avoca CLO XXII DAC
000000000
100000.00000000
PA
117660.40000000
0.012715301407
Long
ABS-CBDO
CORP
IE
N
2
2035-04-15
Floating
1.30000000
N
N
N
N
N
N
SHINHAN FINANCIAL GROUP
988400EB8A6G49E5KO54
Shinhan Financial Group Co Ltd
000000000
200000.00000000
PA
USD
198687.50000000
0.021471722417
Long
DBT
CORP
KR
N
2
2026-05-12
Fixed
2.88000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST JUL21 427 CALL
000000000
135.00000000
NC
USD
30712.50000000
0.003319032524
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
427.00000000
USD
2021-07-02
XXXX
-16015.78000000
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
200000.00000000
PA
USD
225475.00000000
0.024366588799
Long
DBT
NUSS
BH
N
2
2030-05-14
Fixed
7.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.510000 15-NOV-2030
000000000
2680000.00000000
OU
Notional Amount
-100572.89000000
-0.01086869167
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-11-15
109.34000000
GBP
0.00000000
GBP
2680000.00000000
GBP
-100718.45000000
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
BLACKROCK FXVAN CALL USD MXN 20.1000000
000000000
-1646000.00000000
OU
Notional Amount
USD
-6592.23000000
-0.00071240783
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
-6592.23000000
0.00000000
DFE
MX
-1646000.00000000
USD
-33084600.00000000
MXN
2021-07-08
1.00000000
20.10000000
USD
2021-07-08
XXXX
2574.34000000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
BLACKROCK FXVAN PUT USD RUB 70.0000000
000000000
-6025004.00000000
OU
Notional Amount
USD
-5838.23000000
-0.00063092471
N/A
DFE
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
J.P. Morgan International Bank Limited
PGBWEZU4QUV2UVGWJC76
J.P. Morgan International Bank Limited
PGBWEZU4QUV2UVGWJC76
FX Contract
N/A
1.00000000
NC
USD
-5838.23000000
0.00000000
DFE
RU
-6025004.00000000
USD
-421750280.00000000
RUB
2021-07-27
1.00000000
70.00000000
USD
2021-07-27
XXXX
247.02000000
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS MORTGAGE TRUST 2017-C1
07332VBE4
1200000.00000000
PA
USD
1325464.80000000
0.143240074286
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Fixed
3.90000000
N
N
N
N
N
N
salesforce.com Inc
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466L302
1715.00000000
NS
USD
418923.05000000
0.045272095345
Long
EC
CORP
US
N
1
N
N
N
Penn National Gaming Inc
N/A
Penn National Gaming Inc
707569109
3750.00000000
NS
USD
286837.50000000
0.030997899610
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJF94
873.40000000
PA
USD
904.37000000
0.000097733282
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
71568QAH0
200000.00000000
PA
USD
253287.50000000
0.027372224683
Long
DBT
CORP
ID
N
2
2049-01-25
Fixed
6.25000000
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638BU5
248000.00000000
PA
USD
277574.00000000
0.029996813480
Long
DBT
NUSS
PE
N
2
2027-08-25
Fixed
4.13000000
N
N
N
N
N
N
iShares JP Morgan USD Emerging Markets Bond ETF
54930070R8WH6MNUJG74
iShares JP Morgan USD Emerging Markets Bond ETF
464288281
17451.00000000
NS
USD
1962539.46000000
0.212087335733
Long
EC
RF
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD71
19272.92000000
PA
USD
20535.84000000
0.002219263195
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
3.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
981.87000000
0.000106108537
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2735008.20000000
BRL
549000.00000000
USD
2021-08-03
981.87000000
N
N
N
EQUATE PETROCHEMICAL BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
29441WAD7
852000.00000000
PA
USD
860253.75000000
0.092965736287
Long
DBT
CORP
NL
N
2
2028-04-28
Fixed
2.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK FXVAN CALL USD ZAR 13.7000000
000000000
2198000.00000000
OU
Notional Amount
USD
94439.27000000
0.010205844810
N/A
DFE
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
94439.27000000
0.01000000
DFE
US
30112600.00000000
ZAR
2198000.00000000
USD
2021-07-12
1.00000000
13.70000000
USD
2021-07-12
XXXX
62656.19000000
N
N
N
Sonos Inc
549300WEPU6075I77M08
Sonos Inc
83570H108
22072.00000000
NS
USD
777596.56000000
0.084033155025
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
11698.63000000
0.001264245289
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
548000.00000000
USD
2783829.04000000
BRL
2021-07-02
11698.63000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK FXVAN PUT USD MXN 19.4000000
000000000
-8190000.00000000
OU
Notional Amount
USD
-8.19000000
-0.00000088507
N/A
DFE
LU
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
-8.19000000
0.00000000
DFE
MX
-8190000.00000000
USD
-158886000.00000000
MXN
2021-07-02
1.00000000
19.40000000
USD
2021-07-02
XXXX
18263.71000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FSWP: KRW 1.630000 21-SEP-2023
000000000
8602400000.00000000
OU
Notional Amount
-3308.21000000
-0.00035751100
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2023-09-21
0.00000000
KRW
0.00000000
KRW
8602400000.00000000
KRW
-3308.21000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BCD6
16843.73000000
PA
USD
18169.73000000
0.001963562876
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032674
1138995.00000000
PA
USD
1198903.46000000
0.129562867812
Long
ABS-MBS
USGSE
US
N
2
2051-07-15
Fixed
3.50000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION NOV21 0.78 PUT
000000000
-8655072.00000000
OU
Notional Amount
-104076.22000000
-0.01124728886
N/A
DIR
DE
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
8655072.00000000
OU
Notional Amount
N/A
-104076.22000000
-0.01000000
DIR
US
N/A
N/A
2051-11-18
0.00000000
N/A
0.00000000
N/A
8655072.00000000
EUR
1.00000000
0.78000000
EUR
2021-11-16
XXXX
6585.16000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
1935.98000000
0.000209217113
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1482108798.00000000
IDR
102795.73000000
USD
2021-09-15
1935.98000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QUZV8
1492.13000000
PA
USD
1629.68000000
0.000176115943
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
7337728.00000000
OU
Notional Amount
USD
224141.39000000
0.024222468491
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FED REPUBLIC OF BRAZIL
FED REPUBLIC OF BRAZIL
Y
buy protection
2026-06-23
402688.26000000
USD
0.00000000
USD
7337728.00000000
USD
-178546.87000000
N
N
N
iShares Biotechnology ETF
549300S7IVD88MPK0066
iShares Biotechnology ETF
464287556
493.00000000
NS
USD
80679.45000000
0.008718851237
Long
EC
RF
US
N
1
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
200000.00000000
PA
USD
169912.50000000
0.018362071268
Long
DBT
CORP
KY
N
2
2025-05-27
Fixed
8.30000000
N
N
N
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
200000.00000000
PA
330516.47000000
0.035718190113
Long
DBT
CORP
NL
N
2
2038-11-16
Fixed
4.13000000
N
N
N
N
N
N
Ziggo BV
213800TQASLF9JXH5J59
Ziggo BV
000000000
80000.00000000
PA
98245.75000000
0.010617202756
Long
DBT
CORP
NL
N
2
2027-01-15
Fixed
4.25000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
4040000.00000000
PA
2675509.85000000
0.289136482287
Long
DBT
NUSS
AU
N
2
2051-06-21
Fixed
1.75000000
N
N
N
N
N
N
Rossini Sarl
549300EC5JCCW6F83R11
Rossini Sarl
000000000
600000.00000000
PA
744929.50000000
0.080502897487
Long
DBT
CORP
LU
N
2
2025-10-30
Fixed
6.75000000
N
N
N
N
N
N
INTERCORP PERU LTD
549300L0OFVSOE4NSY75
Intercorp Peru Ltd
458652AB0
400000.00000000
PA
USD
385200.00000000
0.041627719283
Long
DBT
CORP
BS
N
2
2029-08-15
Fixed
3.88000000
N
N
N
N
N
N
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
SANDVIK AB JUL21 208.1 PUT
000000000
-67.00000000
NC
-1304.68000000
-0.00014099390
N/A
DE
SE
N
1
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
Put
Written
Sandvik AB
Sandvik AB
101.00000000
208.10000000
SEK
2021-07-16
XXXX
1366.00000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-10082.33000000
-0.00108957529
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2775789.88000000
BRL
548000.00000000
USD
2021-07-02
-10082.33000000
N
N
N
SMB Private Education Loan Trust
N/A
SMB Private Education Loan Trust 2021-C
83208AAD5
480000.00000000
PA
USD
479999.86000000
0.051872532264
Long
ABS-O
CORP
US
N
2
2053-01-15
Variable
0.89000000
N
N
N
N
N
N
EXPORT-IMPORT BK INDIA
335800OFZ8YEIVN1QI11
Export-Import Bank of India
30216KAC6
200000.00000000
PA
USD
216290.00000000
0.023373985991
Long
DBT
NUSS
IN
N
2
2028-02-01
Fixed
3.88000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
14214.48000000
0.001536127682
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
39954650.00000000
MXN
2000000.00000000
USD
2021-09-15
14214.48000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307UV47
23131.54000000
PA
USD
24459.69000000
0.002643305059
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.445000 07-JAN-2051
000000000
6212088.00000000
OU
Notional Amount
USD
482968.12000000
0.052193305613
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-01-09
0.00000000
USD
-191.42000000
USD
6212088.00000000
USD
483159.54000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BLACKROCK FXVAN CALL USD JPY 110.5000000
000000000
4404000.00000000
OU
Notional Amount
USD
32743.74000000
0.003538544177
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
32743.74000000
0.00000000
DFE
US
486642000.00000000
JPY
4404000.00000000
USD
2021-07-14
1.00000000
110.50000000
USD
2021-07-14
XXXX
14652.10000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.990000 02-JUL-2031
000000000
5003000.00000000
OU
Notional Amount
USD
-8995.98000000
-0.00097217583
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-07-02
0.00000000
USD
-46.56000000
USD
5003000.00000000
USD
-8949.42000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDC3
3897000.00000000
PA
USD
4010987.25000000
0.433458596298
Long
DBT
CORP
MX
N
2
2030-01-23
Fixed
6.84000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
3898.88000000
0.000421343411
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
10860324.00000000
BRL
2180000.00000000
USD
2021-08-03
3898.88000000
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DS8
226000.00000000
PA
USD
228599.00000000
0.024704192628
Long
DBT
NUSS
PE
N
2
2041-03-11
Fixed
3.30000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-13758.14000000
-0.00148681201
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
826000.00000000
USD
1006864.76000000
CAD
2021-07-14
-13758.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHXT4
38545.71000000
PA
USD
41357.34000000
0.004469397040
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AME
54930043TEPI4UKGHU90
Tiaa Clo III Ltd
87272HAA8
400000.00000000
PA
USD
399999.60000000
0.043227079601
Long
ABS-CBDO
CORP
KY
N
2
2031-01-16
Floating
1.33000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796B40
70000000.00000000
PA
USD
70000000.00000000
7.564746494989
Long
DBT
UST
US
N
2
2021-07-01
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M9GP1
7536.88000000
PA
USD
8186.16000000
0.000884660359
Long
ABS-MBS
USGSE
US
N
2
2042-08-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (PHILIP)
000000000
3945561.00000000
OU
Notional Amount
USD
-109658.76000000
-0.01185058171
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
REPUBLIC OF PHILIPPINES
REPUBLIC OF PHILIPPINES
Y
buy protection
2026-06-23
0.00000000
USD
-101441.17000000
USD
3945561.00000000
USD
-8217.59000000
N
N
N
HEUNGKUK LIFE INSURANCE
988400EEEB3WBUD4BW44
Heungkuk Life Insurance Co Ltd
000000000
200000.00000000
PA
USD
202725.00000000
0.021908046188
Long
DBT
CORP
KR
N
2
2022-11-09
Fixed
4.48000000
N
N
N
N
N
N
TORY BURCH LLC
549300GGL74W33KY2650
TORY BURCH LLC TERM LOAN B
89148GAF7
1527000.00000000
PA
USD
1521273.75000000
0.164400718117
Long
LON
CORP
US
N
2
2028-04-14
Floating
4.00000000
N
N
N
N
N
N
NEPTUNE ENERGY BONDCO
549300CPMT8I2QBRYF88
Neptune Energy Bondco PLC
64073KAA1
200000.00000000
PA
USD
205340.00000000
0.022190643504
Long
DBT
CORP
GB
N
2
2025-05-15
Fixed
6.63000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CTP60DC76175C96
000000000
3000000.00000000
OU
Notional Amount
USD
-311342.49000000
-0.03364610014
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.HY.S36.V1
2I65BRYP9
Y
buy protection
2026-06-23
0.00000000
USD
-295774.26000000
USD
3000000.00000000
USD
-15568.23000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
1874000.00000000
PA
USD
2246015.85000000
0.242722007556
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
TECHEM VERWALTUNGSGES
549300W2QKB8BC676O97
Techem Verwaltungsgesellschaft 674 mbH
000000000
200000.00000000
PA
244523.97000000
0.026425169214
Long
DBT
CORP
DE
N
2
2026-07-30
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417F2C1
5298.02000000
PA
USD
5572.29000000
0.000602185160
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
2.50000000
N
N
N
N
N
N
POSTE ITALIANE SPA
815600354DEDBD0BA991
Poste Italiane SpA
000000000
100000.00000000
PA
118456.44000000
0.012801327704
Long
DBT
CORP
IT
N
2
2029-03-24
Fixed
2.63000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
VANECK VECTORS SEMICONDUCTOR E JUL21 260 CALL
000000000
86.00000000
NC
USD
49450.00000000
0.005343953059
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
VanEck Vectors Semiconductor ETF
VanEck Vectors Semiconductor ETF
100.00000000
260.00000000
USD
2021-07-16
XXXX
12746.60000000
N
N
N
MAF GLOBAL SECURITIES
54930037VUDNYTS17017
MAF Global Securities Ltd
000000000
862000.00000000
PA
USD
881287.25000000
0.095238780507
Long
DBT
CORP
KY
N
2
2022-09-07
Fixed
5.50000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED KZT / SOLD USD
000000000
1.00000000
NC
3162.05000000
0.000341715809
N/A
DFE
KZ
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
126330.00000000
USD
55433604.00000000
KZT
2021-07-15
3162.05000000
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
000000000
200000.00000000
PA
246941.95000000
0.026686475010
Long
DBT
CORP
US
N
2
2059-05-23
Fixed
3.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK SWAPTION 0.0050000 PUT USD 202
000000000
124060000.00000000
OU
Notional Amount
USD
199861.90000000
0.021598637250
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
124060000.00000000
OU
Notional Amount
N/A
199861.90000000
0.02000000
DIR
US
N/A
N/A
2023-07-07
0.00000000
N/A
0.00000000
N/A
124060000.00000000
USD
1.00000000
0.00500000
USD
2022-07-05
XXXX
89448.50000000
N
N
N
MELCO RESORTS FINANCE
N/A
Melco Resorts Finance Ltd
000000000
200000.00000000
PA
USD
207537.50000000
0.022428122510
Long
DBT
CORP
KY
N
2
2026-04-26
Fixed
5.25000000
N
N
N
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2017-BRBK Mortgage Trust
23305JAL6
400000.00000000
PA
USD
411155.96000000
0.044432722961
Long
ABS-MBS
CORP
US
N
2
2034-10-10
Variable
3.65000000
N
N
N
N
N
N
Western Digital Corp
549300QQXOOYEF89IC56
Western Digital Corp
958102105
2583.00000000
NS
USD
183832.11000000
0.019866332996
Long
EC
CORP
US
N
1
N
N
N
EUROPEAN UNION
529900FZRK8FGMPEOM08
European Union
000000000
2974603.00000000
PA
3519221.00000000
0.380314496069
Long
DBT
NUSS
XX
N
2
2031-07-04
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WC7G2
7380.37000000
PA
USD
7833.55000000
0.000846554570
Long
ABS-MBS
USGSE
US
N
2
2029-10-01
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2014-GC25
17322YAH3
1200000.00000000
PA
USD
1287122.64000000
0.139096521136
Long
ABS-MBS
CORP
US
N
2
2047-10-10
Variable
4.66000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION MAR23 0.6 CALL
000000000
-123604533.00000000
OU
Notional Amount
USD
-175435.62000000
-0.01895894273
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
123604533.00000000
OU
Notional Amount
N/A
-175435.62000000
-0.02000000
DIR
US
N/A
N/A
2024-03-20
0.00000000
N/A
0.00000000
N/A
123604533.00000000
USD
1.00000000
0.60000000
USD
2023-03-16
XXXX
59412.99000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CET7
4482.96000000
PA
USD
4641.84000000
0.000501633469
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
2.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030470
1110000.00000000
PA
USD
1166165.40000000
0.126024937460
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DS1
3564000.00000000
PA
USD
3481137.00000000
0.376198841704
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.13000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
SWAP/CDSWAP/SCDS: (MEX)
000000000
820000.00000000
OU
Notional Amount
USD
-2768.39000000
-0.00029917383
N/A
DCR
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-984.66000000
USD
820000.00000000
USD
-1783.73000000
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2018-TAN
12528DAL3
1000000.00000000
PA
USD
1032642.20000000
0.111595378043
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Variable
6.66000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307U5V6
21796.19000000
PA
USD
23046.53000000
0.002490587957
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
iShares MSCI Emerging Markets ETF
549300BPYHDEDI59G670
iShares MSCI Emerging Markets ETF
464287234
13148.00000000
NS
USD
725112.20000000
0.078361285334
Long
EC
RF
US
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
975.46000000
0.000105415823
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
608817600.00000000
CLP
829000.00000000
USD
2021-08-18
975.46000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)
000000000
2000000.00000000
OU
Notional Amount
USD
-154534.11000000
-0.01670016238
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-227282.97000000
USD
2000000.00000000
USD
72748.86000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-12591.22000000
-0.00136070553
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2778321.00000000
BRL
546000.00000000
USD
2021-07-02
-12591.22000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION SEP21 0.55 CALL
000000000
-3739876.00000000
OU
Notional Amount
USD
-443.62000000
-0.00004794104
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
3739876.00000000
OU
Notional Amount
N/A
-443.62000000
0.00000000
DIR
GB
N/A
N/A
2031-09-22
0.00000000
N/A
0.00000000
N/A
3739876.00000000
USD
1.00000000
0.55000000
USD
2021-09-20
XXXX
47761.02000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (SOAF)
000000000
1644000.00000000
OU
Notional Amount
USD
65630.84000000
0.007092580955
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
buy protection
2026-06-23
110865.62000000
USD
0.00000000
USD
1644000.00000000
USD
-45234.78000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.480000 28-JAN-2051
000000000
7179169.00000000
OU
Notional Amount
USD
502260.42000000
0.054278182168
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-01-30
0.00000000
USD
-221.58000000
USD
7179169.00000000
USD
502482.00000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QUZX4
1378.25000000
PA
USD
1495.57000000
0.000161622970
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.00000000
N
N
N
N
N
N
Flutter Entertainment PLC
635400EG4YIJLJMZJ782
Flutter Entertainment PLC
000000000
361.00000000
NS
65701.37000000
0.007100202977
Long
EC
CORP
IE
N
2
N
N
N
NAN FUNG TREASURY III
254900SXLFVWFJY5QE98
Nan Fung Treasury III Ltd
000000000
200000.00000000
PA
USD
202850.00000000
0.021921554664
Long
DBT
CORP
VG
N
2
2023-09-10
Fixed
5.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-5563.08000000
-0.00060118985
N/A
DFE
KR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
544000.00000000
USD
608431360.00000000
KRW
2021-07-12
-5563.08000000
N
N
N
LoanCore 2021-CRE5 Issuer, Ltd
N/A
LoanCore 2021-CRE5 Issuer Ltd
53947XAA0
160000.00000000
PA
USD
160408.27000000
0.017334969974
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
1.37000000
N
N
N
N
N
N
GRUPO AVAL LTD
549300J4FW1ELLQ80113
Grupo Aval Ltd
40053FAC2
1754000.00000000
PA
USD
1733741.30000000
0.187361620319
Long
DBT
CORP
KY
N
2
2030-02-04
Fixed
4.38000000
N
N
N
N
N
N
HEIMSTADEN BOSTA
549300TJR3PR8EXILG79
Heimstaden Bostad AB
000000000
100000.00000000
PA
118333.12000000
0.012788000782
Long
DBT
CORP
SE
N
2
2027-10-29
Fixed
3.00000000
N
N
N
N
N
N
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
20275.74000000
0.002191154758
N/A
DFE
US
N
2
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
12868846.00000000
CNY
2000000.00000000
USD
2021-09-15
20275.74000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
18176.91000000
0.001964338803
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
677000.00000000
EUR
821231.53000000
USD
2021-07-20
18176.91000000
N
N
N
L Brands Inc
GR3KVMWVCR54YWQNXU90
L Brands Inc
501797104
4032.00000000
NS
USD
290545.92000000
0.031398660427
Long
EC
CORP
US
N
1
N
N
N
LORCA TELECOM BONDCO
9598004HFBAS82YM7X35
Lorca Telecom Bondco SA
000000000
200000.00000000
PA
241300.15000000
0.026076778056
Long
DBT
CORP
ES
N
2
2027-09-18
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BTGM8
42915.88000000
PA
USD
46499.31000000
0.005025078462
Long
ABS-MBS
USGA
US
N
2
2048-01-15
Fixed
4.00000000
N
N
N
N
N
N
MILLICOM INTL CELLULAR
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AP2
368100.00000000
PA
USD
389449.80000000
0.042086985850
Long
DBT
CORP
LU
N
2
2026-10-15
Fixed
6.63000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225436AA2
200000.00000000
PA
USD
219000.00000000
0.023666849748
Long
DBT
CORP
CH
N
2
2024-12-18
Fixed
6.25000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
100000.00000000
PA
15613.39000000
0.001687304818
Long
DBT
NUSS
CN
N
2
2028-11-22
Fixed
3.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
227.00000000
0.000024531392
N/A
DFE
MX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
551000.00000000
USD
11004494.86000000
MXN
2021-07-14
227.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERM49
6903.81000000
PA
USD
7322.64000000
0.000791341646
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHNX6
15273.00000000
PA
USD
16079.26000000
0.001737650367
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-20753.16000000
-0.00224274849
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2719798.48000000
USD
2272775.00000000
EUR
2021-09-15
-20753.16000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-67552.69000000
-0.00730027107
N/A
DFE
NO
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
2300000.00000000
USD
19215746.98000000
NOK
2021-09-15
-67552.69000000
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
BLACKROCK FXVAN PUT USD BRL 5.1800000
000000000
2696000.00000000
OU
Notional Amount
USD
110444.34000000
0.011935477627
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
110444.34000000
0.01000000
DFE
US
13965280.00000000
BRL
2696000.00000000
USD
2021-07-08
1.00000000
5.18000000
USD
2021-07-08
XXXX
55060.41000000
N
N
N
BROOKFIELD RESID PROPERT
N/A
Brookfield Residential Properties Inc / Brookfield Residential US LLC
11283YAG5
65000.00000000
PA
USD
65487.50000000
0.007077090515
Long
DBT
CORP
CA
N
2
2029-06-15
Fixed
5.00000000
N
N
N
N
N
N
CIFC Funding Ltd
549300PC4RPZFE70AI24
CIFC Funding 2013-I Ltd
12549AAN0
1000000.00000000
PA
USD
1000066.90000000
0.108075036807
Long
ABS-CBDO
CORP
KY
N
2
2030-07-16
Floating
1.93000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.887500 10-FEB-2051
000000000
3789155.00000000
OU
Notional Amount
USD
818352.13000000
0.088437520101
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-02-10
0.00000000
USD
-117.28000000
USD
3789155.00000000
USD
818469.41000000
N
N
N
KENBOURNE INVEST SA
222100QGH6Y9KFYZ4B27
Kenbourne Invest SA
48855KAC4
520000.00000000
PA
USD
523250.00000000
0.056546480050
Long
DBT
CORP
LU
N
2
2028-01-22
Fixed
4.70000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAC4
341000.00000000
PA
USD
385564.44000000
0.041667103515
Long
DBT
NUSS
MX
N
2
2027-03-28
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6D20
49553.58000000
PA
USD
55232.26000000
0.005968829217
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
4.50000000
N
N
N
N
N
N
OP CORPORATE BANK PLC
549300NQ588N7RWKBP98
OP Corporate Bank plc
000000000
130000.00000000
PA
156601.55000000
0.016923586092
Long
DBT
CORP
FI
N
2
2027-01-18
Fixed
0.60000000
N
N
N
N
N
N
Volvo AB
549300HGV012CNC8JD22
Volvo AB
000000000
15342.00000000
NS
369733.39000000
0.039956276658
Long
EC
CORP
SE
N
2
N
N
N
C&W Senior Financing DAC
5493009O8OIWZPZRY516
C&W Senior Financing DAC
000000000
230000.00000000
PA
USD
245444.50000000
0.026524648872
Long
DBT
CORP
IE
N
2
2027-09-15
Fixed
6.88000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CARRIER GLOBAL CORP SEP21 43 PUT
000000000
-66.00000000
NC
USD
-3960.00000000
-0.00042794851
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Carrier Global Corp
Carrier Global Corp
100.00000000
43.00000000
USD
2021-09-17
XXXX
10936.69000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31307PUJ6
67417.47000000
PA
USD
70993.97000000
0.007672162653
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/SCDS: (MEX)
000000000
611000.00000000
OU
Notional Amount
USD
-2062.79000000
-0.00022292119
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1028.69000000
USD
611000.00000000
USD
-1034.10000000
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
000000000
220000.00000000
PA
274249.49000000
0.029637540974
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
1.70000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83370RAA6
200000.00000000
PA
USD
211750.00000000
0.022883358147
Long
DBT
CORP
FR
N
2
2030-11-18
Fixed
5.38000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CD6
200000.00000000
PA
USD
218100.00000000
0.023569588722
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 1.685000 21-JUN-2051
000000000
363178.00000000
OU
Notional Amount
16125.65000000
0.001742663633
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-21
0.00000000
AUD
-12.89000000
AUD
363178.00000000
AUD
16135.64000000
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust 2020-1
92259LAL2
99434.17000000
PA
USD
99553.96000000
0.010758578142
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Variable
3.19000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
8847.66000000
0.000956147213
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
6444662.00000000
CNY
1000000.00000000
USD
2021-09-15
8847.66000000
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAA1
119630.00000000
PA
USD
124714.28000000
0.013477598750
Long
DBT
CORP
XX
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-3852.47000000
-0.00041632798
N/A
DFE
CO
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1102000.00000000
USD
4123684000.00000000
COP
2021-07-14
-3852.47000000
N
N
N
Jamestown CLO Ltd
254900NFTK4YH0WYT485
Jamestown CLO IX Ltd
47048JAR4
750000.00000000
PA
USD
750656.10000000
0.081121758591
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
2.84000000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
000000000
200000.00000000
PA
USD
258662.50000000
0.027953089146
Long
DBT
CORP
ID
N
2
2041-05-27
Fixed
6.50000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JAB6
684000.00000000
PA
USD
661556.25000000
0.071492933191
Long
DBT
NUSS
EG
N
2
2031-02-16
Fixed
5.88000000
N
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
Altice Financing SA
000000000
100000.00000000
PA
115018.95000000
0.012429845698
Long
DBT
CORP
LU
N
2
2025-01-15
Fixed
2.25000000
N
N
N
N
N
N
THETA CAPITAL PTE LTD
2549003I5QVCGQHCYJ52
Theta Capital Pte Ltd
000000000
200000.00000000
PA
USD
206412.50000000
0.022306546227
Long
DBT
CORP
SG
N
2
2025-01-22
Fixed
8.13000000
N
N
N
N
N
N
FRAPORT AG
5299001ERX0K10IZUL40
Fraport AG Frankfurt Airport Services Worldwide
000000000
290000.00000000
PA
359822.99000000
0.038885281463
Long
DBT
CORP
DE
N
2
2028-03-31
Fixed
1.88000000
N
N
N
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government Bond
000000000
855000.00000000
PA
1089641.71000000
0.117755190093
Long
DBT
NUSS
BE
N
2
2028-06-22
Fixed
0.80000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NOK 0.470000 26-NOV-2022
000000000
59147760.00000000
OU
Notional Amount
-37808.74000000
-0.00408590761
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-11-28
1020.30000000
NOK
0.00000000
NOK
59147760.00000000
NOK
-37922.43000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 2.350000 05-MAR-2031
000000000
109375.00000000
OU
Notional Amount
USD
-2779.98000000
-0.00030042634
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-05
2.27000000
USD
0.00000000
USD
109375.00000000
USD
-2782.25000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213FZ22
3819.65000000
PA
USD
4105.85000000
0.000443710205
Long
ABS-MBS
USGA
US
N
2
2042-01-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83D7
5372.58000000
PA
USD
5868.93000000
0.000634242394
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEF1
837000.00000000
PA
USD
862110.00000000
0.093166337154
Long
DBT
NUSS
DO
N
2
2032-09-23
Fixed
4.88000000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 53 CLO Ltd
26243EAA9
600000.00000000
PA
USD
600009.00000000
0.064841656853
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
1.30000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (SOAF)
000000000
16354959.00000000
OU
Notional Amount
USD
652913.45000000
0.070558924748
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
buy protection
2026-06-23
1102921.35000000
USD
0.00000000
USD
16354959.00000000
USD
-450007.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKWL8
49713.02000000
PA
USD
53236.36000000
0.005753136681
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
100000.00000000
PA
USD
115737.50000000
0.012507497820
Long
DBT
NUSS
DO
N
2
2026-01-29
Fixed
6.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A04K7
100763.06000000
PA
USD
108453.70000000
0.011720353527
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VMF4
93907.03000000
PA
USD
99119.02000000
0.010711575130
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNS0
28564.04000000
PA
USD
30490.04000000
0.003294991760
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCA1
191000.00000000
PA
USD
208474.35000000
0.022529365835
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-214.03000000
-0.00002312975
N/A
DFE
SE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
84987.49000000
USD
725000.00000000
SEK
2021-09-15
-214.03000000
N
N
N
ANTOFAGASTA PLC
213800MY6QVH4FVLD628
Antofagasta PLC
03718NAA4
246000.00000000
PA
USD
236406.00000000
0.025547877998
Long
DBT
CORP
GB
N
2
2030-10-14
Fixed
2.38000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
JOHNSON CONTROLS INTERNATIONAL JUL21 67.5 CALL
000000000
81.00000000
NC
USD
14985.00000000
0.001619396088
N/A
DE
IE
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Johnson Controls International
Johnson Controls International
100.00000000
67.50000000
USD
2021-07-16
XXXX
1290.17000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/SCDS: (MEX)
000000000
8361000.00000000
OU
Notional Amount
USD
-28227.46000000
-0.00305047970
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
UNITED MEXICAN STATES
UNITED MEXICAN STATES
Y
buy protection
2026-06-23
52444.74000000
USD
0.00000000
USD
8361000.00000000
USD
-80672.20000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SGL5
83117.22000000
PA
USD
88457.35000000
0.009559391833
Long
ABS-MBS
USGA
US
N
2
2046-07-20
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
610000.00000000
OU
Notional Amount
USD
-2059.41000000
-0.00022255592
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-880.34000000
USD
610000.00000000
USD
-1179.07000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XY5S9
67597.52000000
PA
USD
72601.05000000
0.007845836264
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.50000000
N
N
N
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAD7
945000.00000000
PA
USD
994612.50000000
0.107485591760
Long
DBT
CORP
US
N
2
2031-03-18
Fixed
5.50000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
-13520.87000000
-0.00146117077
N/A
DFE
CZ
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
530000.00000000
USD
11113786.77000000
CZK
2021-09-15
-13520.87000000
N
N
N
Sisal Group SpA
815600B11BCB2AFDE431
Sisal Group SpA
000000000
68750.00000000
PA
82057.70000000
0.008867795692
Long
DBT
CORP
IT
N
2
2023-07-31
Fixed
7.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (MEX)
000000000
750000.00000000
OU
Notional Amount
USD
-2532.06000000
-0.00027363417
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-2711.32000000
USD
750000.00000000
USD
179.26000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MP3
328000.00000000
PA
USD
382994.90000000
0.041389418962
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41000000
N
N
N
N
N
N
AGILE GROUP HOLDINGS LTD
549300ZRISRT38EEYY07
Agile Group Holdings Ltd
000000000
200000.00000000
PA
USD
201500.00000000
0.021775663124
Long
DBT
CORP
KY
N
2
2025-01-02
Fixed
5.75000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ENERGY SELECT SECTOR SPDR FUND AUG21 60 CALL
000000000
449.00000000
NC
USD
26042.00000000
0.002814301831
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Energy Select Sector SPDR Fund
Energy Select Sector SPDR Fund
100.00000000
60.00000000
USD
2021-08-20
XXXX
-28990.95000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-18187.14000000
-0.00196544433
N/A
DFE
ZA
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
551000.00000000
USD
7619944.30000000
ZAR
2021-07-14
-18187.14000000
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO XIX Ltd
87165YAC7
500000.00000000
PA
USD
499765.00000000
0.054008507600
Long
ABS-CBDO
CORP
KY
N
2
2031-04-16
Floating
1.14000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
11636.99000000
0.001257583990
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
919096646.00000000
KRW
825000.00000000
USD
2021-07-12
11636.99000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H6PA1
291291.93000000
PA
USD
307950.36000000
0.033279520092
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.345000 15-MAY-2030
000000000
320000.00000000
OU
Notional Amount
-12555.17000000
-0.00135680968
N/A
DO
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-05-15
13.06000000
GBP
0.00000000
GBP
320000.00000000
GBP
-12571.14000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MK4
10000.00000000
PA
USD
10318.50000000
0.001115097667
Long
DBT
CORP
US
N
2
2025-01-30
Fixed
4.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGKB2
120308.08000000
PA
USD
128825.02000000
0.013921837407
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
3.00000000
N
N
N
N
N
N
ENGIE SA
LAXUQCHT4FH58LRZDY46
Engie SA
000000000
100000.00000000
PA
117795.98000000
0.012729953240
Long
DBT
CORP
FR
N
2
2027-03-04
None
0.00000000
N
N
N
N
N
N
HEIMSTADEN BOSTAD AB
549300TJR3PR8EXILG79
Heimstaden Bostad AB
000000000
100000.00000000
PA
122601.82000000
0.013249309830
Long
DBT
CORP
SE
N
2
2026-01-15
Fixed
3.38000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
79500000.00000000
PA
12055966.26000000
1.302861835843
Long
DBT
NUSS
CN
N
2
2025-06-19
Fixed
2.41000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
4748.52000000
0.000513162143
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
280000.00000000
EUR
337263.92000000
USD
2021-09-15
4748.52000000
N
N
N
BANCO DE SABADELL SA
SI5RG2M0WQQLZCXKRM20
Banco de Sabadell SA
000000000
200000.00000000
PA
243586.28000000
0.026323835112
Long
DBT
CORP
ES
N
2
2027-03-11
Fixed
1.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: USD 1.679000 30-MAR-2031
000000000
400000.00000000
OU
Notional Amount
USD
-11313.95000000
-0.00122267376
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-31
0.00000000
USD
-6.72000000
USD
400000.00000000
USD
-11307.23000000
N
N
N
GOL FINANCE SA
5299007RH8MA67ZC6J07
Gol Finance SA
36254VAA6
650000.00000000
PA
USD
622050.00000000
0.067223579388
Long
DBT
CORP
LU
N
2
2025-01-31
Fixed
7.00000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AS6
130000.00000000
PA
USD
130949.00000000
0.014151371268
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.38000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
21140.20000000
0.002284575055
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
14384100000.00000000
IDR
1000000.00000000
USD
2021-09-15
21140.20000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EEHB8
651.17000000
PA
USD
701.94000000
0.000075857116
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BYFD8
55290.51000000
PA
USD
59902.61000000
0.006473543700
Long
ABS-MBS
USGA
US
N
2
2047-12-15
Fixed
4.00000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
1400000.00000000
PA
218991.68000000
0.023665950624
Long
DBT
NUSS
CN
N
2
2024-04-11
Fixed
3.19000000
N
N
N
N
N
N
United Rentals Inc
5323X5O7RN0NKFCDRY08
United Rentals Inc
911363109
561.00000000
NS
USD
178964.61000000
0.019340312946
Long
EC
CORP
US
N
1
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BLACKROCK FXVAN PUT USD RUB 71.8000000
000000000
2193000.00000000
OU
Notional Amount
USD
934.22000000
0.000100959106
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
934.22000000
0.00000000
DFE
US
157457400.00000000
RUB
2193000.00000000
USD
2021-07-08
1.00000000
71.80000000
USD
2021-07-08
XXXX
-10144.82000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 1.682500 21-JUN-2051
000000000
345286.00000000
OU
Notional Amount
15479.60000000
0.001672846426
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-21
0.00000000
AUD
-12.26000000
AUD
345286.00000000
AUD
15489.12000000
N
N
N
VIVO ENERGY INVESTMENTS
724500P3OXMB2IERLM56
Vivo Energy Investments BV
92856HAB0
350000.00000000
PA
USD
372925.00000000
0.040301186952
Long
DBT
CORP
NL
N
2
2027-09-24
Fixed
5.13000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDD1
2206000.00000000
PA
USD
2115002.50000000
0.228563682125
Long
DBT
CORP
MX
N
2
2050-01-23
Fixed
7.69000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 2.669400 14-MAY-2031
000000000
960000.00000000
OU
Notional Amount
USD
13158.22000000
0.001421979980
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-05-14
19.97000000
USD
0.00000000
USD
960000.00000000
USD
13138.25000000
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
038461AK5
200000.00000000
PA
USD
204037.50000000
0.022049885185
Long
DBT
NUSS
EG
N
2
2022-01-31
Fixed
6.13000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300MP4QPQUMB6AD63
Anchorage Capital CLO 4-R Ltd
03328LAA0
400000.00000000
PA
USD
400218.40000000
0.043250724837
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
1.23000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2017-SCH
054966AW6
150000.00000000
PA
USD
124624.50000000
0.013467896422
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
2.07000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (MEX)
000000000
710000.00000000
OU
Notional Amount
USD
-2397.02000000
-0.00025904069
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-340.83000000
USD
710000.00000000
USD
-2056.19000000
N
N
N
CIRSA FINANCE INTER
254900KUJN6DHWH2K029
Cirsa Finance International Sarl
50200RAA1
200000.00000000
PA
USD
203620.00000000
0.022004766875
Long
DBT
CORP
LU
N
2
2023-12-20
Fixed
7.88000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-49414.02000000
-0.00534006477
N/A
DFE
RU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4280000.00000000
USD
312911656.00000000
RUB
2021-09-15
-49414.02000000
N
N
N
Inkia Energy Ltd
N/A
Inkia Energy Ltd
000000000
200000.00000000
PA
USD
205975.00000000
0.022259266561
Long
DBT
CORP
BM
N
2
2027-11-09
Fixed
5.88000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (MEX)
000000000
540000.00000000
OU
Notional Amount
USD
-1823.09000000
-0.00019701733
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1298.63000000
USD
540000.00000000
USD
-524.46000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F012478
1924000.00000000
PA
USD
1947185.70000000
0.210428088559
Long
ABS-MBS
USGSE
US
N
2
2036-07-19
Fixed
1.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) SEP21 XCBT 20210921
000000000
115.00000000
NC
USD
493078.95000000
0.053285960839
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Long Bond
USU1 Comdty
2021-09-21
17971608.55000000
USD
493078.95000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST AUG21 440 CALL
000000000
112.00000000
NC
USD
26992.00000000
0.002916966248
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
440.00000000
USD
2021-08-20
XXXX
1310.43000000
N
N
N
MFT Trust
N/A
MFT Trust 2020-ABC
55317BAG2
100000.00000000
PA
USD
99646.82000000
0.010768613319
Long
ABS-MBS
CORP
US
N
2
2042-02-10
Variable
3.59000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
5765.16000000
0.000623028198
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
4446320000.00000000
IDR
308343.97000000
USD
2021-09-15
5765.16000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NOK 0.475000 26-NOV-2022
000000000
32686920.00000000
OU
Notional Amount
-20704.98000000
-0.00223754178
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-11-28
563.85000000
NOK
0.00000000
NOK
32686920.00000000
NOK
-20767.34000000
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
200000.00000000
PA
USD
200725.00000000
0.021691910574
Long
DBT
CORP
KY
N
2
2024-08-03
Fixed
6.65000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
PULTEGROUP INC JUL21 50 PUT
000000000
-34.00000000
NC
USD
-680.00000000
-0.00007348610
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
PulteGroup Inc
PulteGroup Inc
100.00000000
50.00000000
USD
2021-07-16
XXXX
3104.29000000
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91086QAV0
200000.00000000
PA
USD
250912.50000000
0.027115563641
Long
DBT
NUSS
MX
N
2
2040-01-11
Fixed
6.05000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-12666.30000000
-0.00136881926
N/A
DFE
IN
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
686311.79000000
USD
50540000.00000000
INR
2021-09-15
-12666.30000000
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69370RAH0
483000.00000000
PA
USD
495678.75000000
0.053566915524
Long
DBT
CORP
ID
N
2
2030-08-27
Fixed
3.10000000
N
N
N
N
N
N
ORANO SA
969500161UMNDC85C891
Orano SA
000000000
200000.00000000
PA
247584.63000000
0.026755928028
Long
DBT
CORP
FR
N
2
2028-03-08
Fixed
2.75000000
N
N
N
N
N
N
Kingdom of Denmark
549300PTO6LS1PTM6607
Denmark Government Bond
000000000
450000.00000000
PA
126205.94000000
0.013638799175
Long
DBT
NUSS
DK
N
2
2039-11-15
Fixed
4.50000000
N
N
N
N
N
N
Energuate Trust
549300RVM37LH8GY7E41
Energuate Trust
29277RAA3
351000.00000000
PA
USD
365325.19000000
0.039479892151
Long
DBT
CORP
KY
N
2
2027-05-03
Fixed
5.88000000
N
N
N
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
05958AAD0
339000.00000000
PA
USD
346963.11000000
0.037495542432
Long
DBT
CORP
BR
N
2
2022-01-26
Fixed
5.88000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAQ6
1133000.00000000
PA
USD
1204945.50000000
0.130215817825
Long
DBT
CORP
KY
N
2
2030-07-08
Fixed
3.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: USD 1.657000 25-MAR-2031
000000000
190000.00000000
OU
Notional Amount
USD
-5032.40000000
-0.00054384043
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-25
0.00000000
USD
-3.19000000
USD
190000.00000000
USD
-5029.21000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHPB2
13274.77000000
PA
USD
13969.05000000
0.001509604600
Long
ABS-MBS
USGSE
US
N
2
2031-07-01
Fixed
2.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
RALPH LAUREN CORP JUL21 115 PUT
000000000
-24.00000000
NC
USD
-4380.00000000
-0.00047333699
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Ralph Lauren Corp
Ralph Lauren Corp
100.00000000
115.00000000
USD
2021-07-16
XXXX
94.36000000
N
N
N
ING Bank NV
3TK20IVIUJ8J3ZU0QE75
ING Bank NV
000000000
500000.00000000
PA
595141.03000000
0.064315586010
Long
DBT
CORP
NL
N
2
2022-04-08
None
0.00000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
190000.00000000
PA
257305.69000000
0.027806461665
Long
DBT
NUSS
FR
N
2
2031-05-25
Fixed
1.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BBM0
900000.00000000
PA
USD
901706.76000000
0.097445472174
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
3.07000000
N
N
N
N
N
N
GOLD FIELDS OROGEN HOLD
213800CLGJ2E9KGU2F20
Gold Fields Orogen Holdings BVI Ltd
38060AAB0
400000.00000000
PA
USD
435200.00000000
0.047031109637
Long
DBT
CORP
VG
N
2
2024-05-15
Fixed
5.13000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION NOV21 0.79 PUT
000000000
-8547941.00000000
OU
Notional Amount
-105387.29000000
-0.01138897332
N/A
DIR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
8547941.00000000
OU
Notional Amount
N/A
-105387.29000000
-0.01000000
DIR
GB
N/A
N/A
2051-11-26
0.00000000
N/A
0.00000000
N/A
8547941.00000000
EUR
1.00000000
0.79000000
EUR
2021-11-24
XXXX
91731.37000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1363.90000000
0.000147393682
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
120000.00000000
EUR
143870.50000000
USD
2021-09-15
1363.90000000
N
N
N
KOOKMIN BANK
549300XXMOJSIW8P4769
Kookmin Bank
000000000
500000.00000000
PA
USD
527750.00000000
0.057032785181
Long
DBT
CORP
KR
N
2
2024-07-02
Fixed
4.35000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
000000000
100000.00000000
PA
120656.24000000
0.013039055266
Long
DBT
CORP
US
N
2
2026-02-26
Fixed
0.85000000
N
N
N
N
N
N
UPJOHN FINANCE BV
254900OG32E8F3XO5O83
Upjohn Finance BV
000000000
105000.00000000
PA
130299.41000000
0.014081171501
Long
DBT
CORP
NL
N
2
2027-06-23
Fixed
1.36000000
N
N
N
N
N
N
UPJOHN FINANCE BV
254900OG32E8F3XO5O83
Upjohn Finance BV
000000000
390000.00000000
PA
474947.00000000
0.051326480765
Long
DBT
CORP
NL
N
2
2024-06-23
Fixed
1.02000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AN9
1845000.00000000
PA
USD
2220014.70000000
0.239912120295
Long
DBT
CORP
CO
N
2
2030-04-29
Fixed
6.88000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
000000000
100000.00000000
PA
127227.43000000
0.013749189359
Long
DBT
CORP
US
N
2
2024-06-19
Fixed
2.38000000
N
N
N
N
N
N
BANCO MERCANTIL DE NORTE
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
05971PAA6
400000.00000000
PA
USD
430000.00000000
0.046469157040
Long
DBT
CORP
MX
N
2
2024-09-27
Fixed
6.75000000
N
N
N
N
N
N
VOLKSWAGEN LEASING GMBH
5299004GLEUX88BSNB74
Volkswagen Leasing GmbH
000000000
40000.00000000
PA
47366.35000000
0.005118777573
Long
DBT
CORP
DE
N
2
2029-07-19
Fixed
0.63000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
300000.00000000
PA
376994.55000000
0.040740974296
Long
DBT
CORP
FR
N
2
2027-02-01
Fixed
5.88000000
N
N
N
N
N
N
Heathrow Finance PLC
549300F740QSGMPHQJ60
Heathrow Finance PLC
000000000
200000.00000000
PA
284129.81000000
0.030705285490
Long
DBT
CORP
GB
N
2
2027-03-01
Variable
4.38000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-10025.40000000
-0.00108342299
N/A
DFE
TR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
605000.00000000
USD
5256845.00000000
TRY
2021-07-30
-10025.40000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: CAD 1.905000 09-JUL-2021
000000000
720000.00000000
OU
Notional Amount
4185.24000000
0.000452289708
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2021-07-09
0.16000000
CAD
0.00000000
CAD
720000.00000000
CAD
4183.55000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7S63
13711.94000000
PA
USD
14480.16000000
0.001564839137
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
67948.79000000
0.007343076728
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
27850814.00000000
ZAR
2000000.00000000
USD
2021-09-15
67948.79000000
N
N
N
Minejesa Capital BV
549300KS7ERCP10BKC35
Minejesa Capital BV
000000000
200000.00000000
PA
USD
211772.00000000
0.022885735639
Long
DBT
CORP
NL
N
2
2030-08-10
Fixed
4.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CDS: (CMBX.NA.9.BBB-)
000000000
70000.00000000
OU
Notional Amount
USD
-5408.69000000
-0.00058450526
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-349.76000000
USD
70000.00000000
USD
-5058.93000000
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
000000000
100000.00000000
PA
123075.88000000
0.013300540454
Long
DBT
CORP
US
N
2
2024-05-17
Fixed
1.38000000
N
N
N
N
N
N
Hilton Worldwide Holdings Inc
549300HVGPK36ICB0B89
Hilton Worldwide Holdings Inc
43300A203
3315.00000000
NS
USD
399855.30000000
0.043211485416
Long
EC
CORP
US
N
1
N
N
N
MERLIN PROPERTIES SOCIMI
959800L8KD863DP30X04
Merlin Properties Socimi SA
000000000
100000.00000000
PA
117600.33000000
0.012708809773
Long
DBT
ES
N
2
2030-06-01
Fixed
1.38000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBM4
171000.00000000
PA
USD
163038.51000000
0.017619214243
Long
DBT
CORP
US
N
2
2041-02-04
Fixed
3.40000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
830000.00000000
OU
Notional Amount
USD
-2802.16000000
-0.00030282328
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1597.40000000
USD
830000.00000000
USD
-1204.76000000
N
N
N
United States Steel Corp
JNLUVFYJT1OZSIQ24U47
United States Steel Corp
912909108
10404.00000000
NS
USD
249696.00000000
0.026984099154
Long
EC
CORP
US
N
1
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-IND
056059AJ7
700000.00000000
PA
USD
700227.64000000
0.075672065505
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
1.17000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: IFS 3.505000 15-DEC-2024
000000000
550000.00000000
OU
Notional Amount
-10610.48000000
-0.00114665130
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-12-16
0.00000000
GBP
-19.84000000
GBP
550000.00000000
GBP
-10584.31000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD/CNH One-touch barrier option; Barrier price USD 6.38000
000000000
281184.00000000
OU
Notional Amount
USD
13404.04000000
0.001448545208
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD/CNH One-touch barrier option; Barrier price USD 6.38000
N/A
1.00000000
NC
USD
13404.04000000
0.00000000
DFE
US
1793953.92000000
CNY
281184.00000000
USD
2021-07-22
1.00000000
6.38000000
USD
2021-07-22
XXXX
-1864.25000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRT4
266731.80000000
PA
USD
284221.70000000
0.030715215841
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.00000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
12540.35000000
0.001355208124
N/A
DFE
BR
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
551000.00000000
USD
2802937.00000000
BRL
2021-07-02
12540.35000000
N
N
N
FORTUNE STAR BVI LTD
2549008CU8NYQQRSNU62
Fortune Star BVI Ltd
000000000
200000.00000000
PA
USD
213187.50000000
0.023038705620
Long
DBT
CORP
VG
N
2
2024-07-02
Fixed
6.85000000
N
N
N
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAC7
47757.00000000
PA
USD
46742.16000000
0.005051322728
Long
DBT
CORP
XX
N
2
2026-12-31
Fixed
8.00000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FK9
110000.00000000
PA
USD
116008.93000000
0.012536830665
Long
DBT
CORP
US
N
2
2050-02-05
Fixed
3.25000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B25 Mortgage Trust
08163DAE7
200000.00000000
PA
USD
209185.54000000
0.022606222578
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Fixed
2.58000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRF4
47798.48000000
PA
USD
50754.76000000
0.005484955611
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
COMCAST CORP AUG21 57.5 CALL
000000000
25.00000000
NC
USD
4087.50000000
0.000441727161
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Comcast Corp
Comcast Corp
100.00000000
57.50000000
USD
2021-08-20
XXXX
187.68000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135CB0
462000.00000000
PA
USD
485300.04000000
0.052445311094
Long
DBT
CORP
US
N
2
2051-05-12
Fixed
3.10000000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
000000000
230000.00000000
PA
277117.18000000
0.029947445944
Long
DBT
CORP
US
N
2
2023-05-21
Fixed
0.75000000
N
N
N
N
N
N
ENA MASTER TRUST
549300CBCHB6Q73VG753
ENA Master Trust
29249BAA3
314000.00000000
PA
USD
316021.38000000
0.034151737524
Long
DBT
CORP
PA
N
2
2048-05-19
Fixed
4.00000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDF6
150000.00000000
PA
USD
132562.50000000
0.014325738674
Long
DBT
CORP
MX
N
2
2060-01-28
Fixed
6.95000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3252.55000000
-0.00035149594
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
145759.15000000
USD
120000.00000000
EUR
2021-09-15
-3252.55000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
13937.15000000
0.001506157237
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
39960230.00000000
MXN
2000000.00000000
USD
2021-09-15
13937.15000000
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
23371DAJ3
200000.00000000
PA
USD
199594.00000000
0.021569685884
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
1.55000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z94
-1720000.00000000
PA
USD
-1736998.43000000
-0.18771361121
Short
DBT
UST
US
N
2
2030-02-15
Fixed
1.50000000
N
N
N
N
N
N
iShares Latin America 40 ETF
549300LU9LZBB8WGN795
iShares Latin America 40 ETF
464287390
9782.00000000
NS
USD
308328.64000000
0.033320399982
Long
EC
RF
US
N
1
N
N
N
BBVA BANCOMER SA TEXAS
549300WIWQK5Q9MCUN92
BBVA Bancomer SA/Texas
000000000
429000.00000000
PA
USD
446428.13000000
0.048244509024
Long
DBT
CORP
MX
N
2
2033-01-18
Fixed
5.13000000
N
N
N
N
N
N
COVESTRO AG
3912005AWHKLQ1CPLV11
Covestro AG
000000000
60000.00000000
PA
73450.11000000
0.007937592316
Long
DBT
CORP
DE
N
2
2026-02-03
Fixed
0.88000000
N
N
N
N
N
N
VONOVIA SE
5299005A2ZEP6AP7KM81
Vonovia SE
000000000
200000.00000000
PA
237329.79000000
0.025647709957
Long
DBT
CORP
DE
N
2
2029-12-14
Fixed
0.63000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-18962.52000000
-0.00204923795
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4187753.20000000
BRL
823000.00000000
USD
2021-07-02
-18962.52000000
N
N
N
Vonovia Finance BV
5299009XLZLD9TALOZ03
Vonovia Finance BV
000000000
200000.00000000
PA
238593.80000000
0.025784308746
Long
DBT
CORP
NL
N
2
2022-01-25
Fixed
0.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: ZAR 5.880000 16-JUN-2026
000000000
34845048.00000000
OU
Notional Amount
7197.13000000
0.000777778056
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-06-17
0.00000000
ZAR
-321.65000000
ZAR
34845048.00000000
ZAR
7220.35000000
N
N
N
PUMA INTERNATIONAL FINAN
222100YFBPO7IDRUBR17
Puma International Financing SA
000000000
697000.00000000
PA
USD
701356.25000000
0.075794031913
Long
DBT
CORP
LU
N
2
2024-10-06
Fixed
5.13000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
486000.00000000
PA
USD
573966.00000000
0.062027246953
Long
DBT
NUSS
QA
N
2
2028-04-23
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 2.505000 30-MAR-2031
000000000
330000.00000000
OU
Notional Amount
USD
-2561.46000000
-0.00027681136
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-31
6.86000000
USD
0.00000000
USD
330000.00000000
USD
-2568.32000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION DEC21 0.82 PUT
000000000
-8172698.00000000
OU
Notional Amount
-100161.94000000
-0.01082428120
N/A
DIR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
IRS Swap
N/A
8172698.00000000
OU
Notional Amount
N/A
-100161.94000000
-0.01000000
DIR
DE
N/A
N/A
2051-12-13
0.00000000
N/A
0.00000000
N/A
8172698.00000000
EUR
1.00000000
0.82000000
EUR
2021-12-09
XXXX
74919.36000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
3306.02000000
0.000357274331
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
675000.00000000
NOK
81726.18000000
USD
2021-09-15
3306.02000000
N
N
N
HUARONG FINANCE 2017 CO
5493006V07LYI3HE6G83
Huarong Finance 2017 Co Ltd
000000000
200000.00000000
PA
USD
139000.00000000
0.015021425182
Long
DBT
CORP
VG
N
2
2027-04-27
Fixed
4.75000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
PARKER-HANNIFIN CORP NOV21 340 CALL
000000000
13.00000000
NC
USD
10985.00000000
0.001187124860
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Parker-Hannifin Corp
Parker-Hannifin Corp
100.00000000
340.00000000
USD
2021-11-19
XXXX
2222.31000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION DEC21 0.52 PUT
000000000
8172698.00000000
OU
Notional Amount
328543.05000000
0.035504926942
N/A
DIR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
IRS Swap
N/A
8172698.00000000
OU
Notional Amount
N/A
328543.05000000
0.04000000
DIR
DE
N/A
N/A
2051-12-13
0.00000000
N/A
0.00000000
N/A
8172698.00000000
EUR
1.00000000
0.52000000
EUR
2021-12-09
XXXX
-80952.67000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9ZX4
11792.20000000
PA
USD
12715.29000000
0.001374113506
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-18972.69000000
-0.00205033700
N/A
DFE
ID
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1014736.48000000
USD
14632500000.00000000
IDR
2021-09-15
-18972.69000000
N
N
N
ENERGEAN ISRAEL FINANCE
98450044QACBL3F8EB03
Energean Israel Finance Ltd
000000000
171606.00000000
PA
USD
175896.15000000
0.019008711202
Long
DBT
CORP
IL
N
2
2026-03-30
Fixed
4.88000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CC2
859000.00000000
PA
USD
867482.63000000
0.093746945496
Long
DBT
NUSS
BR
N
2
2030-06-12
Fixed
3.88000000
N
N
N
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond
699149AJ9
650000.00000000
PA
USD
746606.25000000
0.080684100183
Long
DBT
NUSS
PY
N
2
2031-04-28
Fixed
4.95000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KC4
108000.00000000
PA
USD
133361.02000000
0.014412032980
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
4.25000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (MEX)
000000000
740000.00000000
OU
Notional Amount
USD
-2498.31000000
-0.00026998688
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1960.48000000
USD
740000.00000000
USD
-537.83000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAV1
1643000.00000000
PA
USD
1844575.56000000
0.199339235746
Long
DBT
CORP
NL
N
2
2025-01-27
Fixed
5.30000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16
46641BAJ2
1000000.00000000
PA
USD
1071393.40000000
0.115783135248
Long
ABS-MBS
CORP
US
N
2
2046-12-15
Variable
5.12000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2019-2 Ltd
69689PAC1
1000000.00000000
PA
USD
1000112.80000000
0.108079997119
Long
ABS-CBDO
CORP
KY
N
2
2027-04-20
Floating
1.79000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
000000000
305000.00000000
PA
362999.86000000
0.039228598837
Long
DBT
CORP
CH
N
2
2026-01-29
Fixed
0.25000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST JUL21 436 CALL
000000000
136.00000000
NC
USD
25636.00000000
0.002770426302
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
436.00000000
USD
2021-07-30
XXXX
580.08000000
N
N
N
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
158948.60000000
0.017177226639
N/A
DFE
US
N
2
Commonwealth Bank of Australia
MSFSBD3QN1GSN7Q6C537
5779864.00000000
GBP
8155567.28000000
USD
2021-09-15
158948.60000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9Y96
79380.75000000
PA
USD
87141.27000000
0.009417165954
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
3390.28000000
0.000366380124
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
10932280.80000000
MXN
551000.00000000
USD
2021-07-14
3390.28000000
N
N
N
PHOSAGRO(PHOS BOND FUND)
635400F8A3KGJIIBIK95
Phosagro OAO Via Phosagro Bond Funding DAC
71922LAC3
200000.00000000
PA
USD
208225.00000000
0.022502419127
Long
DBT
CORP
IE
N
2
2025-01-23
Fixed
3.05000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0175000 PUT USD 202
000000000
-16690080.00000000
OU
Notional Amount
USD
-50073.74000000
-0.00541135927
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
IRS Swap
N/A
16690080.00000000
OU
Notional Amount
N/A
-50073.74000000
-0.01000000
DIR
US
N/A
N/A
2031-09-02
0.00000000
N/A
0.00000000
N/A
16690080.00000000
USD
1.00000000
0.01750000
USD
2021-08-31
XXXX
83332.60000000
N
N
N
Stoneway Capital Corp
549300CV1RKODDF74O91
Stoneway Capital Corp
86188PAA5
546404.71000000
PA
USD
147700.02000000
0.015961617265
Long
DBT
CORP
CA
N
2
2027-03-01
None
0.00000000
Y
N
N
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
000000000
250000.00000000
PA
USD
244450.00000000
0.026417175438
Long
DBT
CORP
CL
N
2
2047-09-14
Fixed
4.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-IND
056059AG3
700000.00000000
PA
USD
700228.48000000
0.075672156282
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
0.97000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-21045.44000000
-0.00227433454
N/A
DFE
ZA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
551000.00000000
USD
7579066.71000000
ZAR
2021-07-14
-21045.44000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJJ25
81281.40000000
PA
USD
87034.80000000
0.009405659974
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
4.00000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
120000.00000000
PA
167963.12000000
0.018151406047
Long
DBT
NUSS
IT
N
2
2067-03-01
Fixed
2.80000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-17626.01000000
-0.00190480424
N/A
DFE
XX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
826512.73000000
USD
682000.00000000
EUR
2021-07-14
-17626.01000000
N
N
N
AMER AIRLINE 19-1B PTT
N/A
American Airlines 2019-1 Class B Pass Through Trust
02379DAA8
86106.54000000
PA
USD
82094.20000000
0.008871740167
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.85000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AR1
620000.00000000
PA
USD
403116.25000000
0.043563889132
Long
DBT
CORP
AR
N
2
2047-12-15
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329J6V4
61549.20000000
PA
USD
66060.90000000
0.007139056596
Long
ABS-MBS
USGSE
US
N
2
2023-08-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-2809.44000000
-0.00030361001
N/A
DFE
SE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
81736.45000000
USD
675000.00000000
SEK
2021-09-15
-2809.44000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (COLOM)
000000000
730000.00000000
OU
Notional Amount
USD
12388.30000000
0.001338776414
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Colombia Government International Bond
Colombia Government International Bond
Y
buy protection
2026-06-23
14517.19000000
USD
0.00000000
USD
730000.00000000
USD
-2128.89000000
N
N
N
BDS Ltd
N/A
BDS 2021-FL7 Ltd
05493FAA7
270000.00000000
PA
USD
270946.86000000
0.029280632993
Long
ABS-CBDO
CORP
KY
N
2
2036-06-16
Floating
1.14000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DP0
200000.00000000
PA
USD
203662.50000000
0.022009359757
Long
DBT
NUSS
CL
N
2
2031-01-31
Fixed
2.45000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0260000 PUT USD 202
000000000
-4714000.00000000
OU
Notional Amount
USD
-49280.06000000
-0.00532558801
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
4714000.00000000
OU
Notional Amount
N/A
-49280.06000000
-0.01000000
DIR
US
N/A
N/A
2052-04-22
0.00000000
N/A
0.00000000
N/A
4714000.00000000
USD
1.00000000
0.02600000
USD
2022-04-20
XXXX
95352.70000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (COLOM)
000000000
720000.00000000
OU
Notional Amount
USD
12218.60000000
0.001320437307
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Colombia Government International Bond
Colombia Government International Bond
Y
buy protection
2026-06-23
13805.79000000
USD
0.00000000
USD
720000.00000000
USD
-1587.19000000
N
N
N
ALPHA HOLDING SA
549300R872G37EN6NT94
Alpha Holding SA de CV
02074AAB0
308000.00000000
PA
USD
54920.25000000
0.005935110981
Long
DBT
CORP
MX
N
2
2025-02-10
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AA56
7890.48000000
PA
USD
9158.37000000
0.000989724962
Long
ABS-MBS
USGSE
US
N
2
2038-11-01
Fixed
6.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0045000 PUT EUR
000000000
2485000.00000000
OU
Notional Amount
28780.78000000
0.003110275780
N/A
DIR
LU
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
2485000.00000000
OU
Notional Amount
N/A
28780.78000000
0.00000000
DIR
LU
N/A
N/A
2032-06-10
0.00000000
N/A
0.00000000
N/A
2485000.00000000
EUR
1.00000000
0.00450000
EUR
2022-06-08
XXXX
-1795.80000000
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
000000000
300000.00000000
PA
355556.14000000
0.038424172340
Long
DBT
CORP
NL
N
2
2030-06-17
Fixed
0.50000000
N
N
N
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
200000.00000000
PA
USD
197450.00000000
0.021337988506
Long
DBT
CORP
KY
N
2
2026-07-12
Fixed
2.70000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: PLN 0.735240 17-JUN-2023
000000000
25606500.00000000
OU
Notional Amount
8939.16000000
0.000966035418
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-06-19
0.00000000
PLN
-112.39000000
PLN
25606500.00000000
PLN
8969.29000000
N
N
N
Verisure Holding AB
549300VQQCWGISM3N408
Verisure Holding AB
000000000
100000.00000000
PA
119523.61000000
0.012916654425
Long
DBT
CORP
SE
N
2
2023-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJH35
3764.23000000
PA
USD
3997.66000000
0.000432018349
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
VanEck Vectors Semiconductor ETF
549300MJTG2N9QRH7I02
VanEck Vectors Semiconductor ETF
92189F676
628.00000000
NS
USD
164686.72000000
0.017797332684
Long
EC
RF
US
N
1
N
N
N
DIG INTL FIN/DIG INTL HL
N/A
Digicel International Finance Ltd/Digicel international Holdings Ltd
25381XAB9
65639.00000000
PA
USD
66061.55000000
0.007139126840
Long
DBT
CORP
XX
N
2
2025-12-31
Fixed
13.00000000
N
N
Y
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
54000.00000000
PA
USD
57624.75000000
0.006227380365
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.88000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
700000.00000000
PA
1208807.04000000
0.130633125985
Long
DBT
NUSS
IT
N
2
2049-09-01
Fixed
3.85000000
N
N
N
N
N
N
SNAM SPA
8156002278562044AF79
Snam SpA
000000000
290000.00000000
PA
343348.30000000
0.037104897842
Long
DBT
CORP
IT
N
2
2025-08-15
None
0.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST JUL21 410 PUT
000000000
158.00000000
NC
USD
553.00000000
0.000059761497
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Purchased
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
410.00000000
USD
2021-07-02
XXXX
-91530.37000000
N
N
N
Hellenic Republic
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
136634.00000000
PA
197893.62000000
0.021385929546
Long
DBT
NUSS
GR
N
2
2028-01-30
Fixed
3.75000000
N
N
N
N
N
N
HTA GROUP LTD
213800WEFU8O8X6EPU13
HTA Group Ltd/Mauritius
40435WAB6
805000.00000000
PA
USD
854457.19000000
0.092339314759
Long
DBT
CORP
MU
N
2
2025-12-18
Fixed
7.00000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
SWP: CLP 1.650000 28-MAY-2023
000000000
5282574000.00000000
OU
Notional Amount
-107549.59000000
-0.01162264834
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2023-05-30
0.00000000
CLP
0.00000000
CLP
5282574000.00000000
CLP
-107549.59000000
N
N
N
BORGWARNER INC
549300DSFX2IE88NSX47
BorgWarner Inc
000000000
370000.00000000
PA
441393.26000000
0.047700401664
Long
DBT
CORP
US
N
2
2031-05-19
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WD7A3
1573.62000000
PA
USD
1648.62000000
0.000178162748
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION AUG21 2.27 PUT
000000000
-5186391.00000000
OU
Notional Amount
USD
-9176.07000000
-0.00099163776
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
5186391.00000000
OU
Notional Amount
N/A
-9176.07000000
0.00000000
DIR
GB
N/A
N/A
2051-08-25
0.00000000
N/A
0.00000000
N/A
5186391.00000000
USD
1.00000000
2.27000000
USD
2021-08-23
XXXX
146341.99000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKK87
11714.38000000
PA
USD
12337.90000000
0.001333329796
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
VTR COMUNICACIONES SPA
213800XDZJKMC1AEUV94
VTR Comunicaciones SpA
918367AC7
1114000.00000000
PA
USD
1112496.10000000
0.120225013902
Long
DBT
CORP
CL
N
2
2029-04-15
Fixed
4.38000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-LC19 Mortgage Trust
200474BC7
500000.00000000
PA
USD
535258.70000000
0.057844233924
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Fixed
3.18000000
N
N
N
N
N
N
Redexis Gas Finance BV
724500XI19XTPCL36320
Redexis Gas Finance BV
000000000
300000.00000000
PA
381316.73000000
0.041208062810
Long
DBT
CORP
NL
N
2
2027-04-27
Fixed
1.88000000
N
N
N
N
N
N
AMER AIRLN 15-2 AA PTT
N/A
American Airlines 2015-2 Class AA Pass Through Trust
02377BAB2
9921.19000000
PA
USD
10262.44000000
0.001109039386
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7MC6
15766.82000000
PA
USD
16309.02000000
0.001762480026
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DEVON ENERGY CORP JAN22 38 CALL
000000000
-168.00000000
NC
USD
-25032.00000000
-0.00270515334
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Devon Energy Corp
Devon Energy Corp
100.00000000
38.00000000
USD
2022-01-21
XXXX
-3663.18000000
N
N
N
Equate Petrochemical BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
29441WAC9
237000.00000000
PA
USD
263262.56000000
0.028450207543
Long
DBT
CORP
NL
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
Wynn Macau Ltd
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
000000000
200000.00000000
PA
USD
202787.50000000
0.021914800426
Long
DBT
CORP
KY
N
2
2024-10-01
Fixed
4.88000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
499000.00000000
PA
USD
523731.69000000
0.056598535232
Long
DBT
NUSS
UA
N
2
2032-09-25
Fixed
7.38000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030678
4922566.00000000
PA
USD
5131102.04000000
0.554506945321
Long
ABS-MBS
USGSE
US
N
2
2051-07-14
Fixed
3.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
17778.97000000
0.001921334299
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
661000.00000000
EUR
801758.63000000
USD
2021-07-14
17778.97000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
COMCAST CORP AUG21 52.5 PUT
000000000
-25.00000000
NC
USD
-1825.00000000
-0.00019722374
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Comcast Corp
Comcast Corp
100.00000000
52.50000000
USD
2021-08-20
XXXX
71.30000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J55S4
42177.98000000
PA
USD
47015.58000000
0.005080870628
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
4.50000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Issuance Trust 2021-B
68377GAA4
190000.00000000
PA
USD
190474.20000000
0.020584129097
Long
ABS-O
CORP
US
N
2
2031-05-08
Fixed
1.47000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
977.82000000
0.000105670863
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
17827969.20000000
MXN
894000.00000000
USD
2021-07-14
977.82000000
N
N
N
PROMIGAS/GASES PACIFICO
N/A
Promigas SA ESP / Gases del Pacifico SAC
74348DAA5
671000.00000000
PA
USD
661891.18000000
0.071529128342
Long
DBT
CORP
XX
N
2
2029-10-16
Fixed
3.75000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCC7
475000.00000000
PA
596124.02000000
0.064421815583
Long
DBT
CORP
US
N
2
2029-06-12
Fixed
1.65000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 0.780000 18-NOV-2023
000000000
10736000.00000000
OU
Notional Amount
-52602.05000000
-0.00568458819
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-11-20
185.20000000
CAD
0.00000000
CAD
10736000.00000000
CAD
-52743.48000000
N
N
N
CBAM CLO Management LLC
254900JWJFDB3KD6V066
CBAM 2017-1 Ltd
12480VAC9
400000.00000000
PA
USD
400023.68000000
0.043229681874
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.44000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NOK 0.470000 23-NOV-2022
000000000
34335000.00000000
OU
Notional Amount
-21392.72000000
-0.00231186433
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-11-23
592.28000000
NOK
0.00000000
NOK
34335000.00000000
NOK
-21458.46000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
2598.00000000
NS
163049.52000000
0.017620404070
Long
EC
CORP
FR
N
2
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
320000.00000000
PA
254294.77000000
0.027481078143
Long
DBT
NUSS
AU
N
2
2022-07-15
Fixed
5.75000000
N
N
N
N
N
N
TNB GLOBAL VENTURES CAP
5493004U8XEGPFWIBZ14
TNB Global Ventures Capital Bhd
000000000
400000.00000000
PA
USD
468092.00000000
0.050585675947
Long
DBT
CORP
MY
N
2
2028-11-01
Fixed
4.85000000
N
N
N
N
N
N
Shackleton CLO LTD
549300S9WB2KLCOJR134
Shackleton 2013-III CLO Ltd
81881QAS5
397822.44000000
PA
USD
397212.34000000
0.042925866525
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
1.30000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAE0
825000.00000000
PA
USD
814687.50000000
0.088041491573
Long
DBT
CORP
JE
N
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
SWAP/CDSWAP/SCDS: (COLOM)
000000000
820000.00000000
OU
Notional Amount
USD
13915.63000000
0.001503831618
N/A
DCR
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Colombia Government International Bond
Colombia Government International Bond
Y
buy protection
2026-06-23
14479.86000000
USD
0.00000000
USD
820000.00000000
USD
-564.23000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2843.90000000
-0.00030733403
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
133474.95000000
USD
110000.00000000
EUR
2021-09-15
-2843.90000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
JOHNSON CONTROLS INTERNATIONAL JUL21 60 PUT
000000000
-116.00000000
NC
USD
-580.00000000
-0.00006267932
N/A
DE
IE
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Johnson Controls International
Johnson Controls International
100.00000000
60.00000000
USD
2021-07-16
XXXX
7914.19000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
2244000.00000000
PA
USD
2263635.00000000
0.244626070459
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0160000 CALL USD 20
000000000
4714888.00000000
OU
Notional Amount
USD
173958.06000000
0.018799266066
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
4714888.00000000
OU
Notional Amount
N/A
173958.06000000
0.02000000
DIR
US
N/A
N/A
2052-04-22
0.00000000
N/A
0.00000000
N/A
4714888.00000000
USD
1.00000000
0.01600000
USD
2022-04-20
XXXX
28347.68000000
N
N
N
Oil India Ltd
335800XXEP14XISP1A16
Oil India Ltd
000000000
200000.00000000
PA
USD
224412.50000000
0.024251766754
Long
DBT
CORP
IN
N
2
2029-02-04
Fixed
5.13000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
3849.71000000
0.000416029717
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
14359659.00000000
ZAR
1000000.00000000
USD
2021-09-15
3849.71000000
N
N
N
BAWAG P.S.K.
529900ICA8XQYGIKR372
BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse AG
000000000
400000.00000000
PA
468690.79000000
0.050650385869
Long
DBT
CORP
AT
N
2
2027-09-03
Fixed
0.38000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DIAMONDBACK ENERGY INC DEC21 130 CALL
000000000
-47.00000000
NC
USD
-16215.00000000
-0.00175231949
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Diamondback Energy Inc
Diamondback Energy Inc
100.00000000
130.00000000
USD
2021-12-17
XXXX
-2108.14000000
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAD2
725000.00000000
PA
USD
711406.25000000
0.076880113374
Long
DBT
CORP
JE
N
2
2034-03-31
Fixed
2.16000000
N
N
N
N
N
N
Hellenic Republic
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
522000.00000000
PA
773263.73000000
0.083564915588
Long
DBT
NUSS
GR
N
2
2029-03-12
Fixed
3.88000000
N
N
N
N
N
N
CMHI FINANCE BVI CO LTD
549300KTVUL1BXLNPZ11
CMHI Finance BVI Co Ltd
000000000
200000.00000000
PA
USD
204287.50000000
0.022076902137
Long
DBT
CORP
VG
N
2
2023-10-09
Fixed
3.50000000
N
N
N
N
N
N
INVEST ENERGY RES LTD
254900A71Y7WHN7L5K89
Investment Energy Resources Ltd
46143NAB6
200000.00000000
PA
USD
216250.00000000
0.023369663279
Long
DBT
CORP
BM
N
2
2029-04-26
Fixed
6.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.427500 15-NOV-2025
000000000
2680000.00000000
OU
Notional Amount
58338.57000000
0.006304521327
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-11-17
0.00000000
GBP
-96.68000000
GBP
2680000.00000000
GBP
58467.28000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
10819.71000000
0.001169262332
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4686402.00000000
USD
30533455.54000000
CNY
2021-09-15
10819.71000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042679
685000.00000000
PA
USD
729953.13000000
0.078884434023
Long
ABS-MBS
USGA
US
N
2
2051-07-21
Fixed
4.50000000
N
N
N
N
N
N
J&J Ventures Gaming, LLC
549300BYPH8FLKS5ZS70
J&J Ventures Gaming, LLC Term Loan
46604BAB4
1046000.00000000
PA
USD
1048615.00000000
0.113321523512
Long
LON
CORP
US
N
3
2028-04-07
Floating
4.75000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91086QBB3
244000.00000000
PA
USD
270199.50000000
0.029199867436
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8F24
9622.51000000
PA
USD
10730.44000000
0.001159615119
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
5.00000000
N
N
N
N
N
N
IRB Holding Corp
549300HVW4WNWYBXN830
IRB Holding Corp 2020 Fourth Amendment Incremental Term Loan
44988LAG2
847875.00000000
PA
USD
847349.32000000
0.091571182835
Long
LON
CORP
US
N
2
2027-12-15
Floating
4.25000000
N
N
N
N
N
N
LYB INT FINANCE III
N/A
LYB International Finance III LLC
50249AAJ2
218000.00000000
PA
USD
230132.64000000
0.024869929740
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.63000000
N
N
N
N
N
N
KENBOURNE INVEST SA
222100QGH6Y9KFYZ4B27
Kenbourne Invest SA
48855KAA8
362000.00000000
PA
USD
383901.00000000
0.041487339202
Long
DBT
CORP
LU
N
2
2024-11-26
Fixed
6.88000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
4386.26000000
0.000474013499
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
6846331.00000000
MXN
345610.81000000
USD
2021-08-24
4386.26000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AU2
494000.00000000
PA
USD
508944.31000000
0.055000495503
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09000000
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638BM3
16000.00000000
PA
USD
22028.00000000
0.002380517654
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.63000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2019-C50
95001XBF2
14310253.46000000
PA
USD
1236601.95000000
0.133636860956
Long
ABS-MBS
CORP
US
N
2
2052-05-15
Variable
1.58000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR SEP21 XCME 20210913
000000000
-65.00000000
NC
USD
-487561.95000000
-0.05268975074
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDU1 Comdty
2021-09-13
-15738875.55000000
USD
-487561.95000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WH3T7
18237.57000000
PA
USD
19178.83000000
0.002072614100
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAK6
500000.00000000
PA
USD
572437.50000000
0.061862065310
Long
DBT
NUSS
MX
N
2
2032-04-27
Fixed
4.75000000
N
N
N
N
N
N
INVERSIONES CMPC CI
549300G475ACIABB4385
Inversiones CMPC SA/Cayman Islands Branch
46128MAF8
257000.00000000
PA
USD
269496.63000000
0.029123909817
Long
DBT
CORP
CL
N
2
2023-05-15
Fixed
4.38000000
N
N
N
N
N
N
OIL INDIA INTERNATIONAL
529900MQ8CL8FLAGEQ79
Oil India International Pte Ltd
000000000
200000.00000000
PA
USD
211537.50000000
0.022860393738
Long
DBT
CORP
SG
N
2
2027-04-21
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
200000.00000000
PA
258282.46000000
0.027912019057
Long
DBT
CORP
GB
N
2
2025-04-02
Fixed
3.38000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
652.58000000
0.000070522889
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
725000.00000000
NOK
84881.64000000
USD
2021-09-15
652.58000000
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBM7
228000.00000000
PA
USD
217187.51000000
0.023470977928
Long
DBT
US
N
2
2051-09-15
Fixed
2.95000000
N
N
N
N
N
N
Micron Technology Inc
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112103
4696.00000000
NS
USD
399066.08000000
0.043126196142
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EP6D1
2103.81000000
PA
USD
2286.81000000
0.000247130541
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.00000000
N
N
N
N
N
N
Ares CLO Ltd
635400YF4AHA6NB2CU53
Ares XXXVII CLO Ltd
04015NAG9
400000.00000000
PA
USD
400037.64000000
0.043231190500
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.35000000
N
N
N
N
N
N
Jamestown CLO Ltd
N/A
Jamestown CLO XV Ltd
47050EAA7
1000000.00000000
PA
USD
1001053.30000000
0.108181634892
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.52000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ETBX3
2937.16000000
PA
USD
3108.18000000
0.000335894196
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 1.677000 21-JUN-2051
000000000
170134.00000000
OU
Notional Amount
7788.25000000
0.000841659098
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-21
0.00000000
AUD
-6.04000000
AUD
170134.00000000
AUD
7792.92000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
37742.56000000
0.004078755692
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
15492046.02000000
ZAR
1121000.00000000
USD
2021-07-14
37742.56000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2213.09000000
-0.00023916378
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
780357.59000000
USD
656000.00000000
EUR
2021-07-20
-2213.09000000
N
N
N
INTERCONTINENTAL HOTELS
2138007ZFQYRUSLU3J98
InterContinental Hotels Group PLC
000000000
100000.00000000
PA
149399.99000000
0.016145329295
Long
DBT
CORP
GB
N
2
2028-10-08
Fixed
3.38000000
N
N
N
N
N
N
Grupo KUO SAB De CV
549300WIYIAVCFZI6Z04
Grupo KUO SAB De CV
40052CAC0
270000.00000000
PA
USD
281778.75000000
0.030451211591
Long
DBT
CORP
MX
N
2
2027-07-07
Fixed
5.75000000
N
N
N
N
N
N
MHP LUX SA
222100RHC7R1WZ1J3M44
MHP Lux SA
000000000
400000.00000000
PA
USD
397700.00000000
0.042978566872
Long
DBT
CORP
LU
N
2
2029-09-19
Fixed
6.25000000
N
N
N
N
N
N
Equate Petrochemical BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
000000000
342000.00000000
PA
USD
379897.88000000
0.041054730802
Long
DBT
CORP
NL
N
2
2026-11-03
Fixed
4.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.480500 15-JAN-2030
000000000
270000.00000000
OU
Notional Amount
-1018.74000000
-0.00011009299
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-01-15
11.02000000
GBP
0.00000000
GBP
270000.00000000
GBP
-1033.10000000
N
N
N
Westpac Banking Corporation
EN5TNI6CI43VEPAMHL14
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
5020.57000000
0.000542561990
N/A
DFE
GB
N
2
Westpac Banking Corporation
EN5TNI6CI43VEPAMHL14
6322998.00000000
EUR
5430981.06000000
GBP
2021-09-15
5020.57000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9Y23
14513.25000000
PA
USD
15656.89000000
0.001692005767
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
546000.00000000
PA
USD
605514.00000000
0.065436570130
Long
DBT
NUSS
UA
N
2
2024-02-01
Fixed
8.99000000
N
N
N
N
N
N
iShares S&P 500 Value ETF
549300CBC7RH6BCDVO32
iShares S&P 500 Value ETF
464287408
2805.00000000
NS
USD
414130.20000000
0.044754142555
Long
EC
RF
US
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
8249.96000000
0.000891555085
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
16305300.00000000
MXN
825000.00000000
USD
2021-07-14
8249.96000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION JUL21 2.53 PUT
000000000
-2496000.00000000
OU
Notional Amount
USD
-0.02000000
-0.00000000216
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
2496000.00000000
OU
Notional Amount
N/A
-0.02000000
0.00000000
DIR
US
N/A
N/A
2051-07-12
0.00000000
N/A
0.00000000
N/A
2496000.00000000
USD
1.00000000
2.53000000
USD
2021-07-08
XXXX
23182.83000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417GHT6
163953.54000000
PA
USD
174457.12000000
0.018853198386
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2214.91000000
-0.00023936046
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
85343.76000000
USD
70000.00000000
EUR
2021-09-15
-2214.91000000
N
N
N
GARFUNKELUX HOLDCO 3 SA
2221007QVSNJV7EWBX69
Garfunkelux Holdco 3 SA
000000000
200000.00000000
PA
288003.05000000
0.031123858043
Long
DBT
CORP
LU
N
2
2025-11-01
Fixed
7.75000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1171.45000000
0.000126596032
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
70000.00000000
EUR
84300.30000000
USD
2021-09-15
1171.45000000
N
N
N
GREENKO MAURITIUS LTD
2138005EDWGI4914B264
Greenko Mauritius Ltd
000000000
200000.00000000
PA
USD
206000.00000000
0.022261968256
Long
DBT
CORP
MU
N
2
2023-02-21
Fixed
6.25000000
N
N
N
N
N
N
STELLANTIS NV
549300LKT9PW7ZIBDF31
Stellantis NV
000000000
200000.00000000
PA
236188.15000000
0.025524335426
Long
DBT
CORP
NL
N
2
2029-01-18
Fixed
0.75000000
N
N
N
N
N
N
CHROME BIDCO SASU
9845000C1FYE89DC8677
Chrome Bidco SASU
000000000
100000.00000000
PA
120205.42000000
0.012990336137
Long
DBT
CORP
FR
N
2
2028-05-31
Fixed
3.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B21 Mortgage Trust
08163LAL3
5046105.50000000
PA
USD
548358.27000000
0.059259875728
Long
ABS-MBS
CORP
US
N
2
2053-12-17
Variable
1.57000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140F5BJ1
5534.58000000
PA
USD
5730.95000000
0.000619331198
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Sea Ltd
529900OM6JLLW44YKI15
Sea Ltd
81141R100
1086.00000000
NS
USD
298215.60000000
0.032227505926
Long
EC
CORP
KY
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J75N1
18274.29000000
PA
USD
19193.33000000
0.002074181083
Long
ABS-MBS
USGSE
US
N
2
2030-08-01
Fixed
2.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
100000.00000000
PA
USD
159925.00000000
0.017282744045
Long
DBT
NUSS
ID
N
2
2035-10-12
Fixed
8.50000000
N
N
N
N
N
N
DUFRY ONE BV
7245003K5MN9U7XW0808
Dufry One BV
000000000
100000.00000000
PA
111758.85000000
0.012077533840
Long
DBT
CORP
NL
N
2
2027-02-15
Fixed
2.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
4413.94000000
0.000477004816
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1100000.00000000
SEK
133035.74000000
USD
2021-09-15
4413.94000000
N
N
N
EMPRESA DE TRANSPORTE ME
959800T4M5QUPYMSCH69
Empresa de Transporte de Pasajeros Metro SA
29246QAE5
217000.00000000
PA
USD
244260.63000000
0.026396710637
Long
DBT
CORP
CL
N
2
2050-05-07
Fixed
4.70000000
N
N
N
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
200000.00000000
PA
USD
214100.00000000
0.023137317493
Long
DBT
CORP
KY
N
2
2025-05-27
Fixed
5.40000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
745000.00000000
PA
797654.98000000
0.086200824488
Long
DBT
NUSS
ES
N
2
2050-10-31
Fixed
1.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
DAIMLER AG AUG21 70 PUT
000000000
-45.00000000
NC
-4935.68000000
-0.00053338811
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Put
Written
Daimler AG
Daimler AG
100.00000000
70.00000000
EUR
2021-08-20
XXXX
-260.32000000
N
N
N
ITT HOLDINGS LLC
N/A
ITT HOLDINGS LLC 2021 TERM LOAN
000000000
387000.00000000
PA
USD
386032.50000000
0.041717685733
Long
LON
CORP
US
N
3
2028-07-30
None
0.00000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BLACKROCK FXVAN PUT USD RUB 71.0000000
000000000
-2193000.00000000
OU
Notional Amount
USD
-162.28000000
-0.00001753724
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
-162.28000000
0.00000000
DFE
RU
-2193000.00000000
USD
-155703000.00000000
RUB
2021-07-08
1.00000000
71.00000000
USD
2021-07-08
XXXX
4657.93000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION JUL21 2.53 PUT
000000000
-2496339.00000000
OU
Notional Amount
USD
-0.02000000
-0.00000000216
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
2496339.00000000
OU
Notional Amount
N/A
-0.02000000
0.00000000
DIR
US
N/A
N/A
2051-07-12
0.00000000
N/A
0.00000000
N/A
2496339.00000000
USD
1.00000000
2.53000000
USD
2021-07-08
XXXX
22592.74000000
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AS8
982990.52000000
PA
USD
993464.19000000
0.107361496417
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
3.57000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
LAS VEGAS SANDS CORP AUG21 50 PUT
000000000
-29.00000000
NC
USD
-5524.50000000
-0.00059702060
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Las Vegas Sands Corp
Las Vegas Sands Corp
100.00000000
50.00000000
USD
2021-08-20
XXXX
-2459.73000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWP: OIS 8.675000 04-JAN-2027
000000000
23600000.00000000
OU
Notional Amount
118132.86000000
0.012766359123
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
N/A
N/A
Y
2027-01-04
0.00000000
BRL
0.00000000
BRL
23600000.00000000
BRL
118132.86000000
N
N
N
IMPERIAL BRANDS FIN NETH
724500GIEFJOBWGD0272
Imperial Brands Finance Netherlands BV
000000000
270000.00000000
PA
322486.23000000
0.034850379686
Long
DBT
CORP
NL
N
2
2033-03-18
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020675
4589000.00000000
PA
USD
4673609.73000000
0.505066754628
Long
ABS-MBS
USGA
US
N
2
2051-07-21
Fixed
2.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5086.20000000
0.000549654480
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
280000.00000000
EUR
337601.60000000
USD
2021-09-15
5086.20000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
SWAP/CDSWAP/ICE: (ITRAXX.XO.35.V1)
000000000
1888763.00000000
OU
Notional Amount
-275091.53000000
-0.02972853839
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S35.V1
2I667KJN9
Y
sell protection
2026-06-23
0.00000000
EUR
-231198.04000000
EUR
1888763.00000000
EUR
3287.03000000
N
N
N
Capri Holdings Ltd
549300LPG8W0H1OX3A26
Capri Holdings Ltd
000000000
11310.00000000
NS
USD
646818.90000000
0.069900300095
Long
EC
CORP
VG
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MAY6
7757.56000000
PA
USD
8503.98000000
0.000919006469
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
4.00000000
N
N
N
N
N
N
BRASKEM NETHERLANDS
N/A
Braskem Netherlands Finance BV
10554TAE5
738000.00000000
PA
USD
808479.00000000
0.087370552593
Long
DBT
CORP
NL
N
2
2050-01-31
Fixed
5.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.195000 05-FEB-2031
000000000
2857139.00000000
OU
Notional Amount
USD
50731.79000000
0.005482473294
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-02-05
0.00000000
USD
-44.43000000
USD
2857139.00000000
USD
50776.22000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BJW7
60307.39000000
PA
USD
64585.16000000
0.006979576610
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
3.00000000
N
N
N
N
N
N
Westpac Banking Corporation
EN5TNI6CI43VEPAMHL14
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
22955.40000000
0.002480739738
N/A
DFE
US
N
2
Westpac Banking Corporation
EN5TNI6CI43VEPAMHL14
680886.13000000
EUR
831562.15000000
USD
2021-09-16
22955.40000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.237500 10-FEB-2051
000000000
5683733.00000000
OU
Notional Amount
USD
-739239.96000000
-0.07988804137
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-02-10
175.91000000
USD
0.00000000
USD
5683733.00000000
USD
-739415.87000000
N
N
N
Porsche Automobil Holding SE
52990053Z17ZYM1KFV27
Porsche Automobil Holding SE
000000000
2912.00000000
NS
312605.35000000
0.033782574653
Long
EP
CORP
DE
N
2
N
N
N
AMADEUS IT GROUP SA
9598004A3FTY3TEHHN09
Amadeus IT Group SA
000000000
100000.00000000
PA
126614.40000000
0.013682940551
Long
DBT
CORP
ES
N
2
2028-09-24
Fixed
1.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.570000 27-MAY-2031
000000000
7832891.00000000
OU
Notional Amount
USD
-95230.23000000
-0.01029132212
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-05-27
0.00000000
USD
-126.75000000
USD
7832891.00000000
USD
-95103.48000000
N
N
N
STAR ENERGY CO ISSUE
N/A
Star Energy Geothermal Darajat II / Star Energy Geothermal Salak
85513LAB0
1470000.00000000
PA
USD
1615897.50000000
0.174626499276
Long
DBT
CORP
BM
N
2
2038-10-14
Fixed
4.85000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (MEX)
000000000
540000.00000000
OU
Notional Amount
USD
-1823.09000000
-0.00019701733
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1298.63000000
USD
540000.00000000
USD
-524.46000000
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CH8
310000.00000000
PA
USD
299305.00000000
0.032345234995
Long
DBT
NUSS
PH
N
2
2045-05-05
Fixed
2.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617AXW42
16849.19000000
PA
USD
18256.07000000
0.001972893450
Long
ABS-MBS
USGA
US
N
2
2047-06-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A8S40
30823.74000000
PA
USD
33132.16000000
0.003580519874
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
SHUI ON DEVELOPMENT HLDG
3003005J4J3G9CZFDK52
Shui On Development Holding Ltd
000000000
200000.00000000
PA
USD
207500.00000000
0.022424069967
Long
DBT
CORP
KY
N
2
2024-08-24
Fixed
6.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 1.676000 21-JUN-2051
000000000
344887.00000000
OU
Notional Amount
15847.41000000
0.001712594846
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-21
0.00000000
AUD
-12.24000000
AUD
344887.00000000
AUD
15856.80000000
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 16-C3 Mortgage Trust
23312VAF3
375000.00000000
PA
USD
398871.60000000
0.043105179115
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
2.89000000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT SEP21 XMOD 20210921
000000000
82.00000000
NC
52116.57000000
0.005632123431
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
10 Year Canadian Bond
CNU1 Comdty
2021-09-21
11868036.30000000
CAD
52116.57000000
N
N
N
BANCO LATINOAMERICANO SA
549300CN3134K4LC0651
Banco Latinoamericano de Comercio Exterior SA
05968CAC6
823000.00000000
PA
USD
839202.81000000
0.090690807364
Long
DBT
NUSS
PA
N
2
2025-09-14
Fixed
2.38000000
N
N
N
N
N
N
Embraer Overseas Ltd
N/A
Embraer Overseas Ltd
000000000
227000.00000000
PA
USD
241760.68000000
0.026126546523
Long
DBT
CORP
KY
N
2
2023-09-16
Fixed
5.70000000
N
N
N
N
N
N
STAR ENERGY CO ISSUE
N/A
Star Energy Geothermal Darajat II / Star Energy Geothermal Salak
000000000
300000.00000000
PA
USD
329775.00000000
0.035638061076
Long
DBT
CORP
BM
N
2
2038-10-14
Fixed
4.85000000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO XII Ltd
87250FAC4
650000.00000000
PA
USD
648734.26000000
0.070107288850
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
1.83000000
N
N
N
N
N
N
Finsbury Square
N/A
Finsbury Square
000000000
324000.00000000
PA
448995.93000000
0.048522005539
Long
ABS-MBS
CORP
GB
N
2
2067-12-16
Variable
1.00000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAB8
439000.00000000
PA
USD
466169.71000000
0.050377938282
Long
DBT
CORP
NL
N
2
2027-02-01
Fixed
5.40000000
N
N
N
N
N
N
Sixth Street CLO XVI, LTD.
N/A
Sixth Street CLO XIX Ltd
83012KAA5
250000.00000000
PA
USD
250000.00000000
0.027016951767
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
0.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 2.152500 21-JUN-2051
000000000
418407.00000000
OU
Notional Amount
-15056.19000000
-0.00162708943
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-21
0.00000000
AUD
-14.87000000
AUD
418407.00000000
AUD
-15044.44000000
N
N
N
SoftBank Group Corp
5493003BZYYYCDIO0R13
SoftBank Group Corp
000000000
2100000.00000000
PA
2739082.80000000
0.296006671582
Long
DBT
CORP
JP
N
2
2025-07-30
Fixed
4.75000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE SEP21 XEUR 20210908
000000000
-291.00000000
NC
-28913.41000000
-0.00312460881
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bobl (FGBM)
OEU1 Comdty
2021-09-08
-39013265.93000000
EUR
-28913.41000000
N
N
N
VOLKSWAGEN LEASING GMBH
5299004GLEUX88BSNB74
Volkswagen Leasing GmbH
000000000
225000.00000000
PA
267566.95000000
0.028915373531
Long
DBT
CORP
DE
N
2
2026-07-20
Fixed
0.38000000
N
N
N
N
N
N
CIFC Funding Ltd
549300Y56VCWZJQV2Z14
CIFC Funding 2014-V Ltd
12550AAT3
2000000.00000000
PA
USD
2000089.00000000
0.216145232177
Long
ABS-CBDO
CORP
KY
N
2
2031-10-17
Floating
1.39000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300SGFUCMB43V8P22
Wells Fargo Commercial Mortgage Trust 2016-NXS5
95000CBG7
1400000.00000000
PA
USD
1575918.96000000
0.170306106129
Long
ABS-MBS
CORP
US
N
2
2059-01-15
Variable
5.12000000
N
N
N
N
N
N
GoodLeap Sustainable Home Improvement Loan Trust
N/A
GoodLeap Sustainable Home Solutions Trust 2021-3
382371AA0
510000.00000000
PA
USD
509762.54000000
0.055088919824
Long
ABS-O
CORP
US
N
2
2048-05-20
Fixed
2.10000000
N
N
N
N
N
N
SES SA
5493008JPA4HYMH1HX51
SES SA
000000000
320000.00000000
PA
410330.26000000
0.044343491373
Long
DBT
CORP
LU
N
2
2028-07-02
Fixed
2.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-5810.20000000
-0.00062789557
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
908352.00000000
USD
760000.00000000
EUR
2021-09-15
-5810.20000000
N
N
N
Industrial Select Sector SPDR Fund
549300HQI51T8KP6U325
Industrial Select Sector SPDR Fund
81369Y704
5842.00000000
NS
USD
598220.80000000
0.064648410000
Long
EC
RF
US
N
1
N
N
N
Trimaran Advisors CAVU 2019-1
549300IGMQ24BLOIU872
Trimaran Cavu 2019-1 Ltd
89624CAG7
500000.00000000
PA
USD
501650.75000000
0.054212296468
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
3.34000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
10744.40000000
0.001161123746
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
395417250.00000000
CLP
549000.00000000
USD
2021-07-14
10744.40000000
N
N
N
Rumo Luxembourg Sarl
222100HOIQFT7YOSPB46
Rumo Luxembourg Sarl
781467AB1
848000.00000000
PA
USD
889234.00000000
0.096097568353
Long
DBT
CORP
LU
N
2
2025-01-18
Fixed
5.88000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SWP: OIS 7.610000 02-JAN-2024
000000000
26226804.00000000
OU
Notional Amount
-4179.37000000
-0.00045165535
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
26226804.00000000
BRL
-4179.37000000
N
N
N
iShares iBoxx High Yield Corporate Bond ETF
549300FCCXHK7O37PQ68
iShares iBoxx High Yield Corporate Bond ETF
464288513
2301.00000000
NS
USD
202580.04000000
0.021892380679
Long
EC
RF
US
N
1
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
42120.08000000
0.004551824679
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
10865000.00000000
SEK
1312552.68000000
USD
2021-09-15
42120.08000000
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030N101
11460.00000000
NS
USD
653449.20000000
0.070616822076
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRW7
1246940.67000000
PA
USD
1339520.77000000
0.144759072140
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
FRESENIUS FIN IRELAND PL
549300GFSOR556BX2290
Fresenius Finance Ireland PLC
000000000
101000.00000000
PA
119252.98000000
0.012887408035
Long
DBT
CORP
IE
N
2
2031-10-01
Fixed
0.88000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
592.88000000
0.000064071241
N/A
DFE
MX
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1432138.00000000
USD
28602516.92000000
MXN
2021-07-14
592.88000000
N
N
N
SURA ASSET MANAGEMENT
549300013ETMS1C0EA22
SURA Asset Management SA
86425QAA6
238000.00000000
PA
USD
256445.00000000
0.027713448784
Long
DBT
CORP
CO
N
2
2024-04-17
Fixed
4.88000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN AUG21C 133.5 EXP 07/23/2021
000000000
-66.00000000
NC
USD
-11343.75000000
-0.00122589418
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note
N/A
66.00000000
NC
N/A
-11343.75000000
0.00000000
DIR
US
Short
10 Year US Treasury Note
TYQ1 Comdty
2021-09-21
66.00000000
USD
1000.00000000
133.50000000
USD
2021-07-23
XXXX
930.93000000
N
N
N
UNITED AIR 2019-2 B PTT
N/A
United Airlines 2019-2 Class B Pass Through Trust
90932KAA7
57330.33000000
PA
USD
56758.18000000
0.006133732045
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020471
3284000.00000000
PA
USD
3387202.26000000
0.366047520345
Long
ABS-MBS
USGSE
US
N
2
2036-07-19
Fixed
2.00000000
N
N
N
N
N
N
VMED O2 UK FINAN
213800MRR46ECNGZ7L69
Vmed O2 UK Financing I PLC
000000000
300000.00000000
PA
356564.55000000
0.038533148997
Long
DBT
CORP
GB
N
2
2031-01-31
Fixed
3.25000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BLACKROCK SWAPTION 0.0304000 PUT USD 202
000000000
-18060000.00000000
OU
Notional Amount
USD
-237012.40000000
-0.02561341031
N/A
DIR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS Swap
N/A
18060000.00000000
OU
Notional Amount
N/A
-237012.40000000
-0.03000000
DIR
US
N/A
N/A
2031-06-17
0.00000000
N/A
0.00000000
N/A
18060000.00000000
USD
1.00000000
0.03040000
USD
2026-06-15
XXXX
65492.60000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT SEP21 XCBT 20210921
000000000
239.00000000
NC
USD
945010.27000000
0.102125187538
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNU1 Comdty
2021-09-21
45062489.73000000
USD
945010.27000000
N
N
N
OCP CLO Ltd
254900OVGEI8FTD7PT85
OCP CLO 2013-4 Ltd
67105HBC8
250000.00000000
PA
USD
249506.78000000
0.026963650564
Long
ABS-CBDO
CORP
KY
N
2
2029-04-24
Floating
2.08000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-65.48000000
-0.00000707628
N/A
DFE
MX
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
11496.71000000
USD
230000.00000000
MXN
2021-09-15
-65.48000000
N
N
N
BX Trust
N/A
BX 2021-MFM1
05608VAN6
390000.00000000
PA
USD
392425.72000000
0.042408586998
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
3.07000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299BH6
200000.00000000
PA
USD
226600.00000000
0.024488165082
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.50000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
2847000.00000000
PA
3610450.85000000
0.390173505898
Long
DBT
NUSS
GR
N
2
2030-06-18
Fixed
1.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCG5
701000.00000000
PA
USD
745163.00000000
0.080528131320
Long
DBT
CORP
MX
N
2
2027-03-13
Fixed
6.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
108934.59000000
0.011772322255
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
28100000.00000000
SEK
3394636.93000000
USD
2021-09-15
108934.59000000
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BZ5
1138000.00000000
PA
USD
1151087.00000000
0.124395447838
Long
DBT
CORP
MX
N
2
2031-07-11
Fixed
3.88000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-6726.62000000
-0.00072693107
N/A
DFE
KR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
600000.00000000
USD
670596000.00000000
KRW
2021-09-15
-6726.62000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BTEQ1
55663.83000000
PA
USD
60311.65000000
0.006517747756
Long
ABS-MBS
USGA
US
N
2
2048-01-15
Fixed
4.00000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-XL
N/A
BX Commercial Mortgage Trust 2019-XL
056054AK5
995792.19000000
PA
USD
996105.67000000
0.107646955368
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.37000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-1416.72000000
-0.00015310182
N/A
DFE
CH
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
50000.00000000
USD
44863.70000000
CHF
2021-09-15
-1416.72000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
3982.68000000
0.000430399493
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4275000.00000000
NOK
500643.69000000
USD
2021-09-15
3982.68000000
N
N
N
COTY INC
549300BO9IWPF3S48F93
Coty Inc
000000000
100000.00000000
PA
119018.48000000
0.012862066134
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.88000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-36770.37000000
-0.00397369325
N/A
DFE
ZA
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1114000.00000000
USD
15405840.20000000
ZAR
2021-07-14
-36770.37000000
N
N
N
SYNTHOMER PLC
213800EHT3TI1KPQQJ56
Synthomer PLC
000000000
100000.00000000
PA
123775.71000000
0.013376169548
Long
DBT
CORP
GB
N
2
2025-07-01
Fixed
3.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EXCP6
1032.21000000
PA
USD
1086.67000000
0.000117434043
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.50000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
549300SO59UL53O4D221
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
000000000
200000.00000000
PA
281639.87000000
0.030436203134
Long
DBT
CORP
XX
N
2
2027-07-15
Fixed
4.75000000
N
N
N
N
N
N
Domi
724500GC0MQI1HTJVG97
Domi 2021-1 BV
000000000
199000.00000000
PA
237016.91000000
0.025613897702
Long
ABS-MBS
CORP
NL
N
2
2053-06-15
Variable
0.10000000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
80414L2K0
500000.00000000
PA
USD
490525.00000000
0.053009961063
Long
DBT
CORP
SA
N
2
2030-11-24
Fixed
2.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION MAR23 0.4 CALL
000000000
-123604533.00000000
OU
Notional Amount
USD
-92605.75000000
-0.01000770032
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
123604533.00000000
OU
Notional Amount
N/A
-92605.75000000
-0.01000000
DIR
US
N/A
N/A
2024-03-20
0.00000000
N/A
0.00000000
N/A
123604533.00000000
USD
1.00000000
0.40000000
USD
2023-03-16
XXXX
43359.24000000
N
N
N
PT PELABUHAN INDO II
N/A
Pelabuhan Indonesia II PT
000000000
200000.00000000
PA
USD
218287.50000000
0.023589851436
Long
DBT
CORP
ID
N
2
2025-05-05
Fixed
4.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: PLN 0.720000 17-JUN-2023
000000000
25606500.00000000
OU
Notional Amount
10980.09000000
0.001186594247
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-06-19
0.00000000
PLN
-112.39000000
PLN
25606500.00000000
PLN
11010.22000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK CALL USD 4567.7290000 20211015
000000000
56.00000000
NC
USD
22374.94000000
0.002418010699
N/A
DE
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
S&P 500 Index
SPX Index
1.00000000
4567.72900000
USD
2021-10-15
XXXX
-4035.67000000
N
N
N
MOTABILITY OPERATIONS GR
AZ3NL8JCZDCNUXFWI720
Motability Operations Group PLC
000000000
100000.00000000
PA
117572.11000000
0.012705760100
Long
DBT
CORP
GB
N
2
2028-07-20
Fixed
0.13000000
N
N
N
N
N
N
SLM Student Loan Trust
549300FE2YWO5PJ3Q820
SLM Private Credit Student Loan Trust 2005-B
78443CCB8
398651.00000000
PA
USD
387978.44000000
0.041927979201
Long
ABS-O
CORP
US
N
2
2039-06-15
Floating
0.45000000
N
N
N
N
N
N
ABB Ltd
5493000LKVGOO9PELI61
ABB Ltd
000000000
11659.00000000
NS
396110.44000000
0.042806786608
Long
EC
CORP
CH
N
2
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XAU9
105000.00000000
PA
USD
112556.61000000
0.012163746014
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
3.40000000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
23371DAG9
380000.00000000
PA
USD
389025.00000000
0.042041078645
Long
DBT
CORP
US
N
2
2028-03-20
Fixed
3.38000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJUH2
3297.22000000
PA
USD
3532.74000000
0.000381775464
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SEH6
181896.03000000
PA
USD
193550.37000000
0.020916564043
Long
ABS-MBS
USGA
US
N
2
2046-06-20
Fixed
3.50000000
N
N
N
N
N
N
iShares China Large-Cap ETF
5493001YVWPO25CNKN94
iShares China Large-Cap ETF
464287184
8938.00000000
NS
USD
414097.54000000
0.044750613061
Long
EC
RF
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRZ0
47498.72000000
PA
USD
51655.67000000
0.005582314979
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WD6X4
1217.23000000
PA
USD
1275.69000000
0.000137861020
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
17759.00000000
NS
525335.92000000
0.056771900850
Long
EC
CORP
FR
N
2
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JADY8
3700.55000000
PA
USD
4009.76000000
0.000433325970
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
000000000
100000.00000000
PA
118812.16000000
0.012839769584
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
2.38000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-H1
61691JBA1
1100000.00000000
PA
USD
1170282.52000000
0.126469865590
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
4.28000000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032XAV6
400000.00000000
PA
USD
387950.00000000
0.041924905753
Long
DBT
CORP
KY
N
2
2050-06-03
Fixed
3.24000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BLACKROCK FXVAN PUT USD ZAR 14.0000000
000000000
2696000.00000000
OU
Notional Amount
USD
2922.46000000
0.000315823843
N/A
DFE
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Put
Purchased
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
2922.46000000
0.00000000
DFE
US
37744000.00000000
ZAR
2696000.00000000
USD
2021-07-08
1.00000000
14.00000000
USD
2021-07-08
XXXX
-44065.37000000
N
N
N
SUMMER BC HOLDCO B SARL
984500NRF59D5DB9B654
Summer BC Holdco B SARL
000000000
400000.00000000
PA
496213.66000000
0.053624722075
Long
DBT
CORP
LU
N
2
2026-10-31
Fixed
5.75000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2016-GC36
17324TAE9
375000.00000000
PA
USD
410985.04000000
0.044414252011
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Fixed
3.62000000
N
N
N
N
N
N
CONTINUUM ENERGY LEVANTE
254900MFSMO37F3WJ232
Continuum Energy Levanter Pte Ltd
21218MAB1
950000.00000000
PA
USD
972740.63000000
0.105121946733
Long
DBT
CORP
SG
N
2
2027-02-09
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.450000 11-DEC-2050
000000000
1791106.00000000
OU
Notional Amount
USD
147043.41000000
0.015890658862
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-12-12
0.00000000
USD
-50.84000000
USD
1791106.00000000
USD
147094.25000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1343924.98000000
0.145235025456
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
55000000.00000000
EUR
66659450.00000000
USD
2021-09-15
1343924.98000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
4236.95000000
0.000457877895
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
21875414.00000000
MXN
1100000.00000000
USD
2021-07-14
4236.95000000
N
N
N
Hellenic Republic
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
9689.00000000
PA
16357.08000000
0.001767673765
Long
DBT
NUSS
GR
N
2
2037-01-30
Fixed
4.00000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
15902.20000000
0.001718515881
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
146514080.00000000
CNY
22590326.41000000
USD
2021-08-24
15902.20000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2015-P1
17324DAU8
375000.00000000
PA
USD
411140.74000000
0.044431078169
Long
ABS-MBS
CORP
US
N
2
2048-09-15
Fixed
3.72000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416VXQ2
8691.26000000
PA
USD
9529.86000000
0.001029871071
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Fixed
4.00000000
N
N
N
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
300000.00000000
PA
USD
282337.50000000
0.030511594478
Long
DBT
CORP
KY
N
2
2031-01-12
Fixed
3.30000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAA4
100000.00000000
PA
USD
100267.29000000
0.010835666151
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.05000000
N
N
N
N
N
N
Conair Holdings, LLC
N/A
Conair Holdings, LLC Term Loan B
20600RAB8
431000.00000000
PA
USD
431862.00000000
0.046670379297
Long
LON
CORP
US
N
2
2028-05-17
None
4.25000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAU5
114000.00000000
PA
USD
113325.13000000
0.012246798285
Long
DBT
US
N
2
2051-01-15
Fixed
3.25000000
N
N
N
N
N
N
China Evergrande Group
549300CUF7B1LAB15T90
China Evergrande Group
000000000
200000.00000000
PA
USD
170412.50000000
0.018416105172
Long
DBT
CORP
KY
N
2
2022-04-11
Fixed
9.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KJUF7
871410.24000000
PA
USD
928654.11000000
0.100357613195
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
GENERACION MEDIT/FRIAS
N/A
Generacion Mediterranea SA / Generacion Frias SA / Central Termica Roca SA
36875LAA7
518000.00000000
PA
USD
383158.13000000
0.041407058870
Long
DBT
CORP
AR
N
2
2023-07-27
Fixed
9.63000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
451000.00000000
PA
USD
445306.13000000
0.048123256944
Long
DBT
NUSS
EG
N
2
2048-02-21
Fixed
7.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQM90
195671.19000000
PA
USD
207145.72000000
0.022385783704
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEZ7
16609.38000000
PA
USD
17198.08000000
0.001858558791
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.00000000
N
N
N
N
N
N
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
SANDVIK AB JUL21 237.83 CALL
000000000
67.00000000
NC
173.96000000
0.000018799475
N/A
DE
SE
N
1
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
Call
Purchased
Sandvik AB
Sandvik AB
101.00000000
237.83000000
SEK
2021-07-16
XXXX
-7025.66000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
84755.96000000
0.009159390733
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
53682000.00000000
CNY
8343115.56000000
USD
2021-09-15
84755.96000000
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BB7
477629.00000000
PA
USD
548915.13000000
0.059320054367
Long
DBT
NUSS
UY
N
2
2027-10-27
Fixed
4.38000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBN2
1183000.00000000
PA
USD
1122244.20000000
0.121278469692
Long
DBT
CORP
US
N
2
2051-02-04
Fixed
3.70000000
N
N
N
N
N
N
NWD FINANCE (BVI) LTD
25490076V8K09HMNCT88
NWD Finance BVI Ltd
000000000
200000.00000000
PA
USD
202200.00000000
0.021851310589
Long
DBT
CORP
VG
N
2
2028-03-10
Fixed
4.13000000
N
N
N
N
N
N
AZUL INVESTMENTS LLP
549300C6XNC8IDH04C74
Azul Investments LLP
05502FAC2
939000.00000000
PA
USD
920220.00000000
0.099446157423
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
7.25000000
N
N
N
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
Rolls-Royce PLC
000000000
200000.00000000
PA
220845.96000000
0.023866338597
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
1.63000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/SCDS: (COLOM)
000000000
740000.00000000
OU
Notional Amount
USD
12558.00000000
0.001357115521
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Colombia Government International Bond
Colombia Government International Bond
Y
buy protection
2026-06-23
11948.77000000
USD
0.00000000
USD
740000.00000000
USD
609.23000000
N
N
N
TEVA PHARM FNC NL II
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
000000000
100000.00000000
PA
122339.77000000
0.013220990661
Long
DBT
CORP
NL
N
2
2025-03-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A7UM9
4542.61000000
PA
USD
4885.83000000
0.000528000933
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
ZF FINANCE GMBH
5493001N9T6QDCCXB426
ZF Finance GmbH
000000000
100000.00000000
PA
125668.17000000
0.013580683550
Long
DBT
CORP
DE
N
2
2025-09-21
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BLACKROCK FXVAN PUT USD RUB 73.7500000
000000000
2156000.00000000
OU
Notional Amount
USD
26561.92000000
0.002870488446
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
26561.92000000
0.00000000
DFE
US
159005000.00000000
RUB
2156000.00000000
USD
2021-07-16
1.00000000
73.75000000
USD
2021-07-16
XXXX
-6407.63000000
N
N
N
ARES CLO Ltd
N/A
Ares LV CLO Ltd
04018DAA1
500000.00000000
PA
USD
500726.55000000
0.054112420200
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LTL63
471.06000000
PA
USD
510.48000000
0.000055166454
Long
ABS-MBS
USGSE
US
N
2
2042-06-01
Fixed
3.50000000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trust
N/A
CFCRE Commercial Mortgage Trust 2018-TAN
12528DAA7
750000.00000000
PA
USD
778914.30000000
0.084175560297
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Fixed
4.24000000
N
N
N
N
N
N
ATF NETHERLANDS BV
529900Z1P6YBY9EOYT70
ATF Netherlands BV
000000000
200000.00000000
PA
246339.59000000
0.026621379286
Long
DBT
CORP
NL
N
2
2023-01-20
Fixed
3.75000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300UNU854VTZYQ112
Anchorage Capital Clo 17 Ltd
03332PAA5
250000.00000000
PA
USD
250000.00000000
0.027016951767
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.32000000
N
N
N
N
N
N
ORBIA ADVANCE CORP SAB
549300MVHZ20SBIOEQ79
Orbia Advance Corp SAB de CV
68560EAA6
1145000.00000000
PA
USD
1150367.19000000
0.124317659550
Long
DBT
CORP
MX
N
2
2026-05-11
Fixed
1.88000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBX2
1875000.00000000
PA
USD
1925348.23000000
0.208068161064
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.60000000
N
N
N
N
N
N
TRATON FINANCE LUX SA
529900BRKIE6LKIEXD84
Traton Finance Luxembourg SA
000000000
600000.00000000
PA
711852.76000000
0.076928366730
Long
DBT
CORP
LU
N
2
2024-06-14
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/CDS: (CMBX.NA.9.A)
000000000
187333.00000000
OU
Notional Amount
USD
424.50000000
0.000045874784
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
0.00000000
USD
-3387.64000000
USD
187333.00000000
USD
3812.14000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R7J2
320464.27000000
PA
USD
340234.00000000
0.036768342271
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPTL8
57974.98000000
PA
USD
61859.03000000
0.006684969719
Long
ABS-MBS
USGSE
US
N
2
2044-02-01
Fixed
3.00000000
N
N
N
N
N
N
ARABIAN CENTRES SUKUK II
549300X92PKHJD8UYG94
Arabian Centres Sukuk II Ltd
03847QAA1
1575000.00000000
PA
USD
1669007.81000000
0.180366014011
Long
DBT
CORP
KY
N
2
2026-10-07
Fixed
5.63000000
N
N
N
N
N
N
KBC GROUP NV
213800X3Q9LSAKRUWY91
KBC Group NV
000000000
400000.00000000
PA
490006.97000000
0.052953978697
Long
DBT
CORP
BE
N
2
2024-01-25
Fixed
1.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J76Q3
41170.76000000
PA
USD
43250.59000000
0.004673996415
Long
ABS-MBS
USGSE
US
N
2
2032-08-01
Fixed
2.50000000
N
N
N
N
N
N
RENEW POWER PVT LTD
335800BITJZHVZ1CN475
ReNew Power Pvt Ltd
000000000
200000.00000000
PA
USD
212975.00000000
0.023015741211
Long
DBT
CORP
IN
N
2
2027-03-05
Fixed
5.88000000
N
N
N
N
N
N
REDEXIS GAS FINANCE BV
724500XI19XTPCL36320
Redexis Gas Finance BV
000000000
200000.00000000
PA
251243.85000000
0.027151371909
Long
DBT
CORP
NL
N
2
2025-05-28
Fixed
1.88000000
N
N
N
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K305
54.00000000
NS
USD
131856.66000000
0.014249460093
Long
EC
CORP
US
N
1
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAU1
200000.00000000
PA
USD
229124.00000000
0.024760928227
Long
DBT
CORP
IT
N
2
2025-09-17
Fixed
7.70000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
311000.00000000
PA
USD
342644.25000000
0.037028812703
Long
DBT
NUSS
SA
N
2
2028-03-04
Fixed
3.63000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
8249.96000000
0.000891555085
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
16305300.00000000
MXN
825000.00000000
USD
2021-07-14
8249.96000000
N
N
N
PPF TELECOM GROUP BV
31570074PLDZISJWNN43
PPF Telecom Group BV
000000000
100000.00000000
PA
127468.14000000
0.013775202361
Long
DBT
CORP
NL
N
2
2027-09-29
Fixed
3.25000000
N
N
N
N
N
N
MERCK FIN SERVICES GMBH
549300OELEN3ZS5RB682
Merck Financial Services GmbH
000000000
100000.00000000
PA
119652.15000000
0.012930545461
Long
DBT
CORP
DE
N
2
2025-07-16
Fixed
0.13000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
61765TAF0
400000.00000000
PA
USD
436805.72000000
0.047204636276
Long
ABS-MBS
CORP
US
N
2
2048-10-15
Fixed
3.64000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYJX8
249356.68000000
PA
USD
263508.11000000
0.028476743593
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
000000000
200000.00000000
PA
239770.53000000
0.025911475377
Long
DBT
CORP
IT
N
2
2021-09-10
Fixed
6.75000000
N
N
N
N
N
N
ZF FINANCE GMBH
5493001N9T6QDCCXB426
ZF Finance GmbH
000000000
300000.00000000
PA
389305.48000000
0.042071389504
Long
DBT
CORP
DE
N
2
2028-09-21
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLS4
89645.85000000
PA
USD
95337.38000000
0.010302901588
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
333.33000000
0.000036022242
N/A
DFE
BR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
17597.72000000
USD
90000.00000000
BRL
2021-09-15
333.33000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MABR9
23784.06000000
PA
USD
26021.39000000
0.002812074554
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8HY2
29142.95000000
PA
USD
32803.04000000
0.003544952598
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JX62
560000.00000000
PA
USD
603330.00000000
0.065200550040
Long
DBT
NUSS
EG
N
2
2050-05-29
Fixed
8.88000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SWP: OIS 8.420000 02-JAN-2029
000000000
10534887.00000000
OU
Notional Amount
-12909.46000000
-0.00139509703
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2029-01-02
0.00000000
BRL
0.00000000
BRL
10534887.00000000
BRL
-12909.46000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1538.16000000
0.000166225578
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
130000.00000000
EUR
155920.31000000
USD
2021-09-15
1538.16000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
000000000
750000.00000000
PA
903079.16000000
0.097593784432
Long
DBT
CORP
US
N
2
2024-04-26
Fixed
0.50000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAH3
516000.00000000
PA
USD
535124.25000000
0.057829704208
Long
DBT
NUSS
RO
N
2
2031-02-14
Fixed
3.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CCA7
13798615.96000000
PA
USD
15009588.29000000
1.622053291543
Long
DBT
UST
US
N
2
2026-04-15
Fixed
0.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.420000 08-APR-2031
000000000
12190458.00000000
OU
Notional Amount
USD
2213.56000000
0.000239214575
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-04-08
194.79000000
USD
0.00000000
USD
12190458.00000000
USD
2018.77000000
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
815237.00000000
NS
527340.92000000
0.056988576803
Long
EC
CORP
GB
N
2
N
N
N
BANCOLOMBIA SA
54930052NWJRPNMP1W58
Bancolombia SA
05968LAM4
200000.00000000
PA
USD
204650.00000000
0.022116076717
Long
DBT
CORP
CO
N
2
2025-01-29
Fixed
3.00000000
N
N
N
N
N
N
REALKREDIT DANMARK
549300NLOMBOWE943Y30
Realkredit Danmark A/S
000000000
0.15000000
PA
0.03000000
0.000000003242
Long
DBT
CORP
DK
N
2
2038-01-01
Floating
0.75000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
BLACKROCK FXVAN CALL USD IDR 14800.00000
000000000
-2147000.00000000
OU
Notional Amount
USD
-103.06000000
-0.00001113746
N/A
DFE
LU
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
-103.06000000
0.00000000
DFE
ID
-2147000.00000000
USD
-31775600000.00000000
IDR
2021-07-02
1.00000000
14800.00000000
USD
2021-07-02
XXXX
12010.31000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS47
336095.56000000
PA
USD
355338.66000000
0.038400669753
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0260000 PUT USD 202
000000000
-4714888.00000000
OU
Notional Amount
USD
-49289.34000000
-0.00532659088
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
4714888.00000000
OU
Notional Amount
N/A
-49289.34000000
-0.01000000
DIR
US
N/A
N/A
2052-04-22
0.00000000
N/A
0.00000000
N/A
4714888.00000000
USD
1.00000000
0.02600000
USD
2022-04-20
XXXX
94906.57000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
NUCOR CORP OCT21 110 CALL
000000000
29.00000000
NC
USD
9425.00000000
0.001018539081
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Nucor Corp
Nucor Corp
100.00000000
110.00000000
USD
2021-10-15
XXXX
-7657.77000000
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BLACKROCK FXVAN CALL USD BRL 5.4000000
000000000
-1365000.00000000
OU
Notional Amount
USD
-3639.09000000
-0.00039326847
N/A
DFE
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Call
Written
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
-3639.09000000
0.00000000
DFE
BR
-1365000.00000000
USD
-7371000.00000000
BRL
2021-08-02
1.00000000
5.40000000
USD
2021-08-02
XXXX
13742.67000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
2816.25000000
0.000304345961
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
930241200.00000000
KRW
826000.00000000
USD
2021-07-23
2816.25000000
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BBC1
222000.00000000
PA
USD
242257.50000000
0.026180236771
Long
DBT
CORP
CL
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD AUD
000000000
1.00000000
NC
N/A
26.70000000
0.000002885410
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2278.00000000
AUD
11282.12000000
CNY
2021-09-15
26.70000000
N
N
N
eG Global Finance PLC
549300TL8Q5207VYET27
eG Global Finance PLC
000000000
200000.00000000
PA
233740.76000000
0.025259851356
Long
DBT
CORP
GB
N
2
2025-02-07
Fixed
4.38000000
N
N
N
N
N
N
KOJAMO OYJ
7437007YPUOQZ8OV1R42
Kojamo Oyj
000000000
210000.00000000
PA
249474.67000000
0.026960180506
Long
DBT
CORP
FI
N
2
2029-05-28
Fixed
0.88000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-12428.00000000
-0.00134306670
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2787456.80000000
BRL
548000.00000000
USD
2021-07-02
-12428.00000000
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
400000.00000000
PA
USD
454950.00000000
0.049165448827
Long
DBT
NUSS
RU
N
2
2026-05-27
Fixed
4.75000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO STOXX 50 SEP21 XEUR 20210917
000000000
22.00000000
NC
-17262.22000000
-0.00186549026
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
EURO STOXX 50 Index
VGU1 Index
2021-09-17
906768.06000000
EUR
-17262.22000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CZN7
29269.85000000
PA
USD
32125.06000000
0.003471684786
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
China Development Bank
300300C1020111000029
China Development Bank
000000000
1400000.00000000
PA
217824.51000000
0.023539817122
Long
DBT
NUSS
CN
N
2
2024-02-01
Fixed
3.30000000
N
N
N
N
N
N
HILTON GRAND VACATIONS BWR LLC
N/A
HILTON GRAND VACATIONS BWR LLC 2021 TERM LOAN B
000000000
1672000.00000000
PA
USD
1672518.32000000
0.180745387128
Long
LON
CORP
US
N
2
2028-05-20
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9YZ0
16818.97000000
PA
USD
18284.52000000
0.001975967979
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 1.727000 21-JUN-2051
000000000
326953.00000000
OU
Notional Amount
12156.27000000
0.001313701441
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-21
0.00000000
AUD
-11.60000000
AUD
326953.00000000
AUD
12165.14000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.385000 10-FEB-2026
000000000
20840354.00000000
OU
Notional Amount
USD
-469022.03000000
-0.05068618225
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-02-10
177.27000000
USD
0.00000000
USD
20840354.00000000
USD
-469199.30000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042673
1416000.00000000
PA
USD
1523306.25000000
0.164620365935
Long
ABS-MBS
USGSE
US
N
2
2051-07-15
Fixed
4.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
ICE: (ITRAXX.XO.34.V1)
000000000
532796.40000000
OU
Notional Amount
-81704.87000000
-0.00882966612
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S34.V2
2I667KJJ8
Y
buy protection
2025-12-23
0.00000000
EUR
-54159.62000000
EUR
532796.40000000
EUR
-16992.69000000
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
350000.00000000
PA
414157.62000000
0.044757105775
Long
DBT
CORP
IT
N
2
2031-02-24
Fixed
1.35000000
N
N
N
N
N
N
Republic of Austria
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
556000.00000000
PA
705228.68000000
0.076212516931
Long
DBT
NUSS
AT
N
2
2028-02-20
Fixed
0.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERM23
51541.91000000
PA
USD
54856.77000000
0.005928250836
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF EAST ASIA LTD
CO6GC26LCGGRTUESIP55
Bank of East Asia Ltd/The
000000000
400000.00000000
PA
USD
420200.00000000
0.045410092531
Long
DBT
CORP
HK
N
2
2030-05-29
Fixed
4.00000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
8500000.00000000
PA
1318326.54000000
0.142468658181
Long
DBT
NUSS
CN
N
2
2024-10-17
Fixed
2.94000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DF6
85000.00000000
PA
USD
86476.88000000
0.009345366783
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78000000
N
N
N
N
N
N
BRASKEM NETHERLANDS
N/A
Braskem Netherlands Finance BV
000000000
600000.00000000
PA
USD
631470.00000000
0.068241578131
Long
DBT
CORP
NL
N
2
2028-01-10
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5GJ2
7854.42000000
PA
USD
8484.40000000
0.000916890502
Long
ABS-MBS
USGSE
US
N
2
2045-02-01
Fixed
3.50000000
N
N
N
N
N
N
BX Trust
N/A
BX 2021-MFM1
05608VAQ9
760000.00000000
PA
USD
759543.24000000
0.082082172322
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
3.97000000
N
N
N
N
N
N
HOLCIM FINANCE LUX SA
529900XU3Z9D2HLBR716
Holcim Finance Luxembourg SA
000000000
140000.00000000
PA
162231.72000000
0.017532026217
Long
DBT
CORP
LU
N
2
2031-04-23
Fixed
0.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (SOAF)
000000000
2344194.00000000
OU
Notional Amount
USD
93583.59000000
0.010113373349
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
REPUBLIC OF SOUTH AFRICA
REPUBLIC OF SOUTH AFRICA
Y
buy protection
2026-06-23
158084.26000000
USD
0.00000000
USD
2344194.00000000
USD
-64500.67000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2020-GSA2
36264KAX8
3652837.76000000
PA
USD
469157.70000000
0.050700843809
Long
ABS-MBS
CORP
US
N
2
2053-12-12
Variable
1.85000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
200000.00000000
PA
280749.03000000
0.030339932009
Long
DBT
CORP
GB
N
2
2026-11-03
Fixed
1.70000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040677
887000.00000000
PA
USD
944516.41000000
0.102071817171
Long
ABS-MBS
USGSE
US
N
2
2051-07-14
Fixed
4.00000000
N
N
N
N
N
N
GRUPO AXO SA DE CV
4469000001BNKIG58H20
Grupo Axo SAPI de CV
40054MAA0
550000.00000000
PA
USD
548075.00000000
0.059229263360
Long
DBT
CORP
MX
N
2
2026-06-08
Fixed
5.75000000
N
N
N
N
N
N
HP Inc
WHKXQACZ14C5XRO8LW03
HP Inc
428236BR3
85000.00000000
PA
USD
111777.05000000
0.012079500674
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
6.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.912000 22-FEB-2051
000000000
1118376.00000000
OU
Notional Amount
USD
-39335.09000000
-0.00425085691
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-02-22
0.00000000
USD
-34.65000000
USD
1118376.00000000
USD
-39300.44000000
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DZ7
1095000.00000000
PA
USD
1079590.39000000
0.116668965982
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
3.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK FXVAN CALL USD MXN 21.0000000
000000000
3305000.00000000
OU
Notional Amount
USD
528.80000000
0.000057146256
N/A
DFE
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
FX Contract
N/A
1.00000000
NC
USD
528.80000000
0.00000000
DFE
US
69405000.00000000
MXN
3305000.00000000
USD
2021-07-08
1.00000000
21.00000000
USD
2021-07-08
XXXX
-15996.20000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZJ6
4887.91000000
PA
USD
5233.22000000
0.000565542609
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
SUZANO AUSTRIA G
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAK8
960000.00000000
PA
USD
950784.00000000
0.102749141878
Long
DBT
CORP
AT
N
2
2032-01-15
Fixed
3.13000000
N
N
N
N
N
N
SUNNY EXPRESS
254900RHBSC69QS5NZ68
Sunny Express Enterprises Corp
000000000
200000.00000000
PA
USD
207282.00000000
0.022400511185
Long
DBT
CORP
VG
N
2
2030-04-23
Fixed
3.13000000
N
N
N
N
N
N
Gulf Stream Meridian 1 Ltd.
N/A
Gulf Stream Meridian
402562AC6
250000.00000000
PA
USD
248887.15000000
0.026896688508
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.96000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-320.83000000
-0.00003467139
N/A
DFE
ID
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1163027.73000000
USD
16859250000.00000000
IDR
2021-07-01
-320.83000000
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond
000000000
250000.00000000
PA
USD
291765.63000000
0.031530471812
Long
DBT
NUSS
PY
N
2
2050-03-30
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHFL1
11904.83000000
PA
USD
12788.81000000
0.001382058651
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAS3
110000.00000000
PA
USD
116651.29000000
0.012606249102
Long
DBT
CORP
US
N
2
2050-04-05
Fixed
3.58000000
N
N
N
N
N
N
CAB
9695008EGX5O9K1MS743
CAB SELAS
000000000
300000.00000000
PA
353946.41000000
0.038250212349
Long
DBT
CORP
FR
N
2
2028-02-01
Fixed
3.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BUEB1
19856.97000000
PA
USD
21819.77000000
0.002358014694
Long
ABS-MBS
USGA
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CH0
495000.00000000
PA
602663.56000000
0.065128529330
Long
DBT
CORP
US
N
2
2023-05-24
Fixed
1.40000000
N
N
N
N
N
N
THYSSENKRUPP AG
549300UDG16DOYUPR330
thyssenkrupp AG
000000000
400000.00000000
PA
475191.74000000
0.051352929280
Long
DBT
CORP
DE
N
2
2023-03-06
Fixed
1.88000000
N
N
N
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
200000.00000000
PA
USD
137475.00000000
0.014856621777
Long
DBT
NUSS
LK
N
2
2024-03-14
Fixed
6.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AACD4
84055.12000000
PA
USD
90566.94000000
0.009787370598
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
3.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
000000000
355000.00000000
PA
510247.64000000
0.055141343518
Long
DBT
CORP
US
N
2
2025-09-03
Fixed
2.35000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: USD 1.601500 18-MAR-2031
000000000
380000.00000000
OU
Notional Amount
USD
-8208.83000000
-0.00088711025
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-18
0.00000000
USD
-6.37000000
USD
380000.00000000
USD
-8202.46000000
N
N
N
KWG GROUP HOLDINGS
549300LK82ZOM9ZE7H90
KWG Group Holdings Ltd
000000000
200000.00000000
PA
USD
204650.00000000
0.022116076717
Long
DBT
CORP
KY
N
2
2023-09-01
Fixed
7.88000000
N
N
N
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
New Zealand Government Bond
000000000
100000.00000000
PA
74609.17000000
0.008062849389
Long
DBT
NUSS
NZ
N
2
2025-04-15
Fixed
2.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 2.172000 21-JUN-2051
000000000
634190.00000000
OU
Notional Amount
-24947.52000000
-0.00269602377
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-21
0.00000000
AUD
-22.54000000
AUD
634190.00000000
AUD
-24929.68000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0232000 PUT USD 202
000000000
-4700551.00000000
OU
Notional Amount
USD
-42900.52000000
-0.00463616511
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
4700551.00000000
OU
Notional Amount
N/A
-42900.52000000
0.00000000
DIR
US
N/A
N/A
2051-12-07
0.00000000
N/A
0.00000000
N/A
4700551.00000000
USD
1.00000000
0.02320000
USD
2021-12-03
XXXX
68715.62000000
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDB9
130000.00000000
PA
USD
145600.00000000
0.015734672709
Long
DBT
CORP
US
N
2
2030-09-30
Fixed
5.70000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)SEP21 XCBT 20210921
000000000
-202.00000000
NC
USD
-86897.36000000
-0.00939080713
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYU1 Comdty
2021-09-21
-26662321.39000000
USD
-86897.36000000
N
N
N
UK TSY 3.5% 2045
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
700000.00000000
PA
1418361.09000000
0.153279172631
Long
DBT
NUSS
GB
N
2
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
Independence Plaza Trust
N/A
Independence Plaza Trust 2018-INDP
45378YAL8
1000000.00000000
PA
USD
1053763.10000000
0.113877867389
Long
ABS-MBS
CORP
US
N
2
2035-07-10
Fixed
3.91000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QBX9
60000.00000000
PA
USD
48817.50000000
0.005275600171
Long
DBT
CORP
MX
N
2
2046-01-23
Fixed
5.63000000
N
N
N
N
N
N
Toll Brothers Inc
529900JB6IS9MSZGVR44
Toll Brothers Inc
889478103
9851.00000000
NS
USD
569486.31000000
0.061543136678
Long
EC
CORP
US
N
1
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2016-C2
17291CBU8
750000.00000000
PA
USD
779836.13000000
0.084275180444
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
3.18000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-22592.19000000
-0.00244148843
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
53661736.40000000
ZAR
3700000.00000000
USD
2021-09-15
-22592.19000000
N
N
N
Avantor Funding, Inc.
5493003VM0XB4U8YD238
Avantor Funding, Inc. 2020 Incremental Term Loan B4
05350NAG9
845750.00000000
PA
USD
845394.79000000
0.091359961064
Long
LON
CORP
US
N
2
2027-11-08
Floating
3.25000000
N
N
N
N
N
N
Energy Select Sector SPDR Fund
54930064FLK0RD4TRU75
Energy Select Sector SPDR Fund
81369Y506
1614.00000000
NS
USD
86946.18000000
0.009396083005
Long
EC
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSRR5
25568.51000000
PA
USD
27395.32000000
0.002960552156
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
2226.32000000
0.000240593520
N/A
DFE
KR
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
826000.00000000
USD
935939568.00000000
KRW
2021-07-23
2226.32000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJUD1
5681.10000000
PA
USD
6064.85000000
0.000655415039
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKWK0
26169.11000000
PA
USD
28052.55000000
0.003031577561
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
PT PERTAMINA (PERSERO)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69370RAG2
300000.00000000
PA
USD
308121.00000000
0.033297960782
Long
DBT
CORP
ID
N
2
2050-01-21
Fixed
4.18000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD AUD
000000000
1.00000000
NC
N/A
29017.87000000
0.003135897576
N/A
DFE
JP
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2888467.00000000
AUD
243801172.00000000
JPY
2021-09-15
29017.87000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFAD8
6798.93000000
PA
USD
7149.29000000
0.000772608092
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
BELLIS ACQUISITION CO PL
259400CYE2267UB4A481
Bellis Acquisition Co PLC
000000000
100000.00000000
PA
138502.91000000
0.014967705756
Long
DBT
CORP
GB
N
2
2026-02-16
Fixed
3.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAG6
17000.00000000
PA
USD
17617.10000000
0.001903841363
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
4.60000000
N
N
N
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government Bond
000000000
351000.00000000
PA
491142.29000000
0.053076670240
Long
DBT
NUSS
BE
N
2
2047-06-22
Fixed
1.60000000
N
N
N
N
N
N
HEATHROW FUNDING LTD
7TI96JO3DYEIQWZ7Z726
Heathrow Funding Ltd
000000000
570000.00000000
PA
793205.56000000
0.085719985425
Long
DBT
CORP
JE
N
2
2028-03-16
Fixed
2.63000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-11712.01000000
-0.00126569123
N/A
DFE
KR
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
684080.72000000
USD
760000000.00000000
KRW
2021-09-15
-11712.01000000
N
N
N
VEON HOLDINGS BV
5493000XDKGUH5NQGE22
VEON Holdings BV
91823N2A0
1165000.00000000
PA
USD
1171990.00000000
0.126654389209
Long
DBT
CORP
NL
N
2
2027-11-25
Fixed
3.38000000
N
N
N
N
N
N
Silgan Holdings Inc
KAF673KJXD92C8KSLU49
Silgan Holdings Inc
000000000
100000.00000000
PA
119464.33000000
0.012910248166
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.25000000
N
N
N
N
N
N
RONSHINE CHINA
549300GNBBT32SFSEC47
Ronshine China Holdings Ltd
000000000
200000.00000000
PA
USD
195496.48000000
0.021126875883
Long
DBT
CORP
KY
N
2
2022-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QE2F8
61380.38000000
PA
USD
66591.49000000
0.007196396293
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
4.00000000
N
N
N
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AM6
510000.00000000
PA
USD
472387.50000000
0.051049881212
Long
DBT
NUSS
MA
N
2
2050-12-15
Fixed
4.00000000
N
N
N
N
N
N
Pikes Peak CLO
2549000551VJRWC86112
Pikes Peak CLO 2
72133JAA5
250000.00000000
PA
USD
250112.80000000
0.027029141816
Long
ABS-CBDO
CORP
KY
N
2
2032-01-18
Floating
1.48000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
8995.69000000
0.000972144491
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
18900000.00000000
TWD
690158.85000000
USD
2021-09-15
8995.69000000
N
N
N
Lowe's Cos Inc
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661107
2562.00000000
NS
USD
496951.14000000
0.053704419921
Long
EC
CORP
US
N
1
N
N
N
VEON HOLDINGS BV
5493000XDKGUH5NQGE22
VEON Holdings BV
92334VAA3
400000.00000000
PA
USD
421000.00000000
0.045496546777
Long
DBT
CORP
NL
N
2
2025-04-09
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 0.808600 16-NOV-2023
000000000
22161000.00000000
OU
Notional Amount
-102012.74000000
-0.01102429310
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-11-16
382.28000000
CAD
0.00000000
CAD
22161000.00000000
CAD
-102303.62000000
N
N
N
KIMBERLY-CLARK DE MEXICO
549300JGHL56QT00KT54
Kimberly-Clark de Mexico SAB de CV
494386AD7
292000.00000000
PA
USD
288897.50000000
0.031220519293
Long
DBT
CORP
MX
N
2
2031-07-01
Fixed
2.43000000
N
N
N
N
N
N
WOOF Holdings, Inc
N/A
WOOF Holdings, Inc 1st Lien Term Loan
98082EAB0
850000.00000000
PA
USD
849294.50000000
0.091781394172
Long
LON
CORP
US
N
2
2027-12-21
Floating
4.50000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
194000.00000000
PA
USD
204100.13000000
0.022056653472
Long
DBT
NUSS
RO
N
2
2051-02-14
Fixed
4.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2021-ROSS
36264YAA8
100000.00000000
PA
USD
100034.10000000
0.010810465819
Long
ABS-MBS
CORP
US
N
2
2026-05-15
Floating
1.22000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
000000000
100000.00000000
PA
122491.78000000
0.013237418048
Long
DBT
CORP
US
N
2
2025-11-25
Fixed
2.33000000
N
N
N
N
N
N
Capex SA
529900C9G66T1U8FMX69
Capex SA
139612AE5
368000.00000000
PA
USD
339434.00000000
0.036681888025
Long
DBT
CORP
AR
N
2
2024-05-15
Fixed
6.88000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWAP/CDSWAP/SCDS: (INDON)
000000000
5862000.00000000
OU
Notional Amount
USD
-74264.85000000
-0.00802563948
N/A
DCR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
REPUBLIC OF INDONESIA
REPUBLIC OF INDONESIA
Y
buy protection
2026-06-23
0.00000000
USD
-32184.20000000
USD
5862000.00000000
USD
-42080.65000000
N
N
N
DH EUROPE FINANCE
222100KDGL314CKTZ511
DH Europe Finance II Sarl
000000000
140000.00000000
PA
166792.88000000
0.018024940776
Long
DBT
CORP
LU
N
2
2026-03-18
Fixed
0.20000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
59.01000000
0.000006377081
N/A
DFE
US
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
21000.00000000
EUR
24966.08000000
USD
2021-07-14
59.01000000
N
N
N
OIL & GAS HOLDING
549300OBH16L6TS6IW50
Oil and Gas Holding Co BSCC/The
000000000
790000.00000000
PA
USD
879763.75000000
0.095074139203
Long
DBT
CORP
BH
N
2
2024-11-07
Fixed
7.63000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
CARRIER GLOBAL CORP SEP21 47 CALL
000000000
70.00000000
NC
USD
23100.00000000
0.002496366343
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Carrier Global Corp
Carrier Global Corp
100.00000000
47.00000000
USD
2021-09-17
XXXX
6831.44000000
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust
30227FAA8
270000.00000000
PA
USD
270801.90000000
0.029264967483
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
1.16000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
-23880.25000000
-0.00258068624
N/A
DFE
SG
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1800000.00000000
USD
2388373.20000000
SGD
2021-09-15
-23880.25000000
N
N
N
ENGIE SA
LAXUQCHT4FH58LRZDY46
Engie SA
000000000
35000.00000000
PA
42792.77000000
0.004624520812
Long
DBT
CORP
FR
N
2
2022-07-20
Fixed
2.63000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
549300V5ZF7112UGSH89
Rockford Tower CLO 2017-3 Ltd
77341DAA5
400000.00000000
PA
USD
400080.12000000
0.043235781221
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
1.38000000
N
N
N
N
N
N
BOC AVIATION LTD
254900H06V5RMEB3KE72
BOC Aviation Ltd
09681MAK4
400000.00000000
PA
USD
409575.00000000
0.044261872081
Long
DBT
CORP
SG
N
2
2029-09-11
Fixed
3.00000000
N
N
N
N
N
N
Genius Sports Ltd
N/A
Genius Sports Ltd
000000000
9493.00000000
NS
USD
178183.61000000
0.019255911988
Long
EC
CORP
GG
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
8570.93000000
0.000926241609
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
398483200.00000000
CLP
551000.00000000
USD
2021-07-14
8570.93000000
N
N
N
BANCO MERCANTIL DE NORTE
549300QTVYRPFHS0J362
Banco Mercantil del Norte SA/Grand Cayman
05962GAH2
200000.00000000
PA
USD
206585.00000000
0.022325187923
Long
DBT
CORP
MX
N
2
2022-07-06
Fixed
6.88000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-12116.35000000
-0.00130938737
N/A
DFE
IN
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
659370.50000000
USD
48560000.00000000
INR
2021-09-15
-12116.35000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
PARKER-HANNIFIN CORP NOV21 250 PUT
000000000
-13.00000000
NC
USD
-6630.00000000
-0.00071648956
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Parker-Hannifin Corp
Parker-Hannifin Corp
100.00000000
250.00000000
USD
2021-11-19
XXXX
-504.62000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS -0.212000 28-MAY-2025
000000000
5400000.00000000
OU
Notional Amount
288.10000000
0.000031134335
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-05-28
27.27000000
EUR
0.00000000
EUR
5400000.00000000
EUR
254.70000000
N
N
N
Ralph Lauren Corp
HO1QNWM0IXBZ0QSMMO20
Ralph Lauren Corp
751212101
755.00000000
NS
USD
88946.55000000
0.009612258605
Long
EC
CORP
US
N
1
N
N
N
SPDR EURO STOXX 50 ETF
549300FS6B2JRJXYB418
SPDR EURO STOXX 50 ETF
78463X202
2296.00000000
NS
USD
107521.68000000
0.011619632170
Long
EC
RF
US
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
770000.00000000
OU
Notional Amount
USD
23520.75000000
0.002541835873
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Brazilian Government International Bond
Brazilian Government International Bond
Y
buy protection
2026-06-23
24570.04000000
USD
0.00000000
USD
770000.00000000
USD
-1049.29000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
100000.00000000
PA
119539.74000000
0.012918397559
Long
DBT
CORP
FR
N
2
2032-01-15
Fixed
1.13000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION JUL21 1.37 PUT
000000000
24961395.00000000
OU
Notional Amount
USD
10.23000000
0.000001105533
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
24961395.00000000
OU
Notional Amount
N/A
10.23000000
0.00000000
DIR
US
N/A
N/A
2026-07-12
0.00000000
N/A
0.00000000
N/A
24961395.00000000
USD
1.00000000
1.37000000
USD
2021-07-08
XXXX
-64549.92000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
55200000.00000000
PA
8427821.86000000
0.910776226797
Long
DBT
NUSS
CN
N
2
2027-06-04
Fixed
2.85000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ILLINOIS TOOL WORKS INC SEP21 250 CALL
000000000
22.00000000
NC
USD
1925.00000000
0.000208030528
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Illinois Tool Works Inc
Illinois Tool Works Inc
100.00000000
250.00000000
USD
2021-09-17
XXXX
-6787.76000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-3418.71000000
-0.00036945249
N/A
DFE
BR
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2180000.00000000
USD
10825880.00000000
BRL
2021-07-02
-3418.71000000
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918104
2216.00000000
NS
USD
600314.40000000
0.064874660761
Long
EC
CORP
US
N
1
N
N
N
280 Park Avenue Mortgage Trust
N/A
280 Park Avenue 2017-280P Mortgage Trust
90205FAN0
350000.00000000
PA
USD
345603.55000000
0.037348617764
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
2.19000000
N
N
N
N
N
N
ARABIAN CENTRES SUKUK
5493003T55GS691ILI42
Arabian Centres Sukuk Ltd
000000000
443000.00000000
PA
USD
463710.25000000
0.050112149833
Long
DBT
CORP
KY
N
2
2024-11-26
Fixed
5.38000000
N
N
N
N
N
N
Health Care Select Sector SPDR Fund
549300EJNY3KKJHPOY44
Health Care Select Sector SPDR Fund
81369Y209
3733.00000000
NS
USD
470171.35000000
0.050810386742
Long
EC
RF
US
N
1
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
000000000
200000.00000000
PA
237524.72000000
0.025668775615
Long
DBT
CORP
NL
N
2
2025-09-03
Fixed
0.10000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
19764.62000000
0.002135919140
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
119477456.00000000
CNY
18400000.00000000
USD
2021-09-15
19764.62000000
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
000000000
200000.00000000
PA
246932.46000000
0.026685449446
Long
DBT
CORP
GB
N
2
2079-01-03
Fixed
3.10000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-11931.06000000
-0.00128936349
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2799906.50000000
BRL
551000.00000000
USD
2021-07-02
-11931.06000000
N
N
N
MERCK KGAA
529900OAREIS0MOPTW25
Merck KGaA
000000000
200000.00000000
PA
244534.88000000
0.026426348234
Long
DBT
CORP
DE
N
2
2079-06-25
Fixed
1.63000000
N
N
N
N
N
N
Park River Holdings Inc
N/A
Park River Holdings Inc Term Loan
70082HAC0
352000.00000000
PA
USD
349856.32000000
0.037808205292
Long
LON
CORP
US
N
2
2027-12-28
Floating
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGKA4
937802.44000000
PA
USD
988419.30000000
0.106816306217
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.50000000
N
N
N
N
N
N
Sovos Brands Intermediate, Inc.
N/A
Sovos Brands Intermediate, Inc. 2021 Term Loan
84611UAH1
286678.08000000
PA
USD
287753.12000000
0.031096848656
Long
LON
CORP
US
N
2
2028-06-08
Floating
5.00000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
EUR PUT USD CALL AUG21 1.19 PUT
000000000
20195832.00000000
OU
Notional Amount
199528.15000000
0.021562569619
N/A
DFE
DE
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Put
Purchased
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
199528.15000000
0.02000000
DFE
XX
24033040.08000000
USD
20195832.00000000
EUR
2021-08-02
1.00000000
1.19000000
EUR
2021-08-02
XXXX
-67987.25000000
N
N
N
RENEWABLE ENERGY GROUP I
549300HPU3BD8ZI0X358
Renewable Energy Group Inc
75972AAD5
34000.00000000
PA
USD
35657.50000000
0.003853427830
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.88000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XI Ltd
55818KAV3
1000000.00000000
PA
USD
998760.00000000
0.107933802990
Long
ABS-CBDO
CORP
KY
N
2
2029-07-23
Floating
1.07000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
7230000.00000000
PA
1147327.74000000
0.123989192853
Long
DBT
NUSS
CN
N
2
2049-07-22
Fixed
3.86000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BLACKROCK FXVAN PUT USD RUB 70.0000000
000000000
-22500000.00000000
OU
Notional Amount
USD
-36900.00000000
-0.00398770208
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
-36900.00000000
0.00000000
DFE
RU
-22500000.00000000
USD
-1575000000.00000000
RUB
2021-08-26
1.00000000
70.00000000
USD
2021-08-26
XXXX
29722.50000000
N
N
N
GETLINK SE
9695007ZEQ7M0OE74G82
Getlink SE
000000000
100000.00000000
PA
123021.58000000
0.013294672373
Long
DBT
CORP
FR
N
2
2025-10-30
Fixed
3.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEA6
205000.00000000
PA
USD
211472.40000000
0.022853358524
Long
DBT
CORP
US
N
2
2060-05-15
Fixed
3.13000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828U65
5000.00000000
PA
USD
5035.16000000
0.000544138699
Long
DBT
UST
US
N
2
2021-11-30
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q83N3
324741.65000000
PA
USD
358884.25000000
0.038783833889
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EW4P7
1341.03000000
PA
USD
1410.57000000
0.000152437206
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Applied Materials Inc
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222105
2011.00000000
NS
USD
286366.40000000
0.030946988866
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MFF94
120333.26000000
PA
USD
130846.54000000
0.014140298640
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 2.035000 07-JUN-2051
000000000
1265533.00000000
OU
Notional Amount
USD
-76134.29000000
-0.00822766576
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-06-07
0.00000000
USD
-39.97000000
USD
1265533.00000000
USD
-76094.32000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BLACKROCK SWAPTION 0.0304000 PUT USD 202
000000000
-18065597.00000000
OU
Notional Amount
USD
-237085.85000000
-0.02562134789
N/A
DIR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS Swap
N/A
18065597.00000000
OU
Notional Amount
N/A
-237085.85000000
-0.03000000
DIR
US
N/A
N/A
2031-06-17
0.00000000
N/A
0.00000000
N/A
18065597.00000000
USD
1.00000000
0.03040000
USD
2026-06-15
XXXX
65061.26000000
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
258000.00000000
PA
USD
293200.88000000
0.031685576132
Long
DBT
NUSS
BH
N
2
2026-01-26
Fixed
7.00000000
N
N
N
N
N
N
2020 CASH EXCH TRUST
N/A
2020 Cash Mandatory Exchangeable Trust
901375105
290.00000000
NS
USD
365423.20000000
0.039490483876
Long
EP
CORP
US
N
2
N
N
N
FRESNILLO PLC
549300JXWH1UV5J0XV81
Fresnillo PLC
358070AB6
200000.00000000
PA
USD
202062.50000000
0.021836451266
Long
DBT
CORP
GB
N
2
2050-10-02
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329PZC0
6599.61000000
PA
USD
7101.96000000
0.000767493243
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
CITIC SECURITIES FIN MTN
5493007B0X41FW1DM450
CITIC Securities Finance MTN Co Ltd
000000000
200000.00000000
PA
USD
200287.50000000
0.021644630908
Long
DBT
CORP
VG
N
2
2025-06-03
Fixed
2.00000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724BY7
600000.00000000
PA
USD
623925.00000000
0.067426206526
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25000000
N
N
N
N
N
N
EMPRESAS PUBLIC MEDELLIN
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP
29246BAF5
258000.00000000
PA
USD
252114.38000000
0.027245448177
Long
DBT
CORP
CO
N
2
2031-02-15
Fixed
4.38000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
000000000
100000.00000000
PA
117339.94000000
0.012680669997
Long
DBT
CORP
US
N
2
2031-10-26
Fixed
0.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKK95
12592.04000000
PA
USD
13242.75000000
0.001431114952
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS54
126756.08000000
PA
USD
136186.34000000
0.014717359116
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Belden Inc
68BKYO1JC791TTJHUE82
Belden Inc
000000000
200000.00000000
PA
243049.37000000
0.026265812425
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
4.13000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
BLACKROCK FXVAN PUT USD MXN 19.5000000
000000000
2195000.00000000
OU
Notional Amount
USD
829.71000000
0.000089664940
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
829.71000000
0.00000000
DFE
US
42802500.00000000
MXN
2195000.00000000
USD
2021-07-08
1.00000000
19.50000000
USD
2021-07-08
XXXX
-13036.11000000
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAB6
624000.00000000
PA
USD
652782.00000000
0.070544719235
Long
DBT
NUSS
MX
N
2
2047-01-15
Fixed
4.35000000
N
N
N
N
N
N
UNITED GROUP BV
213800PC85O8BJ7DU398
United Group BV
000000000
100000.00000000
PA
117733.13000000
0.012723161178
Long
DBT
CORP
NL
N
2
2027-11-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36180DSX6
5861.59000000
PA
USD
6212.62000000
0.000671384219
Long
ABS-MBS
USGA
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMR49
74948.14000000
PA
USD
83448.02000000
0.009018044525
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
05675M2G8
200000.00000000
PA
USD
194750.00000000
0.021046205427
Long
DBT
NUSS
BH
N
2
2033-01-25
Fixed
5.25000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299BG8
225000.00000000
PA
USD
255417.19000000
0.027602375611
Long
DBT
NUSS
PA
N
2
2047-05-15
Fixed
4.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
12073.30000000
0.001304735055
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
826000.00000000
USD
4168409.00000000
BRL
2021-07-02
12073.30000000
N
N
N
Trane Technologies PLC
549300BURLR9SLYY2705
Trane Technologies PLC
000000000
2489.00000000
NS
USD
458324.46000000
0.049530119319
Long
EC
CORP
IE
N
1
N
N
N
TEXAS CAPITAL BANK NA
38PG5GG0OEQK4QMSKE59
Texas Capital Bank NA
88225GAA6
1000000.00000000
PA
USD
1000125.90000000
0.108081412808
Long
DBT
CORP
US
N
2
2024-09-30
Floating
4.65000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
200000.00000000
PA
USD
208500.00000000
0.022532137774
Long
DBT
CORP
GB
N
2
2022-03-15
Fixed
7.88000000
N
N
N
N
N
N
PARK INTERMED HOLDINGS
N/A
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer
70052LAC7
222000.00000000
PA
USD
229647.90000000
0.024817544951
Long
DBT
US
N
2
2029-05-15
Fixed
4.88000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBM1
130000.00000000
PA
USD
134641.00000000
0.014550357611
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.70000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
000000000
300000.00000000
PA
USD
294000.00000000
0.031771935278
Long
DBT
CORP
JE
N
2
2036-03-31
Fixed
2.63000000
N
N
N
N
N
N
TK ELEVATOR MIDCO GMBH
254900K869UN2ZWVB351
TK Elevator Midco GmbH
000000000
200000.00000000
PA
239819.86000000
0.025916806362
Long
DBT
CORP
DE
N
2
2027-07-15
Floating
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XYBY9
9730.30000000
PA
USD
10541.94000000
0.001139244338
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
3.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
PULTEGROUP INC JUL21 60 CALL
000000000
34.00000000
NC
USD
510.00000000
0.000055114581
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
PulteGroup Inc
PulteGroup Inc
100.00000000
60.00000000
USD
2021-07-16
XXXX
-6457.08000000
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
000000000
365000.00000000
PA
438889.14000000
0.047429786907
Long
DBT
CORP
CA
N
2
2024-04-25
Fixed
0.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83B1
257748.73000000
PA
USD
277693.67000000
0.030009745954
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CA0
961000.00000000
PA
USD
978496.44000000
0.105743964497
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DNK4
243000.09000000
PA
USD
258683.02000000
0.027955306697
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
PSA BANQUE FRANCE
969500JK1O192KI3E882
PSA Banque France SA
000000000
100000.00000000
PA
118280.00000000
0.012782260220
Long
DBT
CORP
FR
N
2
2025-01-22
None
0.00000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
000000000
325000.00000000
PA
393003.72000000
0.042471050191
Long
DBT
CORP
CH
N
2
2027-06-24
Fixed
1.00000000
N
N
N
N
N
N
NVIDIA Corp
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066G104
51.00000000
NS
USD
40805.10000000
0.004409717674
Long
EC
CORP
US
N
1
N
N
N
Naturgy Finance BV
2138005FTXOJUBQ5J563
Naturgy Finance BV
000000000
100000.00000000
PA
124508.27000000
0.013455335701
Long
DBT
CORP
NL
N
2
2022-11-18
Fixed
4.13000000
N
N
N
N
N
N
Steele Creek CLO Ltd
N/A
Steele Creek Clo 2017-1 Ltd
85816VAA4
400000.00000000
PA
USD
400016.76000000
0.043228934044
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.43000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
1833000.00000000
OU
Notional Amount
USD
55991.60000000
0.006050889426
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Brazilian Government International Bond
Brazilian Government International Bond
Y
buy protection
2026-06-23
58068.92000000
USD
0.00000000
USD
1833000.00000000
USD
-2077.32000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
2804.86000000
0.000303115069
N/A
DFE
NO
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
705881.02000000
USD
6100000.00000000
NOK
2021-09-15
2804.86000000
N
N
N
Canada Square Funding
6354007J4JIXGCWTSJ05
Canada Square Funding 2021-2 PLC
000000000
112000.00000000
PA
154991.57000000
0.016749599084
Long
ABS-MBS
CORP
GB
N
2
2058-06-17
Variable
0.00000000
N
N
N
N
N
N
OCP CLO Ltd
254900M77QLN2EBJHE11
OCP CLO 2017-13 Ltd
67097LAA4
500000.00000000
PA
USD
500068.90000000
0.054041349407
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
1.44000000
N
N
N
N
N
N
Palmer Square CLO Ltd
5493006ZPBFJJGSXB826
Palmer Square CLO 2015-1 Ltd
69689ABJ8
250000.00000000
PA
USD
249975.00000000
0.027014250072
Long
ABS-CBDO
CORP
KY
N
2
2034-05-21
Floating
1.26000000
N
N
N
N
N
N
MERLIN PROPERTIES SOCIMI
959800L8KD863DP30X04
Merlin Properties Socimi SA
000000000
700000.00000000
PA
820197.59000000
0.088636954916
Long
DBT
ES
N
2
2034-12-04
Fixed
1.88000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-IND
056059AS7
770000.00000000
PA
USD
770246.02000000
0.083238798286
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
2.12000000
N
N
N
N
N
N
Johnson Controls International plc
549300XQ6S1GYKGBL205
Johnson Controls International plc
000000000
2792.00000000
NS
USD
191614.96000000
0.020707408529
Long
EC
CORP
IE
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CCL6
3421.14000000
PA
USD
3542.28000000
0.000382806431
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.00000000
N
N
N
N
N
N
BANCO VOTORANTIM
X2EUTZGMHS8RBQFIUS93
Banco Votorantim SA
05967CAD5
288000.00000000
PA
USD
296964.00000000
0.032092248259
Long
DBT
CORP
BR
N
2
2022-09-24
Fixed
4.00000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-17626.01000000
-0.00190480424
N/A
DFE
XX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
826512.73000000
USD
682000.00000000
EUR
2021-07-14
-17626.01000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
TRANE TECHNOLOGIES PLC AUG21 190 CALL
000000000
5.00000000
NC
USD
2000.00000000
0.000216135614
N/A
DE
IE
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Trane Technologies PLC
Trane Technologies PLC
100.00000000
190.00000000
USD
2021-08-20
XXXX
-1099.30000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.600000 08-APR-2026
000000000
54465822.00000000
OU
Notional Amount
USD
799919.99000000
0.086445599151
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-04-08
0.00000000
USD
-484.01000000
USD
54465822.00000000
USD
800404.00000000
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SWP: OIS 7.700000 02-JAN-2024
000000000
3407807.00000000
OU
Notional Amount
907.48000000
0.000098069373
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
3407807.00000000
BRL
907.48000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFW9
124000.00000000
PA
USD
116564.67000000
0.012596888268
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.99000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
LAS VEGAS SANDS CORP AUG21 65 CALL
000000000
15.00000000
NC
USD
712.50000000
0.000076998312
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Las Vegas Sands Corp
Las Vegas Sands Corp
100.00000000
65.00000000
USD
2021-08-20
XXXX
-2597.74000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
EUR/USD One-touch barrier option; Barrier price EUR 1.24500
000000000
200000.00000000
OU
Notional Amount
90.59000000
0.000009789862
N/A
DFE
LU
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
EUR/USD One-touch barrier option; Barrier price EUR 1.24500
N/A
1.00000000
NC
USD
90.59000000
0.00000000
DFE
XX
249000.00000000
USD
200000.00000000
EUR
2021-07-16
1.00000000
1.24500000
EUR
2021-07-16
XXXX
-31676.45000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7MK8
39233.80000000
PA
USD
40603.28000000
0.004387907429
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.00000000
N
N
N
N
N
N
PICARD GROUPE SAS
969500C0PA29TV19CT55
Picard Groupe SAS
000000000
200000.00000000
PA
236932.80000000
0.025604808119
Long
DBT
CORP
FR
N
2
2023-11-30
Floating
3.00000000
N
N
N
N
N
N
RAKUTEN GROUP INC
529900IMXUCQKUL1H943
Rakuten Group Inc
000000000
200000.00000000
PA
244264.53000000
0.026397132102
Long
DBT
CORP
JP
N
2
2027-04-22
Fixed
4.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS -0.282500 16-APR-2025
000000000
6865000.00000000
OU
Notional Amount
-4334.95000000
-0.00046846854
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-04-16
34.67000000
EUR
0.00000000
EUR
6865000.00000000
EUR
-4376.40000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
200000.00000000
PA
USD
238100.00000000
0.025730944863
Long
DBT
NUSS
ID
N
2
2047-07-18
Fixed
4.75000000
N
N
N
N
N
N
LOGAN GROUP CO LTD
549300NJ0E6Q0S1VOG90
Logan Group Co Ltd
000000000
200000.00000000
PA
USD
207287.50000000
0.022401105558
Long
DBT
CORP
KY
N
2
2025-01-14
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRA5
54466.85000000
PA
USD
59804.49000000
0.006462940087
Long
ABS-MBS
USGSE
US
N
2
2044-09-01
Fixed
3.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
9694.73000000
0.001047688211
N/A
DFE
CL
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
549000.00000000
USD
410432400.00000000
CLP
2021-07-14
9694.73000000
N
N
N
DEMIRE REAL ESTATE AG
391200FHEFGXUKL2BO93
DEMIRE Deutsche Mittelstand Real Estate AG
000000000
200000.00000000
PA
231007.84000000
0.024964510685
Long
DBT
CORP
DE
N
2
2024-10-15
Fixed
1.88000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3107.74000000
-0.00033584664
N/A
DFE
XX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
133738.79000000
USD
110000.00000000
EUR
2021-09-15
-3107.74000000
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TAK5
426000.00000000
PA
USD
491710.50000000
0.053138075448
Long
DBT
NUSS
SA
N
2
2029-04-16
Fixed
4.38000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRS6
101313.77000000
PA
USD
108454.45000000
0.011720434578
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEUA8
63822.95000000
PA
USD
68324.66000000
0.007383696175
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (MEX)
000000000
710000.00000000
OU
Notional Amount
USD
-2397.02000000
-0.00025904069
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-511.33000000
USD
710000.00000000
USD
-1885.69000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335CCX0
46539.24000000
PA
USD
51188.24000000
0.005531800844
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION NOV21 0.49 PUT
000000000
8547941.00000000
OU
Notional Amount
363620.76000000
0.039295698138
N/A
DIR
DE
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
8547941.00000000
OU
Notional Amount
N/A
363620.76000000
0.04000000
DIR
GB
N/A
N/A
2051-11-26
0.00000000
N/A
0.00000000
N/A
8547941.00000000
EUR
1.00000000
0.49000000
EUR
2021-11-24
XXXX
-88273.24000000
N
N
N
Intertrust Group BV
724500E2H60ZHP192G28
Intertrust Group BV
000000000
100000.00000000
PA
120946.51000000
0.013070424108
Long
DBT
CORP
NL
N
2
2025-11-15
Fixed
3.38000000
N
N
N
N
N
N
APT PIPELINES LTD
261700SS8OEHDOCOUJ33
APT Pipelines Ltd
000000000
175000.00000000
PA
224307.68000000
0.024240439086
Long
DBT
CORP
AU
N
2
2030-07-15
Fixed
2.00000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
4400000.00000000
PA
5312578.91000000
0.574118752696
Long
DBT
NUSS
ES
N
2
2030-04-30
Fixed
0.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAE6
100000.00000000
PA
USD
100340.74000000
0.010843603731
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCN9
10000.00000000
PA
USD
13828.13000000
0.001494375684
Long
DBT
CORP
US
N
2
2058-10-15
Fixed
4.95000000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
000000000
100000.00000000
PA
121420.81000000
0.013121680669
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
6.25000000
N
N
N
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-4649.48000000
-0.00050245910
N/A
DFE
US
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
37316150.20000000
MXN
1850000.00000000
USD
2021-09-15
-4649.48000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
1785000.00000000
PA
2419740.61000000
0.261496061404
Long
DBT
NUSS
IT
N
2
2050-09-01
Fixed
2.45000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
BLACKROCK PUT USD 280.0000000 20210917
000000000
-900.00000000
NC
USD
-6882.94000000
-0.00074382423
N/A
DE
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Put
Written
United Rentals Inc
United Rentals Inc
1.00000000
280.00000000
USD
2021-09-17
XXXX
317.06000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
FREEPORT-MCMORAN INC SEP21 32 PUT
000000000
-38.00000000
NC
USD
-4104.00000000
-0.00044351028
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Freeport-McMoRan Inc
Freeport-McMoRan Inc
100.00000000
32.00000000
USD
2021-09-17
XXXX
587.47000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-27330.57000000
-0.00295355476
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
60910875.00000000
MXN
3000000.00000000
USD
2021-09-15
-27330.57000000
N
N
N
Latch Inc
N/A
Latch Inc
51818V114
12334.00000000
NS
USD
43169.00000000
0.004665179163
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Latch Inc
Latch Inc
1.00000000
11.50000000
USD
2026-06-04
XXXX
15763.95000000
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K107
200.00000000
NS
USD
501264.00000000
0.054170501243
Long
EC
CORP
US
N
1
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BD6
348000.00000000
PA
USD
410814.00000000
0.044395768094
Long
DBT
NUSS
CO
N
2
2024-05-21
Fixed
8.13000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
SWAP/CDSWAP/SCDS: (COLOM)
000000000
330000.00000000
OU
Notional Amount
USD
5600.19000000
0.000605200252
N/A
DCR
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Colombia Government International Bond
Colombia Government International Bond
Y
buy protection
2026-06-23
5942.76000000
USD
0.00000000
USD
330000.00000000
USD
-342.57000000
N
N
N
EMBOTELLADORA ANDINA SA
254900NNPKP1J9XTSA53
Embotelladora Andina SA
29081PAF2
200000.00000000
PA
USD
211850.00000000
0.022894164928
Long
DBT
CORP
CL
N
2
2050-01-21
Fixed
3.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31307UR34
16548.75000000
PA
USD
17509.36000000
0.001892198138
Long
ABS-MBS
USGSE
US
N
2
2032-10-01
Fixed
3.00000000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
200000.00000000
PA
USD
204600.00000000
0.022110673326
Long
DBT
CORP
KY
N
2
2023-11-12
Fixed
11.95000000
N
N
N
N
N
N
Shearer's Foods, Inc.
549300AQWIJSYS2CIH04
Shearer's Foods, Inc. 2021 Term Loan
82087UAL1
845750.00000000
PA
USD
846012.18000000
0.091426681048
Long
LON
CORP
US
N
2
2027-09-23
Floating
4.25000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DL9
260000.00000000
PA
USD
272561.25000000
0.029455096580
Long
DBT
NUSS
CL
N
2
2050-01-25
Fixed
3.50000000
N
N
N
N
N
N
ANGLOGOLD HOLDINGS PLC
213800745ZIXC4L6A131
AngloGold Ashanti Holdings PLC
03512TAE1
204000.00000000
PA
USD
211242.00000000
0.022828459701
Long
DBT
CORP
IM
N
2
2030-10-01
Fixed
3.75000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
8307.78000000
0.000897803566
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2580133.69000000
SEK
310000.00000000
USD
2021-09-15
8307.78000000
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
000000000
270000.00000000
PA
391923.52000000
0.042354315346
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EW4N2
2797.37000000
PA
USD
2947.53000000
0.000318533103
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
40000.00000000
PA
58211.70000000
0.006290810764
Long
DBT
NUSS
FR
N
2
2030-05-25
Fixed
2.50000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
3000000.00000000
PA
3448306.04000000
0.372650871853
Long
DBT
NUSS
ES
N
2
2031-04-30
Fixed
0.10000000
N
N
N
N
N
N
London Wall Mortgage Capital
213800QSO8J75OTK5919
London Wall Mortgage Capital PLC
000000000
156000.00000000
PA
216400.10000000
0.023385884257
Long
ABS-MBS
CORP
GB
N
2
2051-05-15
Variable
0.80000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
BLACKROCK CALL USD 360.0000000 20210917
000000000
900.00000000
NC
USD
6705.00000000
0.000724594646
N/A
DE
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Call
Purchased
United Rentals Inc
United Rentals Inc
1.00000000
360.00000000
USD
2021-09-17
XXXX
-7675.65000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMSH9
78613.80000000
PA
USD
85332.42000000
0.009221687501
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.00000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
703000.00000000
PA
834672.66000000
0.090201243988
Long
DBT
NUSS
ES
N
2
2031-10-31
Fixed
0.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
EUR 1Y MIDCV OP DEC21P 99.375 EXP 12/10/2021
000000000
168.00000000
NC
USD
35700.00000000
0.003858020712
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Eurodollar Time Deposit
N/A
168.00000000
NC
N/A
35700.00000000
0.00000000
DIR
US
Long
Eurodollar Time Deposit
EDZ2 Comdty
2022-12-19
168.00000000
USD
2500.00000000
99.37500000
USD
2021-12-10
XXXX
3926.16000000
N
N
N
Invesco QQQ Trust Series 1
549300VY6FEJBCIMET58
Invesco QQQ Trust Series 1
46090E103
22400.00000000
NS
USD
7939232.00000000
0.857975392070
Long
EC
RF
US
N
1
N
N
N
Columbus McKinnon Corporation
549300W3HQB0HO1F3G69
Columbus McKinnon Corporation 2021 Term Loan B
19933MAP8
186000.00000000
PA
USD
185767.50000000
0.020075486350
Long
LON
CORP
US
N
3
2028-05-14
Floating
3.25000000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
400000.00000000
PA
USD
274000.00000000
0.029610579137
Long
DBT
CORP
VG
N
2
2029-05-29
Fixed
4.50000000
N
N
N
N
N
N
Cie Financiere Richemont SA
549300YIPGJ6UX2QPS51
Cie Financiere Richemont SA
000000000
2144.00000000
NS
259914.06000000
0.028088342491
Long
EC
CORP
CH
N
2
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0185000 PUT USD 202
000000000
-15125582.00000000
OU
Notional Amount
USD
-101775.81000000
-0.01099868859
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
IRS Swap
N/A
15125582.00000000
OU
Notional Amount
N/A
-101775.81000000
-0.01000000
DIR
US
N/A
N/A
2031-11-30
0.00000000
N/A
0.00000000
N/A
15125582.00000000
USD
1.00000000
0.01850000
USD
2021-11-26
XXXX
104517.70000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 4.495000 03-MAR-2023
000000000
34373371.00000000
OU
Notional Amount
-40554.51000000
-0.00438263696
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-03-03
127.48000000
MXN
0.00000000
MXN
34373371.00000000
MXN
-40560.59000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.620000 08-APR-2026
000000000
22427103.00000000
OU
Notional Amount
USD
307197.15000000
0.033198122339
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-04-08
0.00000000
USD
-199.30000000
USD
22427103.00000000
USD
307396.45000000
N
N
N
DP World PLC
549300M3U2DNF4QVSS04
DP World PLC
000000000
400000.00000000
PA
USD
539825.00000000
0.058337703952
Long
DBT
CORP
AE
N
2
2037-07-02
Fixed
6.85000000
N
N
N
N
N
N
WEIBO CORP
549300Q9ID4640FE0422
Weibo Corp
948596AD3
200000.00000000
PA
USD
210537.50000000
0.022752325931
Long
DBT
CORP
KY
N
2
2024-07-05
Fixed
3.50000000
N
N
N
N
N
N
Coty Inc
549300BO9IWPF3S48F93
Coty Inc
222070AB0
136000.00000000
PA
USD
137774.80000000
0.014889020505
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
6.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAJ5
700000.00000000
PA
USD
701318.03000000
0.075789901561
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.22000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
3225.74000000
0.000348598647
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1019920.85000000
CAD
826000.00000000
USD
2021-07-14
3225.74000000
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
1591000.00000000
PA
1872994.51000000
0.202410409352
Long
DBT
NUSS
GR
N
2
2031-06-18
Fixed
0.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 2.357500 05-MAR-2031
000000000
218750.00000000
OU
Notional Amount
USD
-5379.74000000
-0.00058137670
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-05
4.55000000
USD
0.00000000
USD
218750.00000000
USD
-5384.29000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8AB1
14537.57000000
PA
USD
15527.90000000
0.001678066101
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132GSSE0
8185.68000000
PA
USD
8875.76000000
0.000959183919
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
41000000.00000000
PA
2145486.35000000
0.231858004945
Long
DBT
NUSS
MX
N
2
2027-06-03
Fixed
7.50000000
N
N
N
N
N
N
FIDELITY NATIONAL INFORM
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MAW6
110000.00000000
PA
134558.62000000
0.014541454985
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
1.10000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
13038.28000000
0.001409018327
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
5230225.00000000
TRY
605000.00000000
USD
2021-07-30
13038.28000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 1.686000 21-JUN-2051
000000000
365790.00000000
OU
Notional Amount
16179.00000000
0.001748429050
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-21
0.00000000
AUD
-12.97000000
AUD
365790.00000000
AUD
16188.93000000
N
N
N
iShares iBoxx $ Investment Grade Corporate Bond ETF
549300FYCXFXG8POR355
iShares iBoxx $ Investment Grade Corporate Bond ETF
464287242
1039.00000000
NS
USD
139600.04000000
0.015086270189
Long
EC
RF
US
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (MEX)
000000000
1213000.00000000
OU
Notional Amount
USD
-4095.19000000
-0.00044255820
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
290.96000000
USD
0.00000000
USD
1213000.00000000
USD
-4386.15000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DEERE + CO SEP21 380 CALL
000000000
4.00000000
NC
USD
2980.00000000
0.000322042065
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Deere & Co
Deere & Co
100.00000000
380.00000000
USD
2021-09-17
XXXX
-3768.94000000
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
300000.00000000
PA
USD
358875.00000000
0.038782834262
Long
DBT
NUSS
SA
N
2
2047-10-04
Fixed
4.63000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
DAX INDEX FUTURE SEP21 XEUR 20210917
000000000
5.00000000
NC
-23432.38000000
-0.00253228592
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
DAX Index
GXU1 Index
2021-09-17
1960761.65000000
EUR
-23432.38000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
FREEPORT-MCMORAN INC SEP21 40 CALL
000000000
38.00000000
NC
USD
7562.00000000
0.000817208757
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Freeport-McMoRan Inc
Freeport-McMoRan Inc
100.00000000
40.00000000
USD
2021-09-17
XXXX
-701.55000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QE2C5
135724.58000000
PA
USD
148753.73000000
0.016075489394
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHWD5
1011.84000000
PA
USD
1070.32000000
0.000115667135
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
NOBIAN FINANCE B
254900ZGJ6MMZN9IQQ31
Nobian Finance BV
000000000
100000.00000000
PA
118171.86000000
0.012770573767
Long
DBT
CORP
NL
N
2
2026-07-15
Fixed
3.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828ZJ2
3724613.64000000
PA
USD
4019818.36000000
0.434412954990
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FCTF5
8502.46000000
PA
USD
9035.85000000
0.000976484494
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AS2
755000.00000000
PA
USD
829865.28000000
0.089681720974
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.60000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0179000 PUT USD 202
000000000
10986683.00000000
OU
Notional Amount
USD
108108.74000000
0.011683074457
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
10986683.00000000
OU
Notional Amount
N/A
108108.74000000
0.01000000
DIR
US
N/A
N/A
2031-12-31
0.00000000
N/A
0.00000000
N/A
10986683.00000000
USD
1.00000000
0.01790000
USD
2021-12-29
XXXX
-22632.79000000
N
N
N
MDGH - GMTN BV
213800L53ZH5KG593W13
MDGH - GMTN BV
55276VAJ1
400000.00000000
PA
USD
419700.00000000
0.045356058627
Long
DBT
CORP
NL
N
2
2029-11-07
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9U68
20793.51000000
PA
USD
22426.02000000
0.002423530802
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2017-DELC Mortgage Trust
05552EAN0
1400000.00000000
PA
USD
1396459.96000000
0.150912365540
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
2.57000000
N
N
N
N
N
N
Walt Disney Co/The
549300GZKULIZ0WOW665
Walt Disney Co/The
254687106
2001.00000000
NS
USD
351715.77000000
0.038009151976
Long
EC
CORP
US
N
1
N
N
N
ORAZUL ENERGY EGENOR SCA
N/A
Orazul Energy Egenor SCA
68559BAA5
293000.00000000
PA
USD
301057.50000000
0.032534623827
Long
DBT
CORP
PE
N
2
2027-04-28
Fixed
5.63000000
N
N
N
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
000000000
100000.00000000
PA
123546.52000000
0.013351401487
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
2.38000000
N
N
N
N
N
N
RONSHINE CHINA
549300GNBBT32SFSEC47
Ronshine China Holdings Ltd
000000000
200000.00000000
PA
USD
189037.50000000
0.020428868079
Long
DBT
CORP
KY
N
2
2023-12-15
Fixed
7.35000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2475.60000000
0.000267532663
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
253000.00000000
EUR
302927.02000000
USD
2021-09-15
2475.60000000
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV
000000000
200000.00000000
PA
247290.56000000
0.026724148528
Long
DBT
CORP
NL
N
2
2025-10-15
Fixed
3.63000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BLACKROCK FXVAN PUT USD KRW 1110.0000000
000000000
2672000.00000000
OU
Notional Amount
USD
2319.30000000
0.000250641664
N/A
DFE
LU
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
2319.30000000
0.00000000
DFE
US
2965920000.00000000
KRW
2672000.00000000
USD
2021-07-21
1.00000000
1110.00000000
USD
2021-07-21
XXXX
-23895.69000000
N
N
N
Autonoria
959800PAVFGQ48YNAE06
Autonoria Spain 2021 FT
000000000
200000.00000000
PA
237150.03000000
0.025628283688
Long
ABS-O
CORP
ES
N
2
2039-01-31
Floating
0.24000000
N
N
N
N
N
N
Republic of Paraguay
529900UXKJTJPCU0HK83
Paraguay Government International Bond
000000000
200000.00000000
PA
USD
226912.50000000
0.024521936272
Long
DBT
NUSS
PY
N
2
2026-04-15
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS7
36254CAA8
225000.00000000
PA
USD
208294.07000000
0.022509883370
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Fixed
3.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-10324.74000000
-0.00111577201
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2791917.00000000
BRL
551000.00000000
USD
2021-07-02
-10324.74000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032670
2613000.00000000
PA
USD
2742986.53000000
0.296428539123
Long
ABS-MBS
USGA
US
N
2
2051-07-21
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBN5
202000.00000000
PA
USD
208404.59000000
0.022521827024
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.11000000
N
N
N
N
N
N
Allegro CLO Ltd
635400AREEXNEGDZE419
Allegro CLO VI Ltd
01749BAA7
400000.00000000
PA
USD
399877.20000000
0.043213852101
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
1.32000000
N
N
N
N
N
N
SHIMAO GROUP HLDGS LTD
254900WTJ6B5CU69ZD26
Shimao Group Holdings Ltd
000000000
200000.00000000
PA
USD
202500.00000000
0.021883730931
Long
DBT
CORP
KY
N
2
2030-07-13
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HP4C8
30042.30000000
PA
USD
32924.12000000
0.003558037448
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
CIFC Funding Ltd
549300KEIUMRD7WX5J42
CIFC Funding 2014-III Ltd
12549QBA2
1500000.00000000
PA
USD
1500073.65000000
0.162109669800
Long
ABS-CBDO
CORP
KY
N
2
2031-10-22
Floating
1.38000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335AYP7
11765.00000000
PA
USD
12496.89000000
0.001350511497
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAG5
200000.00000000
PA
USD
212412.50000000
0.022954953069
Long
DBT
NUSS
MX
N
2
2050-01-31
Fixed
4.50000000
N
N
N
N
N
N
LONGFOR HOLDINGS LTD
254900UJX27B2F1JYR13
Longfor Group Holdings Ltd
000000000
200000.00000000
PA
USD
221975.00000000
0.023988351474
Long
DBT
CORP
KY
N
2
2028-01-16
Fixed
4.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0007000 CALL EUR 20
000000000
8789346.00000000
OU
Notional Amount
76520.07000000
0.008269356161
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
8789346.00000000
OU
Notional Amount
N/A
76520.07000000
0.01000000
DIR
US
N/A
N/A
2031-12-28
0.00000000
N/A
0.00000000
N/A
8789346.00000000
EUR
1.00000000
0.00070000
EUR
2021-12-24
XXXX
-5510.83000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-72567.45000000
-0.00784220518
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
5732640.00000000
BRL
1080000.00000000
USD
2021-07-02
-72567.45000000
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BLACKROCK FXVAN PUT USD ZAR 13.2500000
000000000
-3297000.00000000
OU
Notional Amount
USD
-59.35000000
-0.00000641382
N/A
DFE
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Put
Written
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
-59.35000000
0.00000000
DFE
ZA
-3297000.00000000
USD
-43685250.00000000
ZAR
2021-07-12
1.00000000
13.25000000
USD
2021-07-12
XXXX
8872.98000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
7280000.00000000
PA
1123211.13000000
0.121382963697
Long
DBT
NUSS
CN
N
2
2029-11-21
Fixed
3.13000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-55774.64000000
-0.00602744303
N/A
DFE
CA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2959843.56000000
USD
3600000.00000000
CAD
2021-09-15
-55774.64000000
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
CDS: (CMBX.NA.9.BBB-)
000000000
1350000.00000000
OU
Notional Amount
USD
-104310.53000000
-0.01127261023
N/A
DCR
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Markit CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-17
0.00000000
USD
-135123.18000000
USD
1350000.00000000
USD
30812.65000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EQU26
673.43000000
PA
USD
703.29000000
0.000076003008
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
2.50000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
799000.00000000
PA
USD
898875.00000000
0.097139450081
Long
DBT
NUSS
DO
N
2
2027-01-25
Fixed
5.95000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.625000 25-JAN-2051
000000000
4696916.00000000
OU
Notional Amount
USD
160435.49000000
0.017337911580
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-01-25
0.00000000
USD
-144.94000000
USD
4696916.00000000
USD
160580.43000000
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBD1
293000.00000000
PA
USD
286255.93000000
0.030935050616
Long
DBT
US
N
2
2050-06-15
Fixed
3.10000000
N
N
N
N
N
N
ZHONGAN ONLINE P&C INSUR
5299006845ISFI2WAI41
ZhongAn Online P&C Insurance Co Ltd
000000000
200000.00000000
PA
USD
199912.50000000
0.021604105481
Long
DBT
CORP
CN
N
2
2025-07-16
Fixed
3.13000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BN3
245000.00000000
PA
USD
234863.13000000
0.025381143420
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN AUG21P 131 EXP 07/23/2021
000000000
98.00000000
NC
USD
10718.75000000
0.001158351807
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note
N/A
98.00000000
NC
N/A
10718.75000000
0.00000000
DIR
US
Long
10 Year US Treasury Note
TYQ1 Comdty
2021-09-21
98.00000000
USD
1000.00000000
131.00000000
USD
2021-07-23
XXXX
-69055.21000000
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087XW9
90000.00000000
PA
107028.56000000
0.011566341773
Long
DBT
NUSS
CA
N
2
2037-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VSL5
32844.87000000
PA
USD
34953.84000000
0.003777384837
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
4.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BZ6
209000.00000000
PA
USD
210414.88000000
0.022739074656
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)
000000000
2000000.00000000
OU
Notional Amount
USD
-154534.11000000
-0.01670016238
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-229537.32000000
USD
2000000.00000000
USD
75003.21000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GVZ99
31373.49000000
PA
USD
34547.44000000
0.003733466080
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020695
15100000.00000000
PA
USD
15185527.46000000
1.641066651822
Long
ABS-MBS
USGSE
US
N
2
2051-09-15
Fixed
2.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK FXVAN PUT USD MXN 19.8500000
000000000
2156000.00000000
OU
Notional Amount
USD
8938.78000000
0.000965994352
N/A
DFE
LU
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
8938.78000000
0.00000000
DFE
US
42796600.00000000
MXN
2156000.00000000
USD
2021-07-09
1.00000000
19.85000000
USD
2021-07-09
XXXX
-24574.08000000
N
N
N
ATLAS LUXCO 4 / ALL UNI
N/A
Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl
000000000
100000.00000000
PA
117614.56000000
0.012710347578
Long
DBT
CORP
XX
N
2
2028-06-01
Fixed
3.63000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DEERE + CO SEP21 320 PUT
000000000
-4.00000000
NC
USD
-2610.00000000
-0.00028205697
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Deere & Co
Deere & Co
100.00000000
320.00000000
USD
2021-09-17
XXXX
2501.03000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
509.64000000
0.000055075677
N/A
DFE
MX
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1231069.00000000
USD
24586786.96000000
MXN
2021-07-14
509.64000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
1505053.00000000
OU
Notional Amount
USD
45974.00000000
0.004968309362
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Brazilian Government International Bond
Brazilian Government International Bond
Y
buy protection
2026-06-23
48141.11000000
USD
0.00000000
USD
1505053.00000000
USD
-2167.11000000
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
431000.00000000
PA
553276.83000000
0.059791413721
Long
DBT
NUSS
ES
N
2
2030-10-31
Fixed
1.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
3390.28000000
0.000366380124
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
10932280.80000000
MXN
551000.00000000
USD
2021-07-14
3390.28000000
N
N
N
Elevation CLO Ltd
549300OBPZDY731NEI33
Elevation CLO 2017-8 Ltd
28622VAA8
400000.00000000
PA
USD
399688.52000000
0.043193461867
Long
ABS-CBDO
CORP
KY
N
2
2030-10-25
Floating
1.34000000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust
52607MAA7
350000.00000000
PA
USD
353137.89000000
0.038162837366
Long
ABS-O
CORP
US
N
2
2031-11-20
Fixed
1.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022671
3967000.00000000
PA
USD
4105225.20000000
0.443642684897
Long
ABS-MBS
USGA
US
N
2
2051-07-21
Fixed
2.50000000
N
N
N
N
N
N
Cano Health Inc
N/A
Cano Health Inc
13781Y111
9002.00000000
NS
USD
33203.88000000
0.003588270497
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Cano Health Inc
Cano Health Inc
1.00000000
11.50000000
USD
2026-06-03
XXXX
-11321.16000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QETF9
59174.44000000
PA
USD
63105.53000000
0.006819676241
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
3.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-D
63942CAA0
650000.00000000
PA
USD
642839.86000000
0.069470293968
Long
ABS-O
CORP
US
N
2
2060-04-15
Variable
1.00000000
N
N
N
N
N
N
ASG FINANCE DESIGNATED
5493005UOB0OMEJ4WK10
ASG Finance Designated Activity Co
00217AAA4
502000.00000000
PA
USD
488038.13000000
0.052741210476
Long
DBT
CORP
IE
N
2
2024-12-03
Fixed
7.88000000
N
N
N
N
N
N
POWER FINANCE CORP LTD
3358003Q6D9LIJJZ1614
Power Finance Corp Ltd
73928RAA4
200000.00000000
PA
USD
236975.00000000
0.025609368580
Long
DBT
CORP
IN
N
2
2028-12-06
Fixed
6.15000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-655.66000000
-0.00007085573
N/A
DFE
TR
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
22000.00000000
USD
193079.19000000
TRY
2021-09-15
-655.66000000
N
N
N
CHINA SCE GRP HLDGS LTD
549300Q8UEI2ERAP6P49
China SCE Group Holdings Ltd
000000000
200000.00000000
PA
USD
206600.00000000
0.022326808940
Long
DBT
CORP
KY
N
2
2024-04-09
Fixed
7.38000000
N
N
N
N
N
N
ONE GAS INC
549300HXDWI0LATTX840
ONE Gas Inc
68235PAH1
35000.00000000
PA
USD
34416.55000000
0.003719321085
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
038461AM1
296000.00000000
PA
USD
308265.50000000
0.033313576580
Long
DBT
NUSS
EG
N
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
DASSAULT SYSTEMES
96950065LBWY0APQIM86
Dassault Systemes SE
000000000
100000.00000000
PA
119038.64000000
0.012864244781
Long
DBT
CORP
FR
N
2
2022-09-16
None
0.00000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
200000.00000000
PA
243125.26000000
0.026274013691
Long
DBT
CORP
GB
N
2
2028-02-07
Fixed
2.00000000
N
N
N
N
N
N
DAE FUNDING LLC
635400SZTPQL3Y1P2C76
DAE Funding LLC
23371DAF1
835000.00000000
PA
USD
848464.38000000
0.091691684924
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
2.63000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
1696.11000000
0.000183294888
N/A
DFE
CL
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
275500.00000000
USD
203635825.00000000
CLP
2021-07-14
1696.11000000
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
EUR PUT USD CALL AUG21 1.15 PUT
000000000
-30293748.00000000
OU
Notional Amount
-14978.98000000
-0.00161874552
N/A
DFE
DE
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Put
Written
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
-14978.98000000
0.00000000
DFE
US
-30293748.00000000
EUR
-34837810.20000000
USD
2021-08-02
1.00000000
1.15000000
EUR
2021-08-02
XXXX
116299.02000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCL4
436000.00000000
PA
USD
369379.20000000
0.039918000121
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
770000.00000000
OU
Notional Amount
USD
23520.75000000
0.002541835873
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Brazilian Government International Bond
Brazilian Government International Bond
Y
buy protection
2026-06-23
24570.04000000
USD
0.00000000
USD
770000.00000000
USD
-1049.29000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: CAD 0.780000 17-NOV-2023
000000000
2743000.00000000
OU
Notional Amount
-13283.89000000
-0.00143556086
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-11-17
47.32000000
CAD
0.00000000
CAD
2743000.00000000
CAD
-13320.03000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-573.03000000
-0.00006192609
N/A
DFE
XX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
242527.42000000
USD
204000.00000000
EUR
2021-07-14
-573.03000000
N
N
N
Airbnb Inc
549300HMUDNO0RY56D37
Airbnb Inc
009066101
3164.00000000
NS
USD
484534.96000000
0.052362630576
Long
EC
CORP
US
N
1
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231G102
1852.00000000
NS
USD
116824.16000000
0.012624930784
Long
EC
CORP
US
N
1
N
N
N
CREDIT AGRICOLE ASSRNCES
969500K2MUPSI57XK083
Credit Agricole Assurances SA
000000000
300000.00000000
PA
380359.95000000
0.041104665694
Long
DBT
CORP
FR
N
2
2048-01-29
Fixed
2.63000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST SEP21 454 CALL
000000000
-449.00000000
NC
USD
-60839.50000000
-0.00657479134
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
454.00000000
USD
2021-09-17
XXXX
-1436.85000000
N
N
N
CHEPLAPHARM ARZNEIMITTEL
529900ONXKBELT7EW052
Cheplapharm Arzneimittel GmbH
000000000
200000.00000000
PA
239494.97000000
0.025881696212
Long
DBT
CORP
DE
N
2
2027-02-11
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 2.010000 27-MAY-2051
000000000
4051495.00000000
OU
Notional Amount
USD
-220910.60000000
-0.02387332410
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-05-30
0.00000000
USD
-127.84000000
USD
4051495.00000000
USD
-220782.76000000
N
N
N
BANK BAHRAIN & KUWAIT
549300MCPF5HTBF8ZR90
BBK BSC
000000000
217000.00000000
PA
USD
227822.88000000
0.024620319042
Long
DBT
CORP
BH
N
2
2024-07-09
Fixed
5.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.850000 08-APR-2026
000000000
54465822.00000000
OU
Notional Amount
USD
-127516.19000000
-0.01378039501
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-04-08
484.01000000
USD
0.00000000
USD
54465822.00000000
USD
-128000.20000000
N
N
N
INEOS FINANCE PLC
2138002D68XDR4LZCG32
INEOS Finance PLC
000000000
100000.00000000
PA
122633.60000000
0.013252744225
Long
DBT
CORP
GB
N
2
2026-03-31
Fixed
3.38000000
N
N
N
N
N
N
AVIANCA HOLDINGS SA
529900VB3L5MRBU13P27
Avianca Holdings SA
000000000
272000.00000000
PA
USD
271915.00000000
0.029385257759
Long
DBT
CORP
PA
N
2
2021-11-10
Fixed
11.00000000
N
N
Y
N
N
N
iShares MSCI Brazil ETF
F6BK0XM2JFWYXJ2MDK09
iShares MSCI Brazil ETF
464286400
11291.00000000
NS
USD
457737.14000000
0.049466648934
Long
EC
RF
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132M9MM3
4047.37000000
PA
USD
4390.94000000
0.000474519256
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
3.50000000
N
N
N
N
N
N
SASOL Financing USA LLC
549300XRB1PFMESFEL85
SASOL Financing USA LLC
80386WAB1
200000.00000000
PA
USD
225000.00000000
0.024315256591
Long
DBT
CORP
US
N
2
2028-09-27
Fixed
6.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MM0
153000.00000000
PA
USD
204598.80000000
0.022110543645
Long
DBT
CORP
US
N
2
2041-03-26
Fixed
5.32000000
N
N
N
N
N
N
SPDR Bloomberg Barclays High Yield Bond ETF
549300NCLW2248PN7J24
SPDR Bloomberg Barclays High Yield Bond ETF
78468R622
45000.00000000
NS
USD
4948200.00000000
0.534741122950
Long
EC
RF
US
N
1
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CDS: (CMBX.NA.9.BBB-)
000000000
190000.00000000
OU
Notional Amount
USD
-14680.74000000
-0.00158651537
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-578.49000000
USD
190000.00000000
USD
-14102.25000000
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
000000000
100000.00000000
PA
138945.25000000
0.015015508470
Long
DBT
CORP
LU
N
2
2039-03-07
Fixed
2.25000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
1539000.00000000
PA
USD
1054215.00000000
0.113926703231
Long
DBT
NUSS
EC
N
2
2035-07-31
Variable
0.50000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
260000.00000000
PA
USD
286861.25000000
0.031000466221
Long
DBT
NUSS
SA
N
2
2025-04-17
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
SWAP/CDSWAP/SCDS: (MEX)
000000000
820000.00000000
OU
Notional Amount
USD
-2768.39000000
-0.00029917383
N/A
DCR
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-787.60000000
USD
820000.00000000
USD
-1980.79000000
N
N
N
ENTEL CHILE SA
N/A
Empresa Nacional de Telecomunicaciones SA
29245VAB1
462000.00000000
PA
USD
510452.25000000
0.055163455272
Long
DBT
CORP
CL
N
2
2026-08-01
Fixed
4.75000000
N
N
N
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-7909.22000000
-0.00085473206
N/A
DFE
CA
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
340000.00000000
USD
411673.02000000
CAD
2021-09-15
-7909.22000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
232000.00000000
PA
439988.14000000
0.047548553427
Long
DBT
NUSS
IT
N
2
2044-09-01
Fixed
4.75000000
N
N
N
N
N
N
RKPF OVERSEAS 2019 A LTD
254900P8BXRCW5458103
RKPF Overseas 2019 A Ltd
000000000
200000.00000000
PA
USD
212287.50000000
0.022941444593
Long
DBT
CORP
VG
N
2
2024-09-30
Fixed
6.70000000
N
N
N
N
N
N
Kingdom of Denmark
549300PTO6LS1PTM6607
Denmark Government Bond
000000000
200000.00000000
PA
33445.39000000
0.003614369953
Long
DBT
NUSS
DK
N
2
2023-11-15
Fixed
1.50000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
918000.00000000
PA
USD
1192367.89000000
0.128856583094
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
533000.00000000
PA
USD
573741.19000000
0.062002952229
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
OCP CLO Ltd
254900XV0U0WEM36A370
OCP CLO 2015-9 Ltd
67091YAJ3
155383.68000000
PA
USD
155359.10000000
0.016789317245
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
0.98000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAF0
209000.00000000
PA
USD
207880.93000000
0.022465236237
Long
DBT
CORP
GB
N
2
2050-09-02
Fixed
3.55000000
N
N
N
N
N
N
Acres PLC
N/A
ACRES Commercial Realty 2021-FL1 Ltd
00103CAA7
310000.00000000
PA
USD
310194.77000000
0.033522068558
Long
ABS-CBDO
CORP
KY
N
2
2036-06-15
Floating
1.27000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HJF71
12888.25000000
PA
USD
14506.89000000
0.001567727789
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAC0
100000.00000000
PA
USD
100125.28000000
0.010820319441
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.30000000
N
N
N
N
N
N
RATTLER MIDSTREAM LP
549300I45NRVEEN9M219
Rattler Midstream LP
75419TAA1
50000.00000000
PA
USD
52562.50000000
0.005680314109
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.63000000
N
N
N
N
N
N
BRUNELLO BIDCO SPA
8156000BE2F1A5658E76
Brunello Bidco SpA
000000000
100000.00000000
PA
118519.05000000
0.012808093829
Long
DBT
CORP
IT
N
2
2028-02-15
Floating
3.75000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
3128MJJN1
22433.75000000
PA
USD
25711.56000000
0.002778591905
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.709500 25-SEP-2030
000000000
1243000.00000000
OU
Notional Amount
USD
75183.49000000
0.008124914892
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2030-09-25
0.00000000
USD
-24.21000000
USD
1243000.00000000
USD
75207.70000000
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
263000.00000000
PA
USD
256556.50000000
0.027725498344
Long
DBT
NUSS
OM
N
2
2047-03-08
Fixed
6.50000000
N
N
N
N
N
N
VOLVO TREASURY AB
549300PD69T87IGZG395
Volvo Treasury AB
000000000
200000.00000000
PA
237359.68000000
0.025650940104
Long
DBT
CORP
SE
N
2
2021-09-13
Floating
0.11000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
BLACKROCK FXVAN PUT USD ZAR 13.2500000
000000000
-30000000.00000000
OU
Notional Amount
USD
-30570.00000000
-0.00330363286
N/A
DFE
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Written
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
FX Contract
N/A
1.00000000
NC
USD
-30570.00000000
0.00000000
DFE
ZA
-30000000.00000000
USD
-397500000.00000000
ZAR
2021-08-26
1.00000000
13.25000000
USD
2021-08-26
XXXX
163800.00000000
N
N
N
FIRSTENERGY TRANSMISSION
549300AINIIPOLYX2R63
FirstEnergy Transmission LLC
33767BAB5
1032000.00000000
PA
USD
1132228.16000000
0.122357414355
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.35000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION JAN22 1.76 PUT
000000000
-22097862.00000000
OU
Notional Amount
USD
-272572.27000000
-0.02945628748
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
22097862.00000000
OU
Notional Amount
N/A
-272572.27000000
-0.03000000
DIR
GB
N/A
N/A
2032-01-28
0.00000000
N/A
0.00000000
N/A
22097862.00000000
USD
1.00000000
1.76000000
USD
2022-01-26
XXXX
-88607.57000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.834000 08-MAR-2026
000000000
22775000.00000000
OU
Notional Amount
USD
-29330.41000000
-0.00316967308
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-09
196.94000000
USD
0.00000000
USD
22775000.00000000
USD
-29527.35000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
1550000.00000000
OU
Notional Amount
USD
47346.96000000
0.005116682138
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Brazilian Government International Bond
Brazilian Government International Bond
Y
buy protection
2026-06-23
49459.18000000
USD
0.00000000
USD
1550000.00000000
USD
-2112.22000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION JAN22 1.76 PUT
000000000
-11048931.00000000
OU
Notional Amount
USD
-136286.13000000
-0.01472814320
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
11048931.00000000
OU
Notional Amount
N/A
-136286.13000000
-0.01000000
DIR
GB
N/A
N/A
2032-01-28
0.00000000
N/A
0.00000000
N/A
11048931.00000000
USD
1.00000000
1.76000000
USD
2022-01-26
XXXX
-46513.57000000
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AM5
165000.00000000
PA
USD
167518.61000000
0.018103368826
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.13000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Panama Government International Bond
698299AW4
400000.00000000
PA
USD
543700.00000000
0.058756466704
Long
DBT
NUSS
PA
N
2
2036-01-26
Fixed
6.70000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
930000.00000000
OU
Notional Amount
USD
-3139.76000000
-0.00033930697
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-446.50000000
USD
930000.00000000
USD
-2693.26000000
N
N
N
UK TSY 1.75% 2022
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
200000.00000000
PA
282209.13000000
0.030497721814
Long
DBT
NUSS
GB
N
2
2022-09-07
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLT0
57729.73000000
PA
USD
61661.53000000
0.006663626327
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
OCEAN LAUREL CO LTD
300300R2QRRSUO439N33
Ocean Laurel Co Ltd
000000000
200000.00000000
PA
USD
197287.50000000
0.021320427487
Long
DBT
CORP
VG
N
2
2025-10-20
Fixed
2.38000000
N
N
N
N
N
N
Alaska Air Group Inc
529900G48RT4KWLC6C27
Alaska Air Group Inc
011659109
2586.00000000
NS
USD
155961.66000000
0.016854434583
Long
EC
CORP
US
N
1
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-BIOA
056057AN2
1380000.00000000
PA
USD
1381699.88000000
0.149317276062
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
2.02000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
BLACKROCK FXVAN PUT GBP USD 1.3750000
000000000
3178000.00000000
OU
Notional Amount
20169.43000000
0.002179666069
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
20169.43000000
0.00000000
DFE
GB
4369750.00000000
USD
3178000.00000000
GBP
2021-07-29
1.00000000
1.37500000
GBP
2021-07-29
XXXX
-695.31000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-4871.75000000
-0.00052647933
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
6100000.00000000
SEK
708394.59000000
USD
2021-09-15
-4871.75000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJUE9
6350.82000000
PA
USD
6767.52000000
0.000731351045
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-6371.15000000
-0.00068851620
N/A
DFE
ID
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
338292.41000000
USD
4877500000.00000000
IDR
2021-09-15
-6371.15000000
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BX7
250000.00000000
PA
USD
293406.25000000
0.031707770018
Long
DBT
NUSS
BR
N
2
2026-04-07
Fixed
6.00000000
N
N
N
N
N
N
CHINA RESOURCES LAND LTD
5299001HL0TU7X15HK51
China Resources Land Ltd
000000000
300000.00000000
PA
USD
311306.25000000
0.033642183765
Long
DBT
CORP
KY
N
2
2024-12-09
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRY3
86716.61000000
PA
USD
96399.65000000
0.010417698777
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Kingdom of Bahrain
549300RODM1WN85LFQ95
Bahrain Government International Bond
000000000
200000.00000000
PA
USD
219287.50000000
0.023697919243
Long
DBT
NUSS
BH
N
2
2029-09-20
Fixed
6.75000000
N
N
N
N
N
N
iShares Russell 2000 ETF
549300O80OAR5VTWR172
iShares Russell 2000 ETF
464287655
476.00000000
NS
USD
109180.12000000
0.011798856144
Long
EC
RF
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 2.454500 18-MAR-2031
000000000
650000.00000000
OU
Notional Amount
USD
-8855.98000000
-0.00095704633
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-18
13.52000000
USD
0.00000000
USD
650000.00000000
USD
-8869.50000000
N
N
N
ZHENRO PROPERTIES GROUP
549300I66TVJEL841P38
Zhenro Properties Group Ltd
000000000
200000.00000000
PA
USD
207475.00000000
0.022421368272
Long
DBT
CORP
KY
N
2
2023-05-06
Fixed
9.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJ4K1
21030.32000000
PA
USD
22347.97000000
0.002415096110
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FSWP: KRW 1.640000 21-SEP-2023
000000000
8602400000.00000000
OU
Notional Amount
-2551.41000000
-0.00027572528
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2023-09-21
0.00000000
KRW
0.00000000
KRW
8602400000.00000000
KRW
-2551.41000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (COLOM)
000000000
653000.00000000
OU
Notional Amount
USD
11081.59000000
0.001197563130
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Colombia Government International Bond
Colombia Government International Bond
Y
buy protection
2026-06-23
12985.93000000
USD
0.00000000
USD
653000.00000000
USD
-1904.34000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
730000.00000000
OU
Notional Amount
USD
-2464.55000000
-0.00026633851
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-702.11000000
USD
730000.00000000
USD
-1762.44000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) SEP21 XCBT 20210930
000000000
2964.00000000
NC
USD
-1090625.65000000
-0.11786152233
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVU1 Comdty
2021-09-30
366797280.42000000
USD
-1090625.65000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Z37
2384715.39000000
PA
USD
2617566.70000000
0.282874693131
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.13000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
TE CONNECTIVITY LTD OCT21 125 PUT
000000000
-14.00000000
NC
USD
-4725.00000000
-0.00051062038
N/A
DE
CH
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
TE Connectivity Ltd
TE Connectivity Ltd
100.00000000
125.00000000
USD
2021-10-15
XXXX
-21.35000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.180000 17-JUN-2031
000000000
11925597.00000000
OU
Notional Amount
USD
-105058.87000000
-0.01135348169
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-06-17
0.00000000
USD
-110.97000000
USD
11925597.00000000
USD
-104947.90000000
N
N
N
Largo Resources Ltd
549300DNLDBZOCZKIM08
Largo Resources Ltd
517103602
1012.00000000
NS
15756.37000000
0.001702756353
Long
EC
CORP
CA
N
1
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
321.16000000
0.000034707056
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
16876395000.00000000
IDR
1164210.47000000
USD
2021-07-01
321.16000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.400000 07-APR-2031
000000000
41943696.00000000
OU
Notional Amount
USD
-70716.75000000
-0.00764220409
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-04-07
670.06000000
USD
0.00000000
USD
41943696.00000000
USD
-71386.81000000
N
N
N
ASAHI GROUP HOLDINGS LTD
353800KAJ02XNHLCJW79
Asahi Group Holdings Ltd
000000000
170000.00000000
PA
202075.42000000
0.021837847502
Long
DBT
CORP
JP
N
2
2024-04-19
Fixed
0.01000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
BLACKROCK FXVAN PUT USD RUB 72.2500000
000000000
6025004.00000000
OU
Notional Amount
USD
32016.87000000
0.003459992930
N/A
DFE
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
J.P. Morgan International Bank Limited
PGBWEZU4QUV2UVGWJC76
J.P. Morgan International Bank Limited
PGBWEZU4QUV2UVGWJC76
FX Contract
N/A
1.00000000
NC
USD
32016.87000000
0.00000000
DFE
US
435306539.00000000
RUB
6025004.00000000
USD
2021-07-27
1.00000000
72.25000000
USD
2021-07-27
XXXX
-23202.29000000
N
N
N
Athenahealth, Inc.
5493004JZ4RQIZBHP241
Athenahealth, Inc. 2021 Term Loan B1
04685YAM1
217455.00000000
PA
USD
217931.23000000
0.023551350118
Long
LON
CORP
US
N
2
2026-02-11
Floating
4.41000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGC2
1295000.00000000
PA
USD
1387020.80000000
0.149892296218
Long
DBT
CORP
US
N
2
2061-03-22
Fixed
3.70000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABN4
1174000.00000000
PA
USD
1172062.90000000
0.126662267352
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 2.354000 05-MAR-2031
000000000
109375.00000000
OU
Notional Amount
USD
-2731.93000000
-0.00029523368
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-05
2.27000000
USD
0.00000000
USD
109375.00000000
USD
-2734.20000000
N
N
N
REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
200000.00000000
PA
USD
136725.00000000
0.014775570921
Long
DBT
NUSS
LK
N
2
2024-06-28
Fixed
6.35000000
N
N
N
N
N
N
ASAHI GROUP HOLDINGS LTD
353800KAJ02XNHLCJW79
Asahi Group Holdings Ltd
000000000
200000.00000000
PA
238659.72000000
0.025791432576
Long
DBT
CORP
JP
N
2
2024-10-23
Fixed
0.16000000
N
N
N
N
N
N
MILLICOM INTL CELLULAR
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AN7
360000.00000000
PA
USD
376942.50000000
0.040735349366
Long
DBT
CORP
LU
N
2
2028-01-15
Fixed
5.13000000
N
N
N
N
N
N
ALFA S.A.
549300ZCGJ6T8YDJ4M34
Alfa SAB de CV
000000000
200000.00000000
PA
USD
263350.00000000
0.028459656992
Long
DBT
CORP
MX
N
2
2044-03-25
Fixed
6.88000000
N
N
N
N
N
N
SLM Student Loan Trust
549300I2YWZ9E1B0EY33
SLM Private Credit Student Loan Trust 2006-A
78443CCL6
52998.37000000
PA
USD
51474.05000000
0.005562687704
Long
ABS-O
CORP
US
N
2
2039-06-15
Floating
0.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XTVX0
10336.18000000
PA
USD
10970.69000000
0.001185578410
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBG5
1219000.00000000
PA
USD
1272524.91000000
0.137518976467
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.455000 23-NOV-2025
000000000
8405000.00000000
OU
Notional Amount
USD
-148922.26000000
-0.01609370206
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-11-24
137.28000000
USD
0.00000000
USD
8405000.00000000
USD
-149059.54000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828V49
1657860.00000000
PA
USD
1834849.50000000
0.198288161770
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.38000000
N
N
N
N
N
N
Bankers Healthcare Group Securitization Trust
N/A
BHG Securitization Trust 2021-A
08861YAA4
175838.13000000
PA
USD
175764.96000000
0.018994533787
Long
ABS-O
CORP
US
N
2
2033-11-17
Fixed
1.42000000
N
N
N
N
N
N
GCT Commercial Mortgage Trust
N/A
GCT Commercial Mortgage Trust 2021-GCT
36167RAG8
340000.00000000
PA
USD
340214.03000000
0.036766184156
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
2.42000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MENS6
31294.04000000
PA
USD
32687.11000000
0.003532424297
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
2.50000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
000000000
110000.00000000
PA
147618.87000000
0.015952847563
Long
DBT
CORP
JP
N
2
2028-09-17
Fixed
3.20000000
N
N
N
N
N
N
TOTALENERGIES SE
529900S21EQ1BO4ESM68
TotalEnergies SE
000000000
350000.00000000
PA
414997.60000000
0.044847880571
Long
DBT
CORP
FR
N
2
2027-10-25
Fixed
1.63000000
N
N
N
N
N
N
SRS DISTRIBUTION INC
549300ZQ3XP75BCYM468
SRS Distribution Inc
78471RAB2
36000.00000000
PA
USD
36810.00000000
0.003977975978
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.826500 22-JUN-2051
000000000
4592938.00000000
OU
Notional Amount
USD
38852.59000000
0.004198714200
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-06-22
145.16000000
USD
0.00000000
USD
4592938.00000000
USD
38707.43000000
N
N
N
MILLICOM INTL CELLULAR
549300CTHC1CP86P2G96
Millicom International Cellular SA
600814AR8
1455000.00000000
PA
USD
1513472.81000000
0.163557687638
Long
DBT
CORP
LU
N
2
2031-04-27
Fixed
4.50000000
N
N
N
N
N
N
One New York Plaza Trust 2020-1NYP
N/A
One New York Plaza Trust 2020-1NYP
68249DAJ8
270000.00000000
PA
USD
273032.80000000
0.029506055954
Long
ABS-MBS
CORP
US
N
2
2026-01-15
Floating
2.82000000
N
N
N
N
N
N
MICHAELS COMPANIES, INC.
549300H9LWMBP7HYLR98
MICHAELS COMPANIES, INC. 2021 TERM LOAN B
59408UAB3
680000.00000000
PA
USD
682475.20000000
0.073753598244
Long
LON
CORP
US
N
2
2028-04-15
Floating
5.00000000
N
N
N
N
N
N
LEVIATHAN BOND LTD
254900D9T8VKYVQNZ220
Leviathan Bond Ltd
000000000
627851.00000000
PA
USD
654471.88000000
0.070727340861
Long
DBT
CORP
IL
N
2
2023-06-30
Fixed
5.75000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0172000 PUT USD 202
000000000
-10986683.00000000
OU
Notional Amount
USD
-32180.43000000
-0.00347766850
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
10986683.00000000
OU
Notional Amount
N/A
-32180.43000000
0.00000000
DIR
US
N/A
N/A
2031-08-26
0.00000000
N/A
0.00000000
N/A
10986683.00000000
USD
1.00000000
0.01720000
USD
2021-08-24
XXXX
15062.31000000
N
N
N
Neuberger Berman CLO Ltd
549300LGCRX4YI1JNS93
Neuberger Berman Loan Advisers Clo 42 Ltd
64133WAA3
125000.00000000
PA
USD
125000.00000000
0.013508475883
Long
ABS-CBDO
CORP
KY
N
2
2035-07-16
Floating
1.24000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
19369000000.00000000
PA
1324438.86000000
0.143129203200
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
MP Clo VIII, LTD
549300D60LKSR31DKI65
MP CLO VIII Ltd
62481WAN7
250000.00000000
PA
USD
250000.00000000
0.027016951767
Long
ABS-CBDO
CORP
KY
N
3
2034-04-28
Floating
1.90000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DR HORTON INC JUL21 80 PUT
000000000
-56.00000000
NC
USD
-476.00000000
-0.00005144027
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
DR Horton Inc
DR Horton Inc
100.00000000
80.00000000
USD
2021-07-16
XXXX
6587.24000000
N
N
N
ALFA S.A.
549300ZCGJ6T8YDJ4M34
Alfa SAB de CV
015398AC4
400000.00000000
PA
USD
526700.00000000
0.056919313984
Long
DBT
CORP
MX
N
2
2044-03-25
Fixed
6.88000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRK3
92258.84000000
PA
USD
100864.35000000
0.010900189116
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 3 LTD
67112RAU8
1000000.00000000
PA
USD
1000000.00000000
0.108067807071
Long
ABS-CBDO
CORP
KY
N
2
2035-07-02
Floating
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERJL5
25186.37000000
PA
USD
26748.47000000
0.002890648495
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BK9
400000.00000000
PA
USD
419200.00000000
0.045302024724
Long
DBT
NUSS
PA
N
2
2030-01-23
Fixed
3.16000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
4794.30000000
0.000518109487
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
140000.00000000
EUR
171052.00000000
USD
2021-09-15
4794.30000000
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFK5
104000.00000000
PA
USD
115246.27000000
0.012454411672
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.142500 15-MAY-2025
000000000
320000.00000000
OU
Notional Amount
5968.84000000
0.000645039449
N/A
DO
GB
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-05-15
0.00000000
GBP
-11.54000000
GBP
320000.00000000
GBP
5982.95000000
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
20000.00000000
PA
USD
21304.50000000
0.002302330595
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK FXVAN CALL USD ZAR 14.1000000
000000000
-3297000.00000000
OU
Notional Amount
USD
-59843.85000000
-0.00646719363
N/A
DFE
LU
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
-59843.85000000
-0.01000000
DFE
ZA
-3297000.00000000
USD
-46487700.00000000
ZAR
2021-07-12
1.00000000
14.10000000
USD
2021-07-12
XXXX
-40289.34000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAK2
202000.00000000
PA
USD
330391.89000000
0.035704727026
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
8.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WH3H3
67969.99000000
PA
USD
72471.34000000
0.007831818789
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
MEGLOBAL CANADA ULC
635400MHHHT7LMKMQL03
MEGlobal Canada ULC
58518N2A9
505000.00000000
PA
USD
621402.50000000
0.067153605483
Long
DBT
CORP
CA
N
2
2030-05-18
Fixed
5.88000000
N
N
N
N
N
N
Bank
N/A
BANK 2020-BNK29
06541TAJ8
420000.00000000
PA
USD
389901.96000000
0.042135849789
Long
ABS-MBS
CORP
US
N
2
2053-11-15
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.172500 04-FEB-2031
000000000
9608248.00000000
OU
Notional Amount
USD
190812.48000000
0.020620686275
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-02-04
0.00000000
USD
-149.39000000
USD
9608248.00000000
USD
190961.87000000
N
N
N
Monster Beverage Corp
52990090AP0E7HCB6F33
Monster Beverage Corp
61174X109
3636.00000000
NS
USD
332148.60000000
0.035894570823
Long
EC
CORP
US
N
1
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
140000000.00000000
PA
1232395.70000000
0.133182300743
Long
DBT
NUSS
JP
N
2
2050-09-20
Fixed
0.60000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR SEP23 XCME 20230918
000000000
83.00000000
NC
USD
-46144.45000000
-0.00498672952
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Eurodollar Time Deposit
EDU3 Comdty
2023-09-18
20587606.95000000
USD
-46144.45000000
N
N
N
SAUDI ELECTRICITY GLOBAL
549300NU3VI6NLNU1575
Saudi Electricity Global Sukuk Co 2
000000000
200000.00000000
PA
USD
238850.00000000
0.025811995718
Long
DBT
CORP
KY
N
2
2043-04-08
Fixed
5.06000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD/CNH One-touch barrier option; Barrier price USD 6.56000
000000000
140592.00000000
OU
Notional Amount
USD
13303.10000000
0.001437636844
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD/CNH One-touch barrier option; Barrier price USD 6.56000
N/A
1.00000000
NC
USD
13303.10000000
0.00000000
DFE
US
922283.52000000
CNY
140592.00000000
USD
2021-07-22
1.00000000
6.56000000
USD
2021-07-22
XXXX
-10133.59000000
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
000000000
290000.00000000
PA
362831.83000000
0.039210440203
Long
DBT
CORP
LU
N
2
2027-03-07
Fixed
1.13000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
36639.18000000
0.003959515835
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
1156072.00000000
USD
5986487.64000000
BRL
2021-09-15
36639.18000000
N
N
N
ITAU UNIBANCO HLDG SA/KY
5493002W2IVG62O3ZJ94
Itau Unibanco Holding SA/Cayman Island
46556JAB5
855000.00000000
PA
USD
876000.94000000
0.094667500578
Long
DBT
CORP
BR
N
2
2025-01-24
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHWE3
3028.45000000
PA
USD
3218.40000000
0.000347805430
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
REPSOL INTL FINANCE
5493002YCY6HTK0OUR29
Repsol International Finance BV
000000000
200000.00000000
PA
253705.94000000
0.027417444576
Long
DBT
CORP
NL
N
2
2026-03-11
Fixed
3.75000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-DC2 Mortgage Trust
12594CBJ8
100000.00000000
PA
USD
109187.22000000
0.011799623425
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Variable
4.83000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMQ81
263002.78000000
PA
USD
280598.37000000
0.030323650513
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410KXB5
2217.79000000
PA
USD
2525.22000000
0.000272894987
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Fixed
5.00000000
N
N
N
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED AUD / SOLD JPY
000000000
1.00000000
NC
N/A
-27823.23000000
-0.00300679545
N/A
DFE
AU
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
161339450.00000000
JPY
1900000.00000000
AUD
2021-09-15
-27823.23000000
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
000000000
150000.00000000
PA
182880.02000000
0.019763442718
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
0.63000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
3471.51000000
0.000375158472
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
19996200.00000000
INR
270000.00000000
USD
2021-09-15
3471.51000000
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FSWP: KRW 1.508000 21-SEP-2023
000000000
5158732770.00000000
OU
Notional Amount
-7520.78000000
-0.00081275420
N/A
DIR
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
N/A
N/A
Y
2023-09-21
0.00000000
KRW
0.00000000
KRW
5158732770.00000000
KRW
-7520.78000000
N
N
N
ABU DHABI CRUDE OIL
549300DONDFW2383FV66
Abu Dhabi Crude Oil Pipeline LLC
000000000
200000.00000000
PA
USD
234662.50000000
0.025359461776
Long
DBT
CORP
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
GREAT CANADIAN GAMING CORP
N/A
GREAT CANADIAN GAMING CORP 2021 TERM LOAN
000000000
278000.00000000
PA
USD
278347.50000000
0.030080403928
Long
LON
CORP
CA
N
2
2026-11-01
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MFCX4
29850.60000000
PA
USD
31385.77000000
0.003391791337
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: AUD 1.708000 21-JUN-2051
000000000
341040.00000000
OU
Notional Amount
13794.05000000
0.001490692734
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-21
0.00000000
AUD
-12.10000000
AUD
341040.00000000
AUD
13803.38000000
N
N
N
Volkswagen Leasing GmbH
5299004GLEUX88BSNB74
Volkswagen Leasing GmbH
000000000
100000.00000000
PA
120720.75000000
0.013046026720
Long
DBT
CORP
DE
N
2
2023-02-16
Fixed
1.00000000
N
N
N
N
N
N
American Rock Salt Company LLC
N/A
American Rock Salt Company LLC 2021 Term Loan
02932JAP2
289000.00000000
PA
USD
289121.38000000
0.031244713514
Long
LON
CORP
US
N
2
2028-06-04
Floating
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHD25
8300.89000000
PA
USD
8739.09000000
0.000944414292
Long
ABS-MBS
USGSE
US
N
2
2031-06-01
Fixed
2.50000000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust 2018-SOX
63874NAL4
382000.00000000
PA
USD
400310.98000000
0.043260729755
Long
ABS-MBS
CORP
US
N
2
2038-06-17
Variable
4.93000000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS Inc
92556HAC1
262000.00000000
PA
USD
330827.37000000
0.035751788395
Long
DBT
CORP
US
N
2
2050-05-19
Fixed
4.95000000
N
N
N
N
N
N
Rockford Tower CLO Ltd
N/A
Rockford Tower CLO 2021-1 Ltd
77341KAA9
260000.00000000
PA
USD
260000.00000000
0.028097629838
Long
ABS-CBDO
CORP
KY
N
3
2034-07-20
Floating
1.25000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
40000000.00000000
PA
2207911.11000000
0.238604111866
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
California Pollution Control Financing Authority
N/A
CALIFORNIA ST POLL CONTROL FING AUTH WTR FURNISHING REVENUE
13054WAC1
180000.00000000
PA
USD
187509.60000000
0.020263751276
Long
DBT
MUN
US
N
2
2045-11-21
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2972.15000000
-0.00032119373
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1048010.73000000
USD
881000.00000000
EUR
2021-07-20
-2972.15000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK CALL USD 4567.7290000 20211029
000000000
56.00000000
NC
USD
26242.85000000
0.002836007250
N/A
DE
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
S&P 500 Index
SPX Index
1.00000000
4567.72900000
USD
2021-10-29
XXXX
-2725.69000000
N
N
N
BANK OF EAST ASIA LTD
CO6GC26LCGGRTUESIP55
Bank of East Asia Ltd/The
000000000
250000.00000000
PA
USD
269109.38000000
0.029082060558
Long
DBT
CORP
HK
N
2
2025-10-21
Fixed
5.83000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HT0
4559000.00000000
PA
USD
1442923.50000000
0.155933578416
Long
DBT
NUSS
AR
N
2
2035-07-09
Variable
0.13000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-XL
N/A
BX Commercial Mortgage Trust 2019-XL
056054AL3
724212.51000000
PA
USD
724900.73000000
0.078338432235
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.72000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
8884.60000000
0.000960139238
N/A
DFE
BR
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
551000.00000000
USD
2784754.00000000
BRL
2021-07-02
8884.60000000
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31335AGZ5
16193.08000000
PA
USD
18532.64000000
0.002002781764
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/SCDS: (MEX)
000000000
540000.00000000
OU
Notional Amount
USD
-1823.09000000
-0.00019701733
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1690.15000000
USD
540000.00000000
USD
-132.94000000
N
N
N
CITY BREWING COMPANY, LLC
N/A
CITY BREWING COMPANY, LLC CLOSING DATE TERM LOAN
17776EAB1
711000.00000000
PA
USD
713666.25000000
0.077124346618
Long
LON
CORP
US
N
3
2028-04-05
Floating
4.25000000
N
N
N
N
N
N
Bank
N/A
BANK 2020-BNK29
06541TBU2
1050000.00000000
PA
USD
1074228.12000000
0.116089477222
Long
ABS-MBS
CORP
US
N
2
2053-11-15
Variable
3.13000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-62246.27000000
-0.00672681789
N/A
DFE
CN
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
6127330.04000000
USD
39425000.00000000
CNY
2021-09-15
-62246.27000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
200000.00000000
PA
USD
231287.50000000
0.024994732927
Long
DBT
NUSS
ID
N
2
2043-04-15
Fixed
4.63000000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300V7DN3VJ8H1GE96
Anchorage Capital CLO 3-R Ltd
03330AAA0
400000.00000000
PA
USD
399562.52000000
0.043179845324
Long
ABS-CBDO
CORP
KY
N
2
2031-01-28
Floating
1.23000000
N
N
N
N
N
N
FEL ENERGY VI SARL
N/A
FEL Energy VI Sarl
000000000
1666978.12000000
PA
USD
1765225.64000000
0.190764063900
Long
DBT
CORP
LU
N
2
2040-12-01
Fixed
5.75000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
000000000
300000.00000000
PA
357794.62000000
0.038666079965
Long
DBT
CORP
NL
N
2
2024-06-17
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJQF8
11652.05000000
PA
USD
12417.59000000
0.001341941720
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
ITAU UNIBANCO HLDG SA/KY
5493002W2IVG62O3ZJ94
Itau Unibanco Holding SA/Cayman Island
46556LAJ3
200000.00000000
PA
USD
211287.50000000
0.022833376786
Long
DBT
CORP
BR
N
2
2023-05-13
Fixed
5.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FSWP: KRW 1.400000 21-SEP-2023
000000000
7298690700.00000000
OU
Notional Amount
-17575.34000000
-0.00189932845
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
N/A
N/A
Y
2023-09-21
0.00000000
KRW
0.00000000
KRW
7298690700.00000000
KRW
-17575.34000000
N
N
N
BECTON DICKINSON EURO
549300W40NLZ25XUTH09
Becton Dickinson Euro Finance Sarl
000000000
200000.00000000
PA
240380.96000000
0.025977443208
Long
DBT
CORP
LU
N
2
2023-06-04
Fixed
0.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS -0.236500 22-APR-2025
000000000
5045000.00000000
OU
Notional Amount
-473.18000000
-0.00005113552
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-04-22
25.48000000
EUR
0.00000000
EUR
5045000.00000000
EUR
-503.71000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 4.415000 28-FEB-2023
000000000
34384181.00000000
OU
Notional Amount
-42535.57000000
-0.00459672577
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-02-28
126.87000000
MXN
0.00000000
MXN
34384181.00000000
MXN
-42541.63000000
N
N
N
Starwood Property Trust Inc
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571B105
10708.00000000
NS
USD
280228.36000000
0.030283664344
Long
EC
US
N
1
N
N
N
BX Commercial Mortgage Trust 2019-XL
N/A
BX Commercial Mortgage Trust 2019-XL
056054AA7
117684.53000000
PA
USD
117838.26000000
0.012734522347
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
0.99000000
N
N
N
N
N
N
ACProducts, Inc.
N/A
ACProducts, Inc. 2021 Term Loan B
00488YAB2
1261000.00000000
PA
USD
1253799.69000000
0.135495383004
Long
LON
CORP
US
N
2
2028-05-05
None
4.75000000
N
N
N
N
N
N
AMER AIRLINE 17-1B PTT
N/A
American Airlines 2017-1 Class B Pass Through Trust
02378WAA7
16281.25000000
PA
USD
16035.99000000
0.001732974273
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
4.95000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
600000.00000000
PA
USD
669412.50000000
0.072341940901
Long
DBT
NUSS
RU
N
2
2027-06-23
Fixed
4.25000000
N
N
N
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F83S0
4096172.73000000
PA
USD
334083.85000000
0.036103709047
Long
ABS-MBS
USGSE
US
N
2
2053-11-25
Variable
1.12000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2020-K105 Mortgage Trust
302975BE6
726000.00000000
PA
USD
777659.76000000
0.084039984910
Long
ABS-MBS
USGSE
US
N
2
2053-03-25
Variable
3.53000000
N
N
N
N
N
N
Intuitive Surgical Inc
54930052SRG011710797
Intuitive Surgical Inc
46120E602
325.00000000
NS
USD
298883.00000000
0.032299630380
Long
EC
CORP
US
N
1
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2017-ATRM
04965JAG8
200000.00000000
PA
USD
198490.34000000
0.021450415768
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.02000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CNY
000000000
1.00000000
NC
-24933.14000000
-0.00269446976
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
47628115.62000000
CNY
7300000.00000000
USD
2021-09-15
-24933.14000000
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAT8
499000.00000000
PA
USD
507893.11000000
0.054886894624
Long
DBT
CORP
US
N
2
2051-02-15
Fixed
3.60000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
000000000
210000.00000000
PA
285184.53000000
0.030819266767
Long
DBT
CORP
NL
N
2
2027-10-20
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERHD5
1241.68000000
PA
USD
1317.44000000
0.000142372851
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
BLACKROCK FXVAN CALL AUD USD 0.7800000
000000000
6820000.00000000
OU
Notional Amount
18678.74000000
0.002018570470
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Purchased
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA
E57ODZWZ7FF32TWEFA76
FX Contract
N/A
1.00000000
NC
USD
18678.74000000
0.00000000
DFE
AU
5319600.00000000
USD
6820000.00000000
AUD
2021-09-24
1.00000000
0.78000000
AUD
2021-09-24
XXXX
-16741.91000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD AUD
000000000
1.00000000
NC
N/A
40184.46000000
0.004342646470
N/A
DFE
JP
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
4000000.00000000
AUD
337620160.00000000
JPY
2021-09-15
40184.46000000
N
N
N
SIMPAR EUROPE SA
54930068BSUST41D5C30
Simpar Europe SA
82883PAA2
985000.00000000
PA
USD
1007162.50000000
0.108841842739
Long
DBT
CORP
LU
N
2
2031-01-26
Fixed
5.20000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
1538000.00000000
OU
Notional Amount
USD
-5192.42000000
-0.00056113344
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
369.10000000
USD
0.00000000
USD
1538000.00000000
USD
-5561.52000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (COLOM)
000000000
720000.00000000
OU
Notional Amount
USD
12218.60000000
0.001320437307
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Colombia Government International Bond
Colombia Government International Bond
Y
buy protection
2026-06-23
13471.18000000
USD
0.00000000
USD
720000.00000000
USD
-1252.58000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
DAIMLER AG AUG21 85 CALL
000000000
45.00000000
NC
2401.14000000
0.000259485934
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Call
Purchased
Daimler AG
Daimler AG
100.00000000
85.00000000
EUR
2021-08-20
XXXX
-6099.56000000
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BLACKROCK FXVAN PUT USD ZAR 13.5000000
000000000
-2696000.00000000
OU
Notional Amount
USD
-78.18000000
-0.00000844874
N/A
DFE
LU
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Put
Written
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
-78.18000000
0.00000000
DFE
ZA
-2696000.00000000
USD
-36396000.00000000
ZAR
2021-07-08
1.00000000
13.50000000
USD
2021-07-08
XXXX
13401.18000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
USD/BRL Down-and-out barrier option; Barrier price USD 4.84000
000000000
4368000.00000000
OU
Notional Amount
USD
42098.78000000
0.004549522834
N/A
DFE
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
USD/BRL Down-and-out barrier option; Barrier price USD 4.84000
N/A
1.00000000
NC
USD
42098.78000000
0.00000000
DFE
US
21927360.00000000
BRL
4368000.00000000
USD
2021-07-02
1.00000000
5.02000000
USD
2021-07-02
XXXX
28689.02000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBX3
400000.00000000
PA
USD
388479.47000000
0.041982124415
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
1.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CYN8
210358.15000000
PA
USD
226333.52000000
0.024459367173
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-18137.65000000
-0.00196009606
N/A
DFE
XX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2717182.97000000
USD
2272775.00000000
EUR
2021-09-15
-18137.65000000
N
N
N
CONTROLADORA MABE SA CV
549300TVP7EHIDGWNR87
Controladora Mabe SA de CV
21240BAD3
260000.00000000
PA
USD
302948.75000000
0.032739007067
Long
DBT
CORP
MX
N
2
2028-10-23
Fixed
5.60000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833CH1
1393000.00000000
PA
USD
1755808.86000000
0.189746413136
Long
DBT
CORP
US
N
2
2047-02-09
Fixed
4.25000000
N
N
N
N
N
N
MONITCHEM HOLDCO 3 S.A.
222100SJHJ1CNJMSW162
Monitchem HoldCo 3 SA
000000000
100000.00000000
PA
122134.63000000
0.013198821631
Long
DBT
CORP
LU
N
2
2025-03-15
Fixed
5.25000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFV1
508000.00000000
PA
USD
474161.66000000
0.051241610793
Long
DBT
CORP
US
N
2
2060-11-20
Fixed
3.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
3219.90000000
0.000347967531
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1000000.00000000
SEK
120148.81000000
USD
2021-09-15
3219.90000000
N
N
N
FANTASIA HOLDINGS GROUP
5493005JQNLB3I01JW62
Fantasia Holdings Group Co Ltd
000000000
200000.00000000
PA
USD
175662.50000000
0.018983461159
Long
DBT
CORP
KY
N
2
2023-06-01
Fixed
11.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS -0.203000 28-MAY-2025
000000000
5400000.00000000
OU
Notional Amount
883.00000000
0.000095423873
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-05-28
27.27000000
EUR
0.00000000
EUR
5400000.00000000
EUR
849.69000000
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
000000000
315000.00000000
PA
401700.19000000
0.043410858633
Long
DBT
CORP
GB
N
2
2030-01-16
Fixed
2.25000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
100000.00000000
PA
USD
116170.02000000
0.012554239308
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.640000 27-MAY-2026
000000000
84240097.00000000
OU
Notional Amount
USD
1233808.32000000
0.133334959488
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-05-27
0.00000000
USD
-769.45000000
USD
84240097.00000000
USD
1234577.77000000
N
N
N
THAIOIL TRSRY CENTER
549300NH03B9E8VGJR89
Thaioil Treasury Center Co Ltd
88323AAH5
400000.00000000
PA
USD
377820.00000000
0.040830178867
Long
DBT
CORP
TH
N
2
2050-06-18
Fixed
3.75000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBA8
577000.00000000
PA
USD
664127.00000000
0.071770748506
Long
DBT
NUSS
QA
N
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
000000000
195000.00000000
PA
233700.89000000
0.025255542692
Long
DBT
CORP
GG
N
2
2022-04-14
Fixed
1.25000000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
000000000
200000.00000000
PA
USD
223490.00000000
0.024152074202
Long
DBT
CORP
SA
N
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CQ1
110000.00000000
PA
USD
114845.52000000
0.012411103498
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
3.40000000
N
N
N
N
N
N
Southwest Airlines Co
UDTZ87G0STFETI6HGH41
Southwest Airlines Co
844741108
32.00000000
NS
USD
1698.88000000
0.000183594236
Long
EC
CORP
US
N
1
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCZ2
1834000.00000000
PA
USD
1979045.17000000
0.213871071616
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CQB3
98988.52000000
PA
USD
105999.25000000
0.011455106498
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
RRP TREASURY (C RRP BNPNR OPEN
000000000
-1638750.00000000
PA
USD
-1638750.00000000
-0.17709611883
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.08000000
2049-12-31
1638750.00000000
USD
1639345.87000000
USD
UST
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
FSWP: KRW 1.512500 21-SEP-2023
000000000
5158732770.00000000
OU
Notional Amount
-7316.55000000
-0.00079068351
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2023-09-21
0.00000000
KRW
0.00000000
KRW
5158732770.00000000
KRW
-7316.55000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-16406.81000000
-0.00177304797
N/A
DFE
CL
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
824000.00000000
USD
593280000.00000000
CLP
2021-07-14
-16406.81000000
N
N
N
NIDDA HEALTHCARE HOLDING
549300Q89C4WAO6L0L19
Nidda Healthcare Holding GmbH
000000000
300000.00000000
PA
354749.64000000
0.038337015654
Long
DBT
CORP
DE
N
2
2024-09-30
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERGY0
19575.78000000
PA
USD
20773.30000000
0.002244924976
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
UGI International LLC
5493001JFF8MQO00ZQ21
UGI International LLC
000000000
100000.00000000
PA
121076.95000000
0.013084520473
Long
DBT
CORP
XX
N
2
2025-11-01
Fixed
3.25000000
N
N
N
N
N
N
TRUST F/1401
N/A
Trust Fibra Uno
898324AC2
550000.00000000
PA
USD
616000.00000000
0.066569769155
Long
DBT
MX
N
2
2026-01-30
Fixed
5.25000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/SCDS: (MEX)
000000000
540000.00000000
OU
Notional Amount
USD
-1823.09000000
-0.00019701733
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1558.88000000
USD
540000.00000000
USD
-264.21000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JAST3
6588.79000000
PA
USD
7243.45000000
0.000782783757
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MEVG3
44744.32000000
PA
USD
48651.19000000
0.005257627414
Long
ABS-MBS
USGSE
US
N
2
2031-04-01
Fixed
3.50000000
N
N
N
N
N
N
Arbor Multifamily Mortgage Securities Trust
N/A
Arbor Multifamily Mortgage Securities Trust 2020-MF1
03881BAS2
1326000.00000000
PA
USD
1102403.25000000
0.119134301735
Long
ABS-MBS
CORP
US
N
2
2053-05-15
Fixed
1.75000000
N
N
N
N
N
N
NEMAK SAB DE CV
5493000MY3DAIB0BP706
Nemak SAB de CV
64045DAC8
290000.00000000
PA
USD
291653.00000000
0.031518300135
Long
DBT
CORP
MX
N
2
2031-06-28
Fixed
3.63000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
8079.70000000
0.000873155460
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
549000.00000000
USD
2770803.00000000
BRL
2021-07-02
8079.70000000
N
N
N
Madison Avenue Trust
N/A
MAD Mortgage Trust 2017-330M
55282MAJ3
110000.00000000
PA
USD
112442.28000000
0.012151390621
Long
ABS-MBS
CORP
US
N
2
2034-08-15
Variable
4.11000000
N
N
N
N
N
N
NATS EN ROUTE PLC
213800AOOCT6JKFY6Z68
Nats En Route PLC
000000000
360000.00000000
PA
499615.32000000
0.053992332011
Long
DBT
CORP
GB
N
2
2031-03-31
Fixed
1.38000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
214.10000000
0.000023137317
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
23900.00000000
EUR
28596.66000000
USD
2021-09-15
214.10000000
N
N
N
Elmwood CLO IV Ltd
N/A
Elmwood CLO IV Ltd
29002GAB7
500000.00000000
PA
USD
502400.00000000
0.054293266272
Long
ABS-CBDO
CORP
KY
N
3
2033-04-15
Floating
1.42000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEP89
836232.56000000
PA
USD
910588.41000000
0.098405292613
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
130000.00000000
PA
104718.28000000
0.011316674879
Long
DBT
NUSS
AU
N
2
2024-04-21
Fixed
2.75000000
N
N
N
N
N
N
KINGDOM OF BAHRAIN
549300RODM1WN85LFQ95
Bahrain Government International Bond
05675M2F0
200000.00000000
PA
USD
199937.50000000
0.021606807176
Long
DBT
NUSS
BH
N
2
2028-01-25
Fixed
4.25000000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAA9
170000.00000000
PA
USD
170103.80000000
0.018382744640
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.32000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/CDS: (CMBX.NA.9.A)
000000000
93667.00000000
OU
Notional Amount
USD
212.25000000
0.000022937392
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Markit CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
0.00000000
USD
-1766.39000000
USD
93667.00000000
USD
1978.64000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
NASDAQ 100 E-MINI SEP21 XCME 20210917
000000000
-1.00000000
NC
USD
-11944.75000000
-0.00129084293
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
E-mini NASDAQ 100 Index
NQU1 Index
2021-09-17
-279035.25000000
USD
-11944.75000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
5204000.00000000
PA
6307860.65000000
0.681676667756
Long
DBT
NUSS
IT
N
2
2023-03-01
Fixed
0.95000000
N
N
N
N
N
N
TOTALENERGIES SE
529900S21EQ1BO4ESM68
TotalEnergies SE
000000000
260000.00000000
PA
341814.10000000
0.036939100213
Long
DBT
CORP
FR
N
2
2026-10-06
Fixed
3.37000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-19706.90000000
-0.00212968146
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
16859250000.00000000
IDR
1143000.00000000
USD
2021-07-01
-19706.90000000
N
N
N
Volkswagen AG
529900NNUPAGGOMPXZ31
Volkswagen AG
000000000
1792.00000000
NS
449310.75000000
0.048556027446
Long
EP
CORP
DE
N
2
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
12569.88000000
0.001358399366
N/A
DFE
MX
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
3428080.00000000
USD
69226993.76000000
MXN
2021-09-15
12569.88000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
4865.03000000
0.000525753123
N/A
DFE
CL
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
275500.00000000
USD
205963800.00000000
CLP
2021-07-14
4865.03000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD/CNH One-touch barrier option; Barrier price USD 6.45000
000000000
-140592.00000000
OU
Notional Amount
USD
-43256.22000000
-0.00467460483
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
USD/CNH One-touch barrier option; Barrier price USD 6.45000
N/A
1.00000000
NC
USD
-43256.22000000
0.00000000
DFE
CN
-140592.00000000
USD
-906818.40000000
CNY
2021-07-22
1.00000000
6.45000000
USD
2021-07-22
XXXX
-8530.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M1YD4
1346.65000000
PA
USD
1459.27000000
0.000157700108
Long
ABS-MBS
USGSE
US
N
2
2042-07-01
Fixed
3.50000000
N
N
N
N
N
N
ARROW GLOBAL FINANCE
213800X2NPSOGFBX9Q67
Arrow Global Finance PLC
000000000
200000.00000000
PA
278394.65000000
0.030085499325
Long
DBT
CORP
GB
N
2
2024-09-15
Fixed
5.13000000
N
N
N
N
N
N
INFORMA PLC
5493006VM2LKUPSEDU20
Informa PLC
000000000
250000.00000000
PA
315675.14000000
0.034114320126
Long
DBT
CORP
GB
N
2
2025-10-06
Fixed
2.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZH0
6591.32000000
PA
USD
7080.64000000
0.000765189237
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
CONTOURGLOBAL POWER HLDG
549300O5AGIFK0PQ1516
ContourGlobal Power Holdings SA
000000000
100000.00000000
PA
121067.70000000
0.013083520846
Long
DBT
CORP
LU
N
2
2025-08-01
Fixed
4.13000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
21272.18000000
0.002298837844
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
543000.00000000
USD
2806576.95000000
BRL
2021-07-02
21272.18000000
N
N
N
MERCK FIN SERVICES GMBH
549300OELEN3ZS5RB682
Merck Financial Services GmbH
000000000
200000.00000000
PA
238361.39000000
0.025759192707
Long
DBT
CORP
DE
N
2
2023-12-15
Fixed
0.01000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/SCDS: (MEX)
000000000
540000.00000000
OU
Notional Amount
USD
-1823.09000000
-0.00019701733
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1559.87000000
USD
540000.00000000
USD
-263.22000000
N
N
N
Bain Capital Credit CLO, Limited
549300GUKNMHLHIJO049
Bain Capital Credit CLO 2017-1 Ltd
05682QAQ9
600000.00000000
PA
USD
599221.38000000
0.064756540486
Long
ABS-CBDO
CORP
KY
N
3
2030-07-20
Variable
1.00000000
N
N
N
N
N
N
EMBRAER NETHERLANDS FINA
724500PBR8LR26XBSP67
Embraer Netherlands Finance BV
29082HAC6
440000.00000000
PA
USD
502150.00000000
0.054266249320
Long
DBT
CORP
NL
N
2
2028-01-17
Fixed
6.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A5H40
349196.18000000
PA
USD
369230.99000000
0.039901983392
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
2079.38000000
0.000224714036
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
510000.00000000
NOK
61330.17000000
USD
2021-09-15
2079.38000000
N
N
N
SUNAC CHINA HOLDINGS LTD
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
200000.00000000
PA
USD
204412.50000000
0.022090410612
Long
DBT
CORP
KY
N
2
2024-02-01
Fixed
7.50000000
N
N
N
N
N
N
TESCO CORP TREASURY SERV
21380018AJDKNF3A6712
Tesco Corporate Treasury Services PLC
000000000
230000.00000000
PA
266223.48000000
0.028770187674
Long
DBT
CORP
GB
N
2
2029-07-27
Fixed
0.38000000
N
N
N
N
N
N
CENTURION BIDCO SPA
815600440B4998FCA515
Centurion Bidco SpA
000000000
100000.00000000
PA
123831.68000000
0.013382218103
Long
DBT
CORP
IT
N
2
2026-09-30
Fixed
5.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR89
563347.52000000
PA
USD
595844.97000000
0.064391659262
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CL4
40000.00000000
PA
USD
44151.17000000
0.004771320121
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.45000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
100000.00000000
PA
115520.52000000
0.012484049268
Long
DBT
CORP
FR
N
2
2025-02-15
Fixed
2.13000000
N
N
N
N
N
N
AEROPUERTOS DOMINICANOS
254900KJA5MXNPYB4W32
Aeropuertos Dominicanos Siglo XXI SA
007866AC0
452000.00000000
PA
USD
473272.25000000
0.051145494205
Long
DBT
CORP
DO
N
2
2029-03-30
Fixed
6.75000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BLACKROCK FXVAN PUT USD BRL 5.0500000
000000000
2184000.00000000
OU
Notional Amount
USD
56128.80000000
0.006065716329
N/A
DFE
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Put
Purchased
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
56128.80000000
0.01000000
DFE
US
11029200.00000000
BRL
2184000.00000000
USD
2021-08-02
1.00000000
5.05000000
USD
2021-08-02
XXXX
26755.81000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
610000.00000000
OU
Notional Amount
USD
-2059.41000000
-0.00022255592
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1320.68000000
USD
610000.00000000
USD
-738.73000000
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
038461AS8
467000.00000000
PA
USD
491371.56000000
0.053101446946
Long
DBT
NUSS
EG
N
2
2025-10-06
Fixed
5.25000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (COLOM)
000000000
290000.00000000
OU
Notional Amount
USD
4921.38000000
0.000531842744
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Colombia Government International Bond
Colombia Government International Bond
Y
buy protection
2026-06-23
5425.89000000
USD
0.00000000
USD
290000.00000000
USD
-504.51000000
N
N
N
SINO OCEAN LAND IV
213800EAGXDYG9QWS896
Sino-Ocean Land Treasure IV Ltd
000000000
400000.00000000
PA
USD
406200.00000000
0.043897143232
Long
DBT
CORP
VG
N
2
2029-08-05
Fixed
4.75000000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
000000000
300000.00000000
PA
358696.77000000
0.038763573337
Long
DBT
CORP
FR
N
2
2024-02-05
Fixed
0.13000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
FTSE 100 IDX FUT SEP21 IFLL 20210917
000000000
2.00000000
NC
-2824.75000000
-0.00030526453
N/A
DE
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Long
FTSE 100 Index
Z U1 Index
2021-09-17
141652.04000000
GBP
-2824.75000000
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
200000.00000000
PA
233554.83000000
0.025239758309
Long
DBT
CORP
FR
N
2
2025-01-15
Fixed
2.50000000
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
520000.00000000
PA
USD
543400.00000000
0.058724046362
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BLACKROCK FXVAN PUT USD RUB 72.5000000
000000000
15000000.00000000
OU
Notional Amount
USD
144870.00000000
0.015655783210
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
144870.00000000
0.02000000
DFE
US
1087500000.00000000
RUB
15000000.00000000
USD
2021-08-26
1.00000000
72.50000000
USD
2021-08-26
XXXX
-20730.00000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
19767.56000000
0.002136236860
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
628000.00000000
EUR
765552.10000000
USD
2021-09-15
19767.56000000
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loans 2017-2 LLC
61946GAA1
77072.75000000
PA
USD
81815.93000000
0.008841668138
Long
ABS-O
CORP
US
N
2
2043-06-22
Fixed
3.82000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286BG1
100000.00000000
PA
USD
140987.50000000
0.015236209949
Long
DBT
NUSS
PH
N
2
2034-10-23
Fixed
6.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.451000 19-MAR-2024
000000000
23502100.00000000
OU
Notional Amount
USD
-435.02000000
-0.00004701165
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-19
0.00000000
USD
-94.27000000
USD
23502100.00000000
USD
-340.75000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.220000 27-NOV-2050
000000000
6800000.00000000
OU
Notional Amount
USD
932232.69000000
0.100744342488
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-11-28
0.00000000
USD
-192.75000000
USD
6800000.00000000
USD
932425.44000000
N
N
N
Credito Real Sab DE CV Sofom ENR
N/A
Credito Real Sab DE CV Sofom ENR Term Loan B
000000000
85000.00000000
PA
USD
79900.00000000
0.008634617784
Long
LON
CORP
MX
N
3
2023-02-17
Floating
3.90000000
N
N
N
N
N
N
E.ON SE
Q9MAIUP40P25UFBFG033
E.ON SE
000000000
75000.00000000
PA
89979.76000000
0.009723915344
Long
DBT
CORP
DE
N
2
2027-09-29
Fixed
0.38000000
N
N
N
N
N
N
Italian Derivatives Market
N/A
FTSE/MIB IDX FUT SEP21 XDMI 20210917
000000000
7.00000000
NC
-21769.02000000
-0.00235253025
N/A
DE
IT
N
1
Italian Derivatives Market
N/A
Long
FTSE/MIB Index
STU1 Index
2021-09-17
893498.86000000
EUR
-21769.02000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
1481.75000000
0.000160129473
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
200000.00000000
PLN
53945.77000000
USD
2021-09-15
1481.75000000
N
N
N
OI EUROPEAN GROUP BV
72450053F5WRDY8CDZ66
OI European Group BV
000000000
200000.00000000
PA
240525.15000000
0.025993025505
Long
DBT
CORP
NL
N
2
2025-02-15
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7CA5
1800000.25000000
PA
USD
1913261.76000000
0.206762002756
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.00000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
12540.35000000
0.001355208124
N/A
DFE
BR
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
551000.00000000
USD
2802937.00000000
BRL
2021-07-02
12540.35000000
N
N
N
SINO OCEAN LAND IV
213800EAGXDYG9QWS896
Sino-Ocean Land Treasure IV Ltd
000000000
200000.00000000
PA
USD
204463.38000000
0.022095909102
Long
DBT
CORP
VG
N
2
2022-04-30
Fixed
5.25000000
N
N
N
N
N
N
Telstra Corp Ltd
PCTXNQGRJVR3OG33JG65
Telstra Corp Ltd
000000000
100000.00000000
PA
124075.94000000
0.013408614746
Long
DBT
CORP
AU
N
2
2022-09-21
Fixed
3.50000000
N
N
N
N
N
N
STELLANTIS NV
549300LKT9PW7ZIBDF31
Stellantis NV
000000000
340000.00000000
PA
397857.59000000
0.042995597277
Long
DBT
CORP
NL
N
2
2033-06-20
Fixed
1.25000000
N
N
N
N
N
N
Tokyo Stock Exchange
N/A
JPN 10Y BOND(OSE) SEP21 XTKS 20210913
000000000
-3.00000000
NC
-98.48000000
-0.00001064251
N/A
DIR
JP
N
1
Tokyo Stock Exchange
N/A
Short
Japan Government Ten Year Bond
JBU1 Comdty
2021-09-13
-455059059.00000000
JPY
-98.48000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DZ5
205000.00000000
PA
USD
200387.50000000
0.021655437689
Long
DBT
NUSS
CO
N
2
2032-04-22
Fixed
3.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
18604.85000000
0.002010585340
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
590196000.00000000
CLP
822000.00000000
USD
2021-07-14
18604.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EHWD0
96906.62000000
PA
USD
112100.01000000
0.012114402253
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
100000.00000000
PA
127783.79000000
0.013809313964
Long
DBT
CORP
NL
N
2
2027-02-03
Fixed
1.38000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DEVON ENERGY CORP JAN22 35 CALL
000000000
136.00000000
NC
USD
27948.00000000
0.003020279072
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Devon Energy Corp
Devon Energy Corp
100.00000000
35.00000000
USD
2022-01-21
XXXX
403.45000000
N
N
N
ICADE SANTE SAS
96950067NFR9MWI0CJ45
Icade Sante SAS
000000000
100000.00000000
PA
124408.90000000
0.013444597003
Long
DBT
CORP
FR
N
2
2030-09-17
Fixed
1.38000000
N
N
N
N
N
N
ANADOLU EFES BIR
7890006LGARYVIPOJX03
Anadolu Efes Biracilik Ve Malt Sanayii AS
032523AB8
741000.00000000
PA
USD
741926.25000000
0.080178342846
Long
DBT
CORP
TR
N
2
2028-06-29
Fixed
3.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKK79
6266.35000000
PA
USD
6599.66000000
0.000713210783
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-BXLP
05607QBA5
1455732.15000000
PA
USD
1454858.27000000
0.157223342838
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.57000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XWA84
3274.20000000
PA
USD
3588.11000000
0.000387759179
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: IFS 3.735000 15-MAY-2031
000000000
162000.00000000
OU
Notional Amount
-1000.74000000
-0.00010814777
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-05-15
3.37000000
GBP
0.00000000
GBP
162000.00000000
GBP
-1005.50000000
N
N
N
OP SERVICIOS MEGA
4469000001BP4DCM0P31
Operadora de Servicios Mega SA de CV Sofom ER
68373NAA3
2120000.00000000
PA
USD
2114435.00000000
0.228502353644
Long
DBT
CORP
MX
N
2
2025-02-11
Fixed
8.25000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SCDS: (COLOM)
000000000
1207000.00000000
OU
Notional Amount
USD
20483.13000000
0.002213566941
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Colombia Government International Bond
Colombia Government International Bond
Y
buy protection
2026-06-23
21470.44000000
USD
0.00000000
USD
1207000.00000000
USD
-987.31000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION JUL21 1.37 PUT
000000000
6241000.00000000
OU
Notional Amount
USD
2.56000000
0.000000276653
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
6241000.00000000
OU
Notional Amount
N/A
2.56000000
0.00000000
DIR
US
N/A
N/A
2026-07-12
0.00000000
N/A
0.00000000
N/A
6241000.00000000
USD
1.00000000
1.37000000
USD
2021-07-08
XXXX
-15401.12000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBH1
1135000.00000000
PA
USD
1266943.75000000
0.136915832745
Long
DBT
CORP
NL
N
2
2031-01-03
Fixed
5.60000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
400000.00000000
PA
USD
455825.00000000
0.049260008158
Long
DBT
NUSS
ID
N
2
2026-01-08
Fixed
4.75000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
000000000
100000.00000000
PA
125613.63000000
0.013574789532
Long
DBT
CORP
FR
N
2
2026-04-14
Fixed
1.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
-19603.73000000
-0.00211853211
N/A
DFE
KR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1917000.00000000
USD
2144049480.00000000
KRW
2021-07-12
-19603.73000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040673
1353000.00000000
PA
USD
1428736.29000000
0.154400397743
Long
ABS-MBS
USGA
US
N
2
2051-07-21
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
94907.13000000
0.010256405414
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
11531851.00000000
EUR
13789614.45000000
USD
2021-09-15
94907.13000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 2.443000 25-MAR-2031
000000000
170000.00000000
OU
Notional Amount
USD
-2508.49000000
-0.00027108701
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-25
3.54000000
USD
0.00000000
USD
170000.00000000
USD
-2512.03000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FLN4
7629.69000000
PA
USD
8347.74000000
0.000902121955
Long
ABS-MBS
USGA
US
N
2
2040-10-20
Fixed
4.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
000000000
145000.00000000
PA
169126.09000000
0.018277085664
Long
DBT
CORP
US
N
2
2039-06-26
Fixed
1.41000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BLACKROCK FXVAN CALL EUR USD 1.2450000
000000000
-3996000.00000000
OU
Notional Amount
-9.47000000
-0.00000102340
N/A
DFE
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Call
Written
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
-9.47000000
0.00000000
DFE
US
-3996000.00000000
EUR
-4975020.00000000
USD
2021-07-16
1.00000000
1.24500000
EUR
2021-07-16
XXXX
17238.49000000
N
N
N
Republic of Paraguay
529900UXKJTJPCU0HK83
Paraguay Government International Bond
699149AH3
200000.00000000
PA
USD
233412.50000000
0.025224377018
Long
DBT
NUSS
PY
N
2
2050-03-30
Fixed
5.40000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBU8
383000.00000000
PA
USD
373018.59000000
0.040311301018
Long
DBT
CORP
US
N
2
2050-09-25
Fixed
3.98000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DR3
200000.00000000
PA
USD
195475.00000000
0.021124554587
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
15492.50000000
0.001674240501
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
72818251.10000000
RUB
1000000.00000000
USD
2021-09-15
15492.50000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032476
647000.00000000
PA
USD
690925.24000000
0.074666775536
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83A3
468260.49000000
PA
USD
497956.82000000
0.053813101553
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
6164.79000000
0.000666215336
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
14604160000.00000000
IDR
1000000.00000000
USD
2021-09-15
6164.79000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: EUR 0.107500 04-JUL-2031
000000000
2960000.00000000
OU
Notional Amount
-2108.12000000
-0.00022781990
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-07-04
0.00000000
EUR
-53.46000000
EUR
2960000.00000000
EUR
-2043.25000000
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BT9
345000.00000000
PA
USD
332303.58000000
0.035911319172
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
2.80000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
28689.46000000
0.003100407028
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
18031437.00000000
ZAR
1283084.07000000
USD
2021-08-24
28689.46000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
157711.92000000
0.017043581343
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
103800000.00000000
CNY
16126150.62000000
USD
2021-09-15
157711.92000000
N
N
N
BlackRock Liquidity Funds
5493007YVNX55LTRQ706
BlackRock Liquidity Funds: T-Fund, Institutional Shares
09248U718
61439197.79000000
NS
USD
61439197.79000000
6.639599373384
Long
STIV
RF
US
N
1
N
N
N
CITIC
2549006I3Q3M98KHOT11
CITIC Ltd
000000000
200000.00000000
PA
USD
202225.00000000
0.021854012284
Long
DBT
CORP
HK
N
2
2030-02-25
Fixed
2.85000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
CDS: (CMBX.NA.9.BBB-)
000000000
265000.00000000
OU
Notional Amount
USD
-20475.77000000
-0.00221277156
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-1067.12000000
USD
265000.00000000
USD
-19408.65000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRR8
133779.73000000
PA
USD
143202.38000000
0.015475567173
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D9B86
325117.28000000
PA
USD
350019.92000000
0.037825885185
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (CHILE)
000000000
850190.00000000
OU
Notional Amount
USD
-17442.01000000
-0.00188491977
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Republic of Chile
Republic of Chile
Y
buy protection
2026-06-23
0.00000000
USD
-16856.86000000
USD
850190.00000000
USD
-585.15000000
N
N
N
MDGH - GMTN BV
213800L53ZH5KG593W13
MDGH - GMTN BV
55276VAH5
575000.00000000
PA
USD
602132.81000000
0.065071172342
Long
DBT
CORP
NL
N
2
2024-11-07
Fixed
2.50000000
N
N
N
N
N
N
Eurex Zurich
N/A
EURO-SCHATZ FUT SEP21 EUCH 20210908
000000000
104.00000000
NC
-2892.52000000
-0.00031258829
N/A
DIR
DE
N
1
Eurex Zurich
N/A
Long
Euro-Schatz Futures (FGBS)
DUU1 Comdty
2021-09-08
11664999.40000000
EUR
-2892.52000000
N
N
N
ADANI TRANSMISSION LTD
549300PLH866JQ6LXE52
Adani Transmission Ltd
000000000
187000.00000000
PA
USD
190915.31000000
0.020631798888
Long
DBT
CORP
IN
N
2
2036-05-21
Fixed
4.25000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
165000000.00000000
PA
8740327.46000000
0.944548021687
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
LONGFOR HOLDINGS LTD
254900UJX27B2F1JYR13
Longfor Group Holdings Ltd
000000000
200000.00000000
PA
USD
215100.00000000
0.023245385301
Long
DBT
CORP
KY
N
2
2029-09-16
Fixed
3.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRJ6
183461.00000000
PA
USD
204279.71000000
0.022076060288
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
Cydsa SAB de CV
4469000001BNTACN9916
Cydsa SAB de CV
232553AA5
820000.00000000
PA
USD
864239.00000000
0.093396413515
Long
DBT
CORP
MX
N
2
2027-10-04
Fixed
6.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NOK 0.490000 02-SEP-2022
000000000
16590000.00000000
OU
Notional Amount
-6181.28000000
-0.00066799737
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-09-02
286.18000000
NOK
0.00000000
NOK
16590000.00000000
NOK
-6211.95000000
N
N
N
Republic of Austria
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
222000.00000000
PA
322397.88000000
0.034840831896
Long
DBT
NUSS
AT
N
2
2047-02-20
Fixed
1.50000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
400000.00000000
PA
USD
503075.00000000
0.054366212042
Long
DBT
NUSS
RU
N
2
2047-06-23
Fixed
5.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.972500 28-MAY-2051
000000000
667603.00000000
OU
Notional Amount
USD
-30374.69000000
-0.00328252613
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-05-30
0.00000000
USD
-21.06000000
USD
667603.00000000
USD
-30353.63000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9U84
12922.12000000
PA
USD
13893.27000000
0.001501415221
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
4.00000000
N
N
N
N
N
N
AIRBUS SE
MINO79WLOO247M1IL051
Airbus SE
000000000
400000.00000000
PA
524314.99000000
0.056661571183
Long
DBT
CORP
NL
N
2
2028-04-07
Fixed
2.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-81.54000000
-0.00000881184
N/A
DFE
SE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
10898.63000000
USD
92510.00000000
SEK
2021-09-15
-81.54000000
N
N
N
CENTRAIS ELETRICAS BRASI
254900I8KYDELP4B4Z08
Centrais Eletricas Brasileiras SA
15236FAA8
359000.00000000
PA
USD
371295.75000000
0.040125117477
Long
DBT
CORP
BR
N
2
2025-02-04
Fixed
3.63000000
N
N
N
N
N
N
TVC DSCR 21 1 CERT
N/A
TVC DSCR 21 1 CERT BRWHP0HK8 TVC DSCR
000000000
148548.80000000
PA
USD
189028.35000000
0.020427879258
Long
ABS-MBS
CORP
US
N
3
2051-02-01
Fixed
0.01000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
65556796.00000000
PA
3939115.52000000
0.425691576046
Long
DBT
NUSS
ZA
N
2
2031-02-28
Fixed
7.00000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
210000.00000000
PA
158972.45000000
0.017179804056
Long
DBT
NUSS
AU
N
2
2021-12-21
Fixed
2.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
BP PLC JUL21 29 CALL
000000000
191.00000000
NC
USD
1623.50000000
0.000175448084
N/A
DE
GB
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
BP PLC
BP PLC
100.00000000
29.00000000
USD
2021-07-16
XXXX
-11069.24000000
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
BLACKROCK FXVAN CALL USD CHF 0.9500000
000000000
6800000.00000000
OU
Notional Amount
USD
37814.80000000
0.004086562510
N/A
DFE
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Call
Purchased
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
FX Contract
N/A
1.00000000
NC
USD
37814.80000000
0.00000000
DFE
US
6460000.00000000
CHF
6800000.00000000
USD
2021-11-29
1.00000000
0.95000000
USD
2021-11-29
XXXX
4297.60000000
N
N
N
FANTASIA HOLDINGS GROUP
5493005JQNLB3I01JW62
Fantasia Holdings Group Co Ltd
000000000
200000.00000000
PA
USD
162725.00000000
0.017585333905
Long
DBT
CORP
KY
N
2
2023-10-19
Fixed
9.88000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-A
64035DAC0
300000.00000000
PA
USD
300668.13000000
0.032492545465
Long
ABS-O
CORP
US
N
2
2062-04-20
Floating
1.13000000
N
N
N
N
N
N
VOLKSWAGEN FIN SERV NV
529900ZTQC8D1TW6BL41
Volkswagen Financial Services NV
000000000
200000.00000000
PA
282049.88000000
0.030480512016
Long
DBT
CORP
NL
N
2
2024-02-10
Fixed
1.63000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/CDS: (CMBX.NA.9.A)
000000000
93667.00000000
OU
Notional Amount
USD
212.25000000
0.000022937392
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Markit CMBX.NA.A.6
137BEOAF1
Y
sell protection
2058-09-18
0.00000000
USD
-1565.37000000
USD
93667.00000000
USD
1777.62000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
8570.93000000
0.000926241609
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
398483200.00000000
CLP
551000.00000000
USD
2021-07-14
8570.93000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST DEC21 360 CALL
000000000
14.00000000
NC
USD
102641.00000000
0.011092187785
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
360.00000000
USD
2021-12-17
XXXX
84493.74000000
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDZ2
167000.00000000
PA
USD
168681.86000000
0.018229078702
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.90000000
N
N
N
N
N
N
Consumer Discretionary Select Sector SPDR Fund
549300CD2I087Y919K79
Consumer Discretionary Select Sector SPDR Fund
81369Y407
1317.00000000
NS
USD
235150.35000000
0.025412182656
Long
EC
RF
US
N
1
N
N
N
CIFC Funding Ltd
635400VBVF8AYJQBI411
CIFC Funding 2018-I Ltd
12551RAA6
650000.00000000
PA
USD
650334.17000000
0.070280187615
Long
ABS-CBDO
CORP
KY
N
2
2031-04-18
Floating
1.19000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
610000.00000000
OU
Notional Amount
USD
-2059.41000000
-0.00022255592
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-880.00000000
USD
610000.00000000
USD
-1179.41000000
N
N
N
Borsa Italiana S.P.A.
8156005391EE905D3124
FTSE MIB INDEX JUL21 26000 CALL
000000000
9.00000000
NC
907.10000000
0.000098028307
N/A
DE
IT
N
1
Borsa Italiana S.P.A.
8156005391EE905D3124
Call
Purchased
FTSE MIB Index
FTSEMIB Index
2.50000000
26000.00000000
EUR
2021-07-16
XXXX
-7879.25000000
N
N
N
Euronext N.V.
724500QJ4QSZ3H9QU415
VINCI SA SEP21 100 CALL
000000000
31.00000000
NC
6763.52000000
0.000730918774
N/A
DE
FR
N
1
Euronext N.V.
724500QJ4QSZ3H9QU415
Call
Purchased
Vinci SA
Vinci SA
100.00000000
100.00000000
EUR
2021-09-17
XXXX
-830.49000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGKD8
62440.02000000
PA
USD
66452.99000000
0.007181428902
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
3.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
BLACKROCK FXVAN PUT EUR USD 1.1820000
000000000
3692000.00000000
OU
Notional Amount
16281.00000000
0.001759451966
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
FX Contract
N/A
1.00000000
NC
USD
16281.00000000
0.00000000
DFE
XX
4363944.00000000
USD
3692000.00000000
EUR
2021-07-20
1.00000000
1.18200000
EUR
2021-07-20
XXXX
-3088.42000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
621000.00000000
PA
715070.29000000
0.077276078142
Long
DBT
NUSS
IT
N
2
2045-04-30
Fixed
1.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-26610.71000000
-0.00287576107
N/A
DFE
PL
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2013000.00000000
EUR
9000523.59000000
PLN
2021-07-07
-26610.71000000
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 Multifamily Housing Mortgage Loan Trust
55283TAA6
100000.00000000
PA
USD
100138.66000000
0.010821765389
Long
ABS-CBDO
CORP
KY
N
2
2036-07-16
Floating
1.20000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2189.52000000
-0.00023661662
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
85318.37000000
USD
70000.00000000
EUR
2021-09-15
-2189.52000000
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DP7
4661000.00000000
PA
USD
5072624.56000000
0.548187412295
Long
DBT
NUSS
CO
N
2
2029-03-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERLF5
34369.79000000
PA
USD
36525.95000000
0.003947279317
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9NX7
58770.46000000
PA
USD
63059.10000000
0.006814658652
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
80000.00000000
PA
75050.00000000
0.008110488920
Long
DBT
NUSS
AU
N
2
2037-04-21
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312942DD4
12681.40000000
PA
USD
14154.65000000
0.001529661985
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.50000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
1350.87000000
0.000145985558
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
24629498.98000000
MXN
1235069.00000000
USD
2021-07-14
1350.87000000
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAL5
295000.00000000
PA
USD
301176.56000000
0.032547490380
Long
DBT
NUSS
GH
N
2
2029-04-07
Fixed
7.75000000
N
N
N
N
N
N
INRETAIL CONSUMER
N/A
InRetail Consumer
45790TAB1
730000.00000000
PA
USD
718101.00000000
0.077603600325
Long
DBT
CORP
PE
N
2
2028-03-22
Fixed
3.25000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
411000.00000000
PA
537806.73000000
0.058119593939
Long
DBT
NUSS
GR
N
2
2027-04-22
Fixed
2.00000000
N
N
N
N
N
N
York CLO Ltd
5493009C48K5WG4EX118
York CLO-2 Ltd
98625TAJ4
600000.00000000
PA
USD
599819.34000000
0.064821160712
Long
ABS-CBDO
CORP
KY
N
2
2031-01-22
Floating
1.33000000
N
N
N
N
N
N
Gulf Stream Meridian 1 Ltd.
N/A
Gulf Stream Meridian
402562AA0
290000.00000000
PA
USD
288955.36000000
0.031226772096
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
1.31000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-5931.26000000
-0.00064097826
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2308499.20000000
BRL
454000.00000000
USD
2021-09-15
-5931.26000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
1479000.00000000
PA
USD
1631706.75000000
0.176334970255
Long
DBT
CORP
MX
N
2
2025-10-16
Fixed
6.88000000
N
N
N
N
N
N
SASOL Financing USA LLC
549300XRB1PFMESFEL85
SASOL Financing USA LLC
80386WAA3
249000.00000000
PA
USD
265309.50000000
0.028671415860
Long
DBT
CORP
US
N
2
2024-03-27
Fixed
5.88000000
N
N
N
N
N
N
Trimaran Advisors CAVU 2019-1
549300IGMQ24BLOIU872
Trimaran Cavu 2019-1 Ltd
89624CAE2
250000.00000000
PA
USD
250106.68000000
0.027028480441
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
2.39000000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AZ9
400000.00000000
PA
USD
404256.92000000
0.043687158837
Long
DBT
CORP
JP
N
2
2050-07-09
Fixed
3.18000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAC4
200000.00000000
PA
USD
273350.00000000
0.029540335062
Long
DBT
NUSS
RO
N
2
2044-01-22
Fixed
6.13000000
N
N
N
N
N
N
Playtika Holding Corp
254900E35Z4TKA4UFG64
Playtika Holding Corp 2021 Term Loan
72814CAF5
795000.00000000
PA
USD
790937.55000000
0.085474886558
Long
LON
CORP
US
N
2
2028-03-13
None
2.85000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.676000 14-MAY-2031
000000000
1200000.00000000
OU
Notional Amount
USD
-29562.99000000
-0.00319480749
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-05-14
0.00000000
USD
-1040.20000000
USD
1200000.00000000
USD
-28522.79000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AT1
200000.00000000
PA
USD
216475.00000000
0.023393978535
Long
DBT
NUSS
ZA
N
2
2026-04-14
Fixed
4.88000000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087YQ1
280000.00000000
PA
312781.87000000
0.033801650782
Long
DBT
NUSS
CA
N
2
2041-06-01
Fixed
4.00000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DIAMONDBACK ENERGY INC DEC21 135 CALL
000000000
-79.00000000
NC
USD
-22712.50000000
-0.00245449006
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Diamondback Energy Inc
Diamondback Energy Inc
100.00000000
135.00000000
USD
2021-12-17
XXXX
-3139.15000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VKP4
69408.64000000
PA
USD
73858.74000000
0.007981752064
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.50000000
N
N
N
N
N
N
Parker-Hannifin Corp
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094104
291.00000000
NS
USD
89369.01000000
0.009657912930
Long
EC
CORP
US
N
1
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCB6
441000.00000000
PA
USD
480359.25000000
0.051911370753
Long
DBT
CORP
MX
N
2
2026-08-04
Fixed
6.88000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
1094000.00000000
OU
Notional Amount
USD
-3693.44000000
-0.00039914196
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-2632.75000000
USD
1094000.00000000
USD
-1060.69000000
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 3 LTD
67112RAG9
1000000.00000000
PA
USD
1000108.50000000
0.108079532428
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
1.99000000
N
N
N
N
N
N
KASIKORNBANK PCL HK
5493004COSQ54937AW41
Kasikornbank PCL/Hong Kong
000000000
500000.00000000
PA
USD
510093.75000000
0.055124712963
Long
DBT
CORP
TH
N
2
2031-10-02
Fixed
3.34000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1137.66000000
0.000122944421
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
127000.00000000
EUR
151957.15000000
USD
2021-09-15
1137.66000000
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
000000000
100000.00000000
PA
119100.30000000
0.012870908242
Long
DBT
CORP
US
N
2
2022-09-23
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRE7
55462.23000000
PA
USD
59696.63000000
0.006451283893
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
830000.00000000
OU
Notional Amount
USD
-2802.16000000
-0.00030282328
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1397.50000000
USD
830000.00000000
USD
-1404.66000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83Z8
204606.51000000
PA
USD
215878.69000000
0.023329536621
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TAL9
50657.46000000
PA
USD
54264.83000000
0.005864281179
Long
ABS-MBS
USGA
US
N
2
2047-06-20
Fixed
4.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKE1
342000.00000000
PA
USD
332734.03000000
0.035957836960
Long
DBT
CORP
US
N
2
2052-02-01
Fixed
3.30000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DA7
66000.00000000
PA
USD
67806.75000000
0.007327726777
Long
DBT
NUSS
PE
N
2
2030-06-20
Fixed
2.84000000
N
N
N
N
N
N
CMB INTERNATIONAL LEASIN
5493003RO1EBM4E5IG13
CMB International Leasing Management Ltd
000000000
200000.00000000
PA
USD
197725.00000000
0.021367707153
Long
DBT
CORP
HK
N
2
2026-02-04
Fixed
2.00000000
N
N
N
N
N
N
AMER AIRLINE 19-1AA PTT
N/A
American Airlines 2019-1 Class AA Pass Through Trust
02377LAA2
80398.09000000
PA
USD
82801.60000000
0.008948187333
Long
DBT
CORP
US
N
2
2033-08-15
Fixed
3.15000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-5299.02000000
-0.00057265347
N/A
DFE
MY
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
678130.30000000
USD
2800000.00000000
MYR
2021-09-15
-5299.02000000
N
N
N
Park Avenue Trust
N/A
245 Park Avenue Trust 2017-245P
90187LAN9
250000.00000000
PA
USD
243476.88000000
0.026312012494
Long
ABS-MBS
CORP
US
N
2
2037-06-05
Variable
3.78000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DEVON ENERGY CORP JAN22 40 CALL
000000000
-136.00000000
NC
USD
-16252.00000000
-0.00175631800
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Devon Energy Corp
Devon Energy Corp
100.00000000
40.00000000
USD
2022-01-21
XXXX
-2327.13000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-16394.35000000
-0.00177170145
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
4194874.80000000
BRL
827000.00000000
USD
2021-07-02
-16394.35000000
N
N
N
SK HYNIX INC
988400XAIK6XISWQV045
SK Hynix Inc
000000000
200000.00000000
PA
USD
195217.66000000
0.021096744417
Long
DBT
CORP
KR
N
2
2031-01-19
Fixed
2.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPMW1
116848.53000000
PA
USD
133690.14000000
0.014447600256
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LTFX1
455.81000000
PA
USD
492.55000000
0.000053228798
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828W55
500000.00000000
PA
USD
506015.63000000
0.054683999477
Long
DBT
UST
US
N
2
2022-02-28
Fixed
1.88000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2019-XL
N/A
BX Commercial Mortgage Trust 2019-XL
056054AJ8
905265.64000000
PA
USD
905845.46000000
0.097892732407
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.07000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)
000000000
2000000.00000000
OU
Notional Amount
USD
-154534.11000000
-0.01670016238
N/A
DCR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-220927.06000000
USD
2000000.00000000
USD
66392.95000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRV9
1019176.14000000
PA
USD
1084162.11000000
0.117163021737
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
9324.51000000
0.001007679347
N/A
DFE
MX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
826000.00000000
USD
16676114.00000000
MXN
2021-07-14
9324.51000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2049.41000000
-0.00022147524
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
85178.26000000
USD
70000.00000000
EUR
2021-09-15
-2049.41000000
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE SEP21 IFLL 20210928
000000000
23.00000000
NC
17862.23000000
0.001930332025
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Long
United Kingdom Gilt
G U1 Comdty
2021-09-28
2933387.23000000
GBP
17862.23000000
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
100000.00000000
PA
193633.00000000
0.020925493686
Long
DBT
NUSS
FR
N
2
2032-10-25
Fixed
5.75000000
N
N
N
N
N
N
Wynn Resorts Ltd
254900CEKKWIHTEAB172
Wynn Resorts Ltd
983134107
2785.00000000
NS
USD
340605.50000000
0.036808489461
Long
EC
CORP
US
N
1
N
N
N
SUEZ
549300JQIZM6CL7POC81
Suez SA
000000000
100000.00000000
PA
119165.04000000
0.012877904552
Long
DBT
CORP
FR
N
2
2026-06-01
Fixed
1.63000000
N
N
N
N
N
N
AGL CLO 1 Ltd.
54930005OE1IFBESDA27
AGL CLO 12 Ltd
00120BAA8
100000.00000000
PA
USD
100004.55000000
0.010807272415
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.29000000
N
N
N
N
N
N
LENOVO GROUP LTD
254900VUZRGD5U73RE46
Lenovo Group Ltd
000000000
200000.00000000
PA
USD
207975.00000000
0.022475402175
Long
DBT
CORP
HK
N
2
2030-11-02
Fixed
3.42000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
76449.35000000
0.008261713606
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
10502583.00000000
EUR
12548844.31000000
USD
2021-09-15
76449.35000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-18989.74000000
-0.00205217955
N/A
DFE
ID
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
908000.00000000
USD
13060672000.00000000
IDR
2021-09-13
-18989.74000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BLACKROCK FXVAN CALL USD KRW 1132.000000
000000000
2672000.00000000
OU
Notional Amount
USD
12558.40000000
0.001357158748
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
12558.40000000
0.00000000
DFE
US
3024704000.00000000
KRW
2672000.00000000
USD
2021-07-21
1.00000000
1132.00000000
USD
2021-07-21
XXXX
-12708.03000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZG2
2391.81000000
PA
USD
2577.95000000
0.000278593403
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
MANAPPURAM FINANCE LTD
335800JL5WTUSKOSPN77
Manappuram Finance Ltd
000000000
200000.00000000
PA
USD
206350.00000000
0.022299791989
Long
DBT
CORP
IN
N
2
2023-01-13
Fixed
5.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJDN5
38843.50000000
PA
USD
40896.74000000
0.004419621008
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
EMPRESAS PUBLIC MEDELLIN
549300SU25TO8EMXB434
Empresas Publicas de Medellin ESP
29246BAE8
850000.00000000
PA
USD
839268.75000000
0.090697933355
Long
DBT
CORP
CO
N
2
2029-07-18
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRN7
204194.82000000
PA
USD
221522.59000000
0.023939460518
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
3.50000000
N
N
N
N
N
N
BANCO RESERVAS REP DOMIN
549300CKQT0JZ2EGNC56
Banco de Reservas de la Republica Dominicana
000000000
304000.00000000
PA
USD
318972.00000000
0.034470604557
Long
DBT
CORP
DO
N
2
2023-02-01
Fixed
7.00000000
N
N
N
N
N
N
DRAFTKINGS INC
5493008P45UYYL683Z97
DraftKings Inc
26142RAA2
174000.00000000
PA
USD
156774.00000000
0.016942222385
Long
DBT
CORP
US
N
2
2028-03-15
None
0.00000000
N
N
N
N
Y
DraftKings Inc
DraftKings Inc
USD
XXXX
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
300000.00000000
PA
USD
204000.00000000
0.022045832642
Long
DBT
CORP
VG
N
2
2029-11-13
Fixed
3.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W9F88
14410.30000000
PA
USD
15155.18000000
0.001637787068
Long
ABS-MBS
USGSE
US
N
2
2028-08-01
Fixed
2.50000000
N
N
N
N
N
N
AMER AIRLINE 16-1 B PTT
N/A
American Airlines 2016-1 Class B Pass Through Trust
02376YAA5
5720.07000000
PA
USD
5620.46000000
0.000607390786
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.25000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BLACKROCK FXVAN CALL EUR PLN 4.5000000
000000000
2013000.00000000
OU
Notional Amount
12588.59000000
0.001360421315
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
12588.59000000
0.00000000
DFE
XX
9058500.00000000
PLN
2013000.00000000
EUR
2021-07-05
1.00000000
4.50000000
EUR
2021-07-05
XXXX
1895.27000000
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671D857
11445.00000000
NS
USD
424723.95000000
0.045898985887
Long
EC
CORP
US
N
1
N
N
N
Madison Avenue Trust
N/A
MAD Mortgage Trust 2017-330M
55282MAL8
130000.00000000
PA
USD
130927.51000000
0.014149048891
Long
ABS-MBS
CORP
US
N
2
2034-08-15
Variable
4.17000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST SEP21 450 CALL
000000000
449.00000000
NC
USD
88677.50000000
0.009583182961
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
450.00000000
USD
2021-09-17
XXXX
3092.09000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.508500 07-APR-2024
000000000
14248000.00000000
OU
Notional Amount
USD
-8454.19000000
-0.00091362577
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-04-08
0.00000000
USD
-101.64000000
USD
14248000.00000000
USD
-8352.55000000
N
N
N
ABERTIS FINANCE BV
5493007WHKI5H75YJ358
Abertis Infraestructuras Finance BV
000000000
100000.00000000
PA
122576.92000000
0.013246618941
Long
DBT
CORP
NL
N
2
2025-11-24
Fixed
3.25000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-5564.05000000
-0.00060129468
N/A
DFE
JP
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
459050.00000000
USD
50348466.00000000
JPY
2021-09-15
-5564.05000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
780000.00000000
PA
USD
811102.50000000
0.087654068485
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25000000
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER Group SA
000000000
300000.00000000
PA
359726.95000000
0.038874902630
Long
DBT
CORP
LU
N
2
2026-11-13
Fixed
2.75000000
N
N
N
N
N
N
ORYX FUNDING LTD
549300S728CF0BBRC295
Oryx Funding Ltd
67114NAA9
550000.00000000
PA
USD
579562.50000000
0.062632048435
Long
DBT
CORP
KY
N
2
2031-02-03
Fixed
5.80000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
000000000
740000.00000000
PA
937122.04000000
0.101272723820
Long
DBT
CORP
GB
N
2
2026-03-22
Fixed
3.25000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-4971.82000000
-0.00053729368
N/A
DFE
MY
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
550000.00000000
USD
2268145.00000000
MYR
2021-09-15
-4971.82000000
N
N
N
Nidda BondCo GmbH
391200JPUEK6AMI9PQ76
Nidda BondCo GmbH
000000000
100000.00000000
PA
118990.03000000
0.012858991605
Long
DBT
CORP
DE
N
2
2025-09-30
Fixed
5.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE SEP21 XEUR 20210908
000000000
-38.00000000
NC
-22497.43000000
-0.00243124792
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bund (FGBL)
RXU1 Comdty
2021-09-08
-6540206.84000000
EUR
-22497.43000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2020-420K
17328QAN1
20000000.00000000
PA
USD
1317400.00000000
0.142368529035
Long
ABS-MBS
CORP
US
N
2
2042-11-10
Variable
0.91000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2018-CX12 Commercial Mortgage Trust
12595XAZ6
750000.00000000
PA
USD
827670.15000000
0.089444498088
Long
ABS-MBS
CORP
US
N
2
2051-08-15
Variable
4.92000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBP4
831000.00000000
PA
USD
795580.05000000
0.085976591353
Long
DBT
CORP
US
N
2
2051-06-04
Fixed
2.94000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN AUG21P 129 EXP 07/23/2021
000000000
-49.00000000
NC
USD
-765.63000000
-0.00008273995
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Written
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note
N/A
49.00000000
NC
N/A
-765.63000000
0.00000000
DIR
US
Short
10 Year US Treasury Note
TYQ1 Comdty
2021-09-21
49.00000000
USD
1000.00000000
129.00000000
USD
2021-07-23
XXXX
12941.14000000
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
000000000
100000.00000000
PA
122674.86000000
0.013257203102
Long
DBT
CORP
US
N
2
2025-01-31
Fixed
0.88000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-860.95000000
-0.00009304097
N/A
DFE
BR
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
549000.00000000
USD
2726334.00000000
BRL
2021-07-02
-860.95000000
N
N
N
Eaton Vance CDO Ltd
549300R0C8KS2AMEHL81
Eaton Vance CLO 2018-1 Ltd
27831BAC7
250000.00000000
PA
USD
250191.38000000
0.027037633784
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.63000000
N
N
N
N
N
N
LADBROKES GROUP FIN PLC
213800QOWHF5R9VLL274
Ladbrokes Group Finance PLC
000000000
100000.00000000
PA
143863.20000000
0.015546980542
Long
DBT
CORP
GB
N
2
2022-09-16
Fixed
5.13000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED NOK / SOLD CAD
000000000
1.00000000
NC
N/A
-16160.28000000
-0.00174640602
N/A
DFE
NO
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1854366.00000000
CAD
12736751.26000000
NOK
2021-09-15
-16160.28000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (COLOM)
000000000
720000.00000000
OU
Notional Amount
USD
12218.60000000
0.001320437307
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Colombia Government International Bond
Colombia Government International Bond
Y
buy protection
2026-06-23
14310.05000000
USD
0.00000000
USD
720000.00000000
USD
-2091.45000000
N
N
N
Leslie's Poolmart, Inc.
549300MZRH1GJYUMRM83
Leslie's Poolmart, Inc. 2021 Term Loan B
52706YAJ2
648375.00000000
PA
USD
645541.60000000
0.069762265085
Long
LON
CORP
US
N
2
2028-03-04
Floating
3.25000000
N
N
N
N
N
N
BANCO DAVIVIENDA SA
549300P161V4IPKAQS70
Banco Davivienda SA
059501AD8
430000.00000000
PA
USD
449350.00000000
0.048560269107
Long
DBT
CORP
CO
N
2
2031-04-22
Fixed
6.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEP9
13427.41000000
PA
USD
14114.92000000
0.001525368451
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFU3
252000.00000000
PA
USD
239379.13000000
0.025869177637
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION SEP21 1.4 PUT
000000000
-7479753.00000000
OU
Notional Amount
USD
-124792.65000000
-0.01348606802
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
7479753.00000000
OU
Notional Amount
N/A
-124792.65000000
-0.01000000
DIR
GB
N/A
N/A
2031-09-22
0.00000000
N/A
0.00000000
N/A
7479753.00000000
USD
1.00000000
1.40000000
USD
2021-09-20
XXXX
-74976.34000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QR37
35278.78000000
PA
USD
39951.11000000
0.004317428847
Long
ABS-MBS
USGA
US
N
2
2044-10-20
Fixed
5.00000000
N
N
N
N
N
N
AMS AG
5299001JPPT2QFTV5D76
ams AG
000000000
100000.00000000
PA
126934.55000000
0.013717538460
Long
DBT
CORP
AT
N
2
2025-07-31
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEQC9
168367.12000000
PA
USD
180813.45000000
0.019540113030
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
8171.72000000
0.000883099860
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
89515042.00000000
JPY
814000.00000000
USD
2021-07-14
8171.72000000
N
N
N
Voya CLO 2017-4, Ltd.
N/A
Voya Clo 2017-4 Ltd
92916QAA0
400000.00000000
PA
USD
400074.96000000
0.043235223591
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
1.31000000
N
N
N
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
000000000
100000.00000000
PA
126455.51000000
0.013665769657
Long
DBT
CORP
ES
N
2
2027-01-22
Fixed
1.45000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
10167.00000000
0.001098725394
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
16227101.70000000
MXN
823000.00000000
USD
2021-07-14
10167.00000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXR0
390000.00000000
PA
USD
378765.82000000
0.040932391560
Long
DBT
CORP
US
N
2
2032-01-27
Fixed
1.99000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
400000.00000000
PA
471011.26000000
0.050901153974
Long
DBT
CORP
FR
N
2
2027-04-13
Fixed
0.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKWM6
35066.03000000
PA
USD
37433.29000000
0.004045333561
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK FXVAN PUT USD MXN 19.2500000
000000000
-30000000.00000000
OU
Notional Amount
USD
-72690.00000000
-0.00785544889
N/A
DFE
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
-72690.00000000
-0.01000000
DFE
MX
-30000000.00000000
USD
-577500000.00000000
MXN
2021-08-25
1.00000000
19.25000000
USD
2021-08-25
XXXX
103590.00000000
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BK0
130000.00000000
PA
USD
135525.00000000
0.014645889553
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5EJ4
1406.74000000
PA
USD
1478.57000000
0.000159785817
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Fixed
2.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-10324.74000000
-0.00111577201
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2791917.00000000
BRL
551000.00000000
USD
2021-07-02
-10324.74000000
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290CA9
505000.00000000
PA
USD
520301.50000000
0.056227842120
Long
DBT
CORP
MX
N
2
2026-06-08
Fixed
5.13000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AN7
58000.00000000
PA
USD
59363.00000000
0.006415229231
Long
DBT
CORP
CA
N
2
2028-06-01
Fixed
4.88000000
N
N
N
N
N
N
Deere & Co
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199105
2112.00000000
NS
USD
744923.52000000
0.080502251242
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BAA4
12054.69000000
PA
USD
13130.23000000
0.001418955162
Long
ABS-MBS
USGSE
US
N
2
2044-07-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C4G6
60567.96000000
PA
USD
65390.34000000
0.007066590647
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BTER9
17531.72000000
PA
USD
18892.27000000
0.002041646189
Long
ABS-MBS
USGA
US
N
2
2048-01-15
Fixed
4.00000000
N
N
N
N
N
N
BRASKEM NETHERLANDS
N/A
Braskem Netherlands Finance BV
000000000
269000.00000000
PA
USD
313267.31000000
0.033854111218
Long
DBT
CORP
NL
N
2
2081-01-23
Fixed
8.50000000
N
N
N
N
N
N
CMA CGM SA
969500BZJ49IICIBZZ08
CMA CGM SA
000000000
300000.00000000
PA
395560.55000000
0.042747361202
Long
DBT
CORP
FR
N
2
2026-01-15
Fixed
7.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-3019.47000000
-0.00032630750
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
826000.00000000
USD
91420391.00000000
JPY
2021-07-14
-3019.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: OIS -0.266000 29-APR-2025
000000000
5045000.00000000
OU
Notional Amount
-2443.56000000
-0.00026407017
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-04-29
25.48000000
EUR
0.00000000
EUR
5045000.00000000
EUR
-2474.17000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FHWF0
2225.56000000
PA
USD
2359.81000000
0.000255019491
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
LVMH MOET HENNESSY VUITT
IOG4E947OATN0KJYSD45
LVMH Moet Hennessy Louis Vuitton SE
000000000
100000.00000000
PA
119355.47000000
0.012898483904
Long
DBT
CORP
FR
N
2
2023-02-28
Fixed
0.13000000
N
N
N
N
N
N
RED SUN PROPERTIES GRP
549300TYWIIKAOK07L47
Redsun Properties Group Ltd
000000000
200000.00000000
PA
USD
202937.50000000
0.021931010597
Long
DBT
CORP
KY
N
2
2023-04-16
Fixed
9.70000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAL9
300000.00000000
PA
USD
325179.00000000
0.035141381435
Long
DBT
CORP
KY
N
2
2030-06-18
Fixed
4.38000000
N
N
N
N
N
N
MAF SUKUK LTD
549300IS9H0W5N2N4K34
MAF Sukuk Ltd
000000000
220000.00000000
PA
USD
247060.00000000
0.026699232415
Long
DBT
CORP
KY
N
2
2029-05-14
Fixed
4.64000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
255000.00000000
PA
419971.84000000
0.045385435780
Long
DBT
CORP
NL
N
2
2029-05-23
Fixed
4.63000000
N
N
N
N
N
N
ARQIVA BROADC FINANCE PL
5493007PMKIGKNYH2S25
Arqiva Broadcast Finance PLC
000000000
188000.00000000
PA
266952.00000000
0.028848917233
Long
DBT
CORP
LU
N
2
2023-09-30
Fixed
6.75000000
N
N
N
N
N
N
MFT Trust
N/A
MFT Trust 2020-ABC
55317BAJ6
105000.00000000
PA
USD
101620.56000000
0.010981911072
Long
ABS-MBS
CORP
US
N
2
2042-02-10
Variable
3.59000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-1638.48000000
-0.00017706694
N/A
DFE
SE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
61272.22000000
USD
510000.00000000
SEK
2021-09-15
-1638.48000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417C3C7
8205.87000000
PA
USD
8602.76000000
0.000929681407
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
7690.95000000
0.000831144100
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
606026880.00000000
KRW
544000.00000000
USD
2021-07-12
7690.95000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.540000 28-MAY-2031
000000000
3544840.00000000
OU
Notional Amount
USD
-32967.22000000
-0.00356269517
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-05-28
0.00000000
USD
-57.37000000
USD
3544840.00000000
USD
-32909.85000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DIAMONDBACK ENERGY INC DEC21 115 CALL
000000000
79.00000000
NC
USD
46215.00000000
0.004994353703
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Diamondback Energy Inc
Diamondback Energy Inc
100.00000000
115.00000000
USD
2021-12-17
XXXX
2588.46000000
N
N
N
LOXAM SAS
969500BNA2YRNE1R5K91
Loxam SAS
000000000
200000.00000000
PA
242367.33000000
0.026192105858
Long
DBT
CORP
FR
N
2
2026-07-15
Fixed
3.75000000
N
N
N
N
N
N
SEAZEN GROUP LTD
5493006M8GRAQRCSCD67
Seazen Group Ltd
000000000
200000.00000000
PA
USD
207500.00000000
0.022424069967
Long
DBT
CORP
KY
N
2
2024-08-12
Fixed
6.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-20020.41000000
-0.00216356180
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4202962.50000000
BRL
825000.00000000
USD
2021-07-02
-20020.41000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XGBJ6
12981.02000000
PA
USD
13917.19000000
0.001504000203
Long
ABS-MBS
USGSE
US
N
2
2038-09-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF PHILIPPINES
529900RAHBALMYIJ3T08
Philippine Government International Bond
718286CG0
400000.00000000
PA
USD
453200.00000000
0.048976330164
Long
DBT
NUSS
PH
N
2
2029-01-14
Fixed
3.75000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST JUL21 427 CALL
000000000
256.00000000
NC
USD
116864.00000000
0.012629236205
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
427.00000000
USD
2021-07-16
XXXX
17871.08000000
N
N
N
Allianz SE
529900K9B0N5BT694847
Allianz SE
000000000
2474.00000000
NS
617403.42000000
0.066721433677
Long
EC
CORP
DE
N
2
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST JUL21 424 CALL
000000000
185.00000000
NC
USD
126540.00000000
0.013674900306
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
424.00000000
USD
2021-07-16
XXXX
35283.17000000
N
N
N
RRAM
549300YH0VOGWM5JZF65
RR 3 Ltd
74988LAA2
400000.00000000
PA
USD
399643.60000000
0.043188607462
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.27000000
N
N
N
N
N
N
ROLLS-ROYCE PLC
X57JK1U580XATGR67572
Rolls-Royce PLC
000000000
100000.00000000
PA
129306.05000000
0.013973821264
Long
DBT
CORP
GB
N
2
2026-02-16
Fixed
4.63000000
N
N
N
N
N
N
KLABIN AUSTRIA GMBH
984500578YEA8DD41B09
Klabin Austria GmbH
49836AAC8
890000.00000000
PA
USD
875359.50000000
0.094598181564
Long
DBT
CORP
AT
N
2
2031-01-12
Fixed
3.20000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
16857.38000000
0.001821740089
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
54122860000.00000000
IDR
3700000.00000000
USD
2021-09-15
16857.38000000
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
AUG21 MUB US PUT AUG21 114 PUT
000000000
122.00000000
NC
USD
0.06000000
0.000000006484
N/A
DE
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Put
Purchased
iShares National Muni Bond ETF
iShares National Muni Bond ETF
1.00000000
114.00000000
USD
2021-08-20
XXXX
-207.34000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-43950.54000000
-0.00474963847
N/A
DFE
ID
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
1845000.00000000
USD
26465971500.00000000
IDR
2021-09-15
-43950.54000000
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAK7
531000.00000000
PA
USD
420585.19000000
0.045451719169
Long
DBT
NUSS
GH
N
2
2025-04-07
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BUEC9
53534.79000000
PA
USD
58282.93000000
0.006298508434
Long
ABS-MBS
USGA
US
N
2
2047-10-15
Fixed
4.00000000
N
N
N
N
N
N
BANCO NACIONAL DE PANAMA
529900H2Q7WMDKKIW109
Banco Nacional de Panama
059626AC5
339000.00000000
PA
USD
327897.75000000
0.035435190786
Long
DBT
CORP
PA
N
2
2030-08-11
Fixed
2.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AT7
2081000.00000000
PA
USD
2532556.94000000
0.273687874788
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
Electricite de France SA
549300X3UK4GG3FNMO06
Electricite de France SA
000000000
400000.00000000
PA
531955.97000000
0.057487315136
Long
DBT
CORP
FR
N
2
2025-01-29
Fixed
5.38000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AM5
9000.00000000
PA
USD
10966.13000000
0.001185085621
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.60000000
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044DN8
247000.00000000
PA
USD
281066.38000000
0.030374227328
Long
DBT
CORP
US
N
2
2050-01-15
Fixed
3.95000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-18688.89000000
-0.00201966735
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
4206287.40000000
BRL
827000.00000000
USD
2021-07-02
-18688.89000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (MEX)
000000000
720000.00000000
OU
Notional Amount
USD
-2430.78000000
-0.00026268906
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-345.58000000
USD
720000.00000000
USD
-2085.20000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FP4
130000.00000000
PA
USD
138450.00000000
0.014961987889
Long
DBT
CORP
US
N
2
2024-06-20
Fixed
5.13000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
57751.50000000
0.006241077960
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
522760000.00000000
JPY
4766222.95000000
USD
2021-09-15
57751.50000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK SWAPTION 0.0130000 CALL USD 20
000000000
10217016.00000000
OU
Notional Amount
USD
119310.63000000
0.012893638144
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
10217016.00000000
OU
Notional Amount
N/A
119310.63000000
0.01000000
DIR
US
N/A
N/A
2032-04-25
0.00000000
N/A
0.00000000
N/A
10217016.00000000
USD
1.00000000
0.01300000
USD
2022-04-21
XXXX
-2544.19000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0045000 PUT EUR
000000000
2485000.00000000
OU
Notional Amount
28780.78000000
0.003110275780
N/A
DIR
LU
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
2485000.00000000
OU
Notional Amount
N/A
28780.78000000
0.00000000
DIR
LU
N/A
N/A
2032-06-10
0.00000000
N/A
0.00000000
N/A
2485000.00000000
EUR
1.00000000
0.00450000
EUR
2022-06-08
XXXX
-4374.26000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XDTP5
50060.39000000
PA
USD
55709.21000000
0.006020372158
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
4.00000000
N
N
N
N
N
N
NETHERLANDS GOVERNMENT
254900G14ALGVKORFN62
Netherlands Government Bond
000000000
311000.00000000
PA
595113.11000000
0.064312568757
Long
DBT
NUSS
NL
N
2
2047-01-15
Fixed
2.75000000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-BIOD Mortgage Trust
23306GAG2
92813.89000000
PA
USD
92946.78000000
0.010044554688
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
1.37000000
N
N
N
N
N
N
Assicurazioni Generali SpA
549300X5UKJVE386ZB61
Assicurazioni Generali SpA
000000000
32618.00000000
NS
654861.69000000
0.070769466773
Long
EC
CORP
IT
N
2
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617BJRG1
52325.96000000
PA
USD
56386.25000000
0.006093538386
Long
ABS-MBS
USGA
US
N
2
2047-10-15
Fixed
4.00000000
N
N
N
N
N
N
Olympic Tower Mortgage Trust
N/A
Olympic Tower 2017-OT Mortgage Trust
68162MAN2
160000.00000000
PA
USD
144202.67000000
0.015583666320
Long
ABS-MBS
CORP
US
N
2
2039-05-10
Variable
4.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJC71
26550.12000000
PA
USD
27920.87000000
0.003017347192
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2374.26000000
0.000256581071
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
140000.00000000
EUR
168631.96000000
USD
2021-09-15
2374.26000000
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
300000.00000000
PA
403964.91000000
0.043655601957
Long
DBT
CORP
IT
N
2
2031-09-01
Fixed
5.88000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-6371.15000000
-0.00068851620
N/A
DFE
ID
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
338292.41000000
USD
4877500000.00000000
IDR
2021-09-15
-6371.15000000
N
N
N
RKPF OVERSEAS 2019 A LTD
254900P8BXRCW5458103
RKPF Overseas 2019 A Ltd
000000000
200000.00000000
PA
USD
207750.00000000
0.022451086919
Long
DBT
CORP
VG
N
2
2025-09-04
Fixed
6.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: CAD 1.907500 09-JUL-2021
000000000
9280000.00000000
OU
Notional Amount
54035.43000000
0.005839490424
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2021-07-09
2.02000000
CAD
0.00000000
CAD
9280000.00000000
CAD
54033.81000000
N
N
N
Edwards Lifesciences Corp
YA13X31F3V31L8TMPR58
Edwards Lifesciences Corp
28176E108
4116.00000000
NS
USD
426294.12000000
0.046068670715
Long
EC
CORP
US
N
1
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJP5
360000.00000000
PA
USD
369701.72000000
0.039952854150
Long
DBT
CORP
US
N
2
2032-03-11
Fixed
2.65000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-2999.61000000
-0.00032416127
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
14970240.00000000
CNY
2300000.00000000
USD
2021-09-15
-2999.61000000
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
000000000
100000.00000000
PA
121924.76000000
0.013176141440
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
1.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 4.855000 1-MAR-2024
000000000
24394973.00000000
OU
Notional Amount
-42026.76000000
-0.00454173979
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-01
96.32000000
MXN
0.00000000
MXN
24394973.00000000
MXN
-42031.34000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CBF7
2570358.72000000
PA
USD
2828432.12000000
0.305662456658
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.13000000
N
N
N
N
N
N
BANCO DE SABADELL SA
SI5RG2M0WQQLZCXKRM20
Banco de Sabadell SA
000000000
100000.00000000
PA
120882.25000000
0.013063479671
Long
DBT
CORP
ES
N
2
2025-07-22
Fixed
0.88000000
N
N
N
N
N
N
BASF SE
529900PM64WH8AF1E917
BASF SE
000000000
995000.00000000
PA
1219343.04000000
0.131771728400
Long
DBT
CORP
DE
N
2
2022-12-05
Fixed
2.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2092457.48000000
-0.22612729125
N/A
DFE
XX
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
104031979.19000000
USD
85839832.00000000
EUR
2021-09-15
-2092457.48000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-4757.80000000
-0.00051416501
N/A
DFE
NO
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
144171.42000000
USD
1200000.00000000
NOK
2021-09-15
-4757.80000000
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
000000000
260000.00000000
PA
307021.23000000
0.033179111050
Long
DBT
CORP
US
N
2
2029-05-04
Fixed
0.45000000
N
N
N
N
N
N
KALLPA GENERACION SA
549300NG1PWEI5BZG095
Kallpa Generacion SA
000000000
400000.00000000
PA
USD
420200.00000000
0.045410092531
Long
DBT
CORP
PE
N
2
2026-05-24
Fixed
4.88000000
N
N
N
N
N
N
Arbor Realty Collateralized Loan Obligation Ltd
N/A
Arbor Realty Collateralized Loan Obligation Ltd
03881EAA5
110000.00000000
PA
USD
110196.89000000
0.011908736248
Long
ABS-CBDO
CORP
KY
N
2
2036-05-15
Floating
1.20000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK FXVAN PUT USD BRL 5.1800000
000000000
2730000.00000000
OU
Notional Amount
USD
110614.14000000
0.011953827540
N/A
DFE
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
110614.14000000
0.01000000
DFE
US
14141400.00000000
BRL
2730000.00000000
USD
2021-07-02
1.00000000
5.18000000
USD
2021-07-02
XXXX
63308.70000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5YR4
18020.26000000
PA
USD
19673.36000000
0.002126056872
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BLACKROCK FXVAN CALL USD ZAR 14.6500000
000000000
1928000.00000000
OU
Notional Amount
USD
17810.86000000
0.001924780582
N/A
DFE
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Call
Purchased
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
17810.86000000
0.00000000
DFE
US
28245200.00000000
ZAR
1928000.00000000
USD
2021-08-02
1.00000000
14.65000000
USD
2021-08-02
XXXX
-3609.22000000
N
N
N
UK TSY 0 3/4% 2023
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
1826000.00000000
PA
2561268.43000000
0.276790662551
Long
DBT
NUSS
GB
N
2
2023-07-22
Fixed
0.75000000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
000000000
140000.00000000
PA
170546.92000000
0.018430631647
Long
DBT
CORP
GB
N
2
2027-03-13
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRP2
418849.10000000
PA
USD
457854.93000000
0.049479378241
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
14388.54000000
0.001554937964
N/A
DFE
BR
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
454000.00000000
USD
2350948.20000000
BRL
2021-09-15
14388.54000000
N
N
N
Motorola Solutions Inc
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BE8
165000.00000000
PA
USD
214914.83000000
0.023225374385
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
5.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022477
1018000.00000000
PA
USD
1061543.36000000
0.114718663026
Long
ABS-MBS
USGSE
US
N
2
2036-07-15
Fixed
2.50000000
N
N
N
N
N
N
The Toronto-Dominion Bank
PT3QB789TSUIDF371261
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-21730.53000000
-0.00234837072
N/A
DFE
US
N
2
The Toronto-Dominion Bank
PT3QB789TSUIDF371261
5128297.00000000
BRL
1000000.00000000
USD
2021-09-15
-21730.53000000
N
N
N
SWEDISH GOVERNMENT
ERE94C0BSULG2RM19605
Sweden Government Bond
000000000
960000.00000000
PA
118283.45000000
0.012782633054
Long
DBT
NUSS
SE
N
2
2026-11-12
Fixed
1.00000000
N
N
N
N
N
N
NEW METRO GLOBAL LTD
549300HJRNTCANEH0D47
New Metro Global Ltd
000000000
200000.00000000
PA
USD
208162.50000000
0.022495664889
Long
DBT
CORP
VG
N
2
2023-08-05
Fixed
6.80000000
N
N
N
N
N
N
TVC DSCR 21 1 A
N/A
TVC DSCR 21 1 A BRWHNWEZ0 TVC DSCR
000000000
594193.21000000
PA
USD
594193.21000000
0.064213157181
Long
ABS-MBS
CORP
US
N
3
2051-02-01
Fixed
0.01000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3129414T1
1469.65000000
PA
USD
1601.45000000
0.000173065189
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
4.00000000
N
N
N
N
N
N
VEOLIA ENVIRONNEMENT SA
969500LENY69X51OOT31
Veolia Environnement SA
000000000
200000.00000000
PA
242628.19000000
0.026220296426
Long
DBT
CORP
FR
N
2
2024-01-14
Fixed
0.89000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2021-A
64035DAA4
550000.00000000
PA
USD
550867.79000000
0.059531074051
Long
ABS-O
CORP
US
N
2
2062-04-20
Floating
0.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRM9
45186.31000000
PA
USD
49847.65000000
0.005386926223
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS 2018-TALL Mortgage Trust
05548WAG2
500000.00000000
PA
USD
485699.60000000
0.052488490667
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
1.52000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-119418.40000000
-0.01290528461
N/A
DFE
CA
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
6340000.00000000
USD
7711281.77000000
CAD
2021-09-15
-119418.40000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-L2
61768HAW6
589000.00000000
PA
USD
676019.57000000
0.073055952467
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
4.07000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-499.00000000
-0.00005392583
N/A
DFE
ID
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
22953.96000000
USD
329970000.00000000
IDR
2021-09-15
-499.00000000
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638AS1
100000.00000000
PA
USD
122487.50000000
0.013236955518
Long
DBT
NUSS
PE
N
2
2025-07-21
Fixed
7.35000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
90000.00000000
PA
72601.07000000
0.007845838425
Long
DBT
NUSS
AU
N
2
2028-05-21
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJC97
20788.14000000
PA
USD
21903.41000000
0.002367053486
Long
ABS-MBS
USGSE
US
N
2
2031-10-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022683
9971000.00000000
PA
USD
10293499.53000000
1.112395921296
Long
ABS-MBS
USGSE
US
N
2
2051-08-12
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Y8
2018000.00000000
PA
USD
1978444.03000000
0.213806107735
Long
DBT
CORP
US
N
2
2052-01-25
Fixed
2.80000000
N
N
N
N
N
N
UNITED AIR 2014-1 B PTT
N/A
United Airlines 2014-1 Class B Pass Through Trust
90932PAB4
2279.94000000
PA
USD
2317.38000000
0.000250434174
Long
DBT
CORP
US
N
2
2023-10-11
Fixed
4.75000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAF7
477000.00000000
PA
USD
539397.56000000
0.058291511448
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
RUBIS TERMINAL INFRA SAS
9695008ZRGYKYMV0NH30
Rubis Terminal Infra SAS
000000000
150000.00000000
PA
187219.87000000
0.020232440791
Long
DBT
CORP
FR
N
2
2025-05-15
Fixed
5.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.660000 04-FEB-2051
000000000
5469310.00000000
OU
Notional Amount
USD
142247.44000000
0.015372368902
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-02-06
0.00000000
USD
-168.93000000
USD
5469310.00000000
USD
142416.37000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QTHA7
4752.42000000
PA
USD
5185.27000000
0.000560360757
Long
ABS-MBS
USGSE
US
N
2
2045-10-01
Fixed
4.50000000
N
N
N
N
N
N
UNITED AIR 2016-2 B PTT
N/A
United Airlines 2016-2 Class B Pass Through Trust
90933JAA9
4201.39000000
PA
USD
4200.36000000
0.000453923694
Long
DBT
CORP
US
N
2
2025-10-07
Fixed
3.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617ALXR6
16300.58000000
PA
USD
18621.02000000
0.002012332796
Long
ABS-MBS
USGA
US
N
2
2047-05-15
Fixed
4.50000000
N
N
N
N
N
N
Eurex Zurich
N/A
SHORT EURO-BTP FU SEP21 EUCH 20210908
000000000
96.00000000
NC
2808.25000000
0.000303481419
N/A
DIR
DE
N
1
Eurex Zurich
N/A
Long
Short-Term Euro-BTP Futures
BTSU1 Comdty
2021-09-08
10860991.67000000
EUR
2808.25000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHFF4
2574.46000000
PA
USD
2736.27000000
0.000295702698
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.00000000
N
N
N
N
N
N
Octagon Investments Partners 36, Ltd.
549300S890TBOLY1D042
Octagon Investment Partners 36 Ltd
67591UAC1
750000.00000000
PA
USD
749814.08000000
0.081030763336
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.15000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BT2
344000.00000000
PA
USD
325046.35000000
0.035127046241
Long
DBT
CORP
US
N
2
2050-06-03
Fixed
2.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
L BRANDS INC AUG21 55 PUT
000000000
-81.00000000
NC
USD
-5589.00000000
-0.00060399097
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
L Brands Inc
L Brands Inc
100.00000000
55.00000000
USD
2021-08-20
XXXX
8813.91000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERA91
7022.92000000
PA
USD
7535.23000000
0.000814315781
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
254900HROIFWPRGM1V77
Freddie Mac Gold Pool
31335ARP5
26778.48000000
PA
USD
30990.92000000
0.003349120763
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138Y8EH9
7206.17000000
PA
USD
7620.89000000
0.000823572870
Long
ABS-MBS
USGSE
US
N
2
2030-01-01
Fixed
3.00000000
N
N
N
N
N
N
Ferrari NV
549300RIVY5EX8RCON76
Ferrari NV
000000000
1394.00000000
NS
287785.97000000
0.031100398683
Long
EC
CORP
NL
N
2
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT SEP21 XSFE 20210915
000000000
96.00000000
NC
-28717.45000000
-0.00310343184
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
10 Year Commonwealth Treasury Bond
XMU1 Comdty
2021-09-15
13592435.52000000
AUD
-28717.45000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0160000 CALL USD 20
000000000
4714000.00000000
OU
Notional Amount
USD
173925.29000000
0.018795724684
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Purchased
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
4714000.00000000
OU
Notional Amount
N/A
173925.29000000
0.02000000
DIR
US
N/A
N/A
2052-04-22
0.00000000
N/A
0.00000000
N/A
4714000.00000000
USD
1.00000000
0.01600000
USD
2022-04-20
XXXX
27878.33000000
N
N
N
PROMIGAS/GASES PACIFICO
N/A
Promigas SA ESP / Gases del Pacifico SAC
000000000
450000.00000000
PA
USD
443891.25000000
0.047970353965
Long
DBT
CORP
XX
N
2
2029-10-16
Fixed
3.75000000
N
N
N
N
N
N
BHARTI AIRTEL LTD
335800KQ1FPKOQ84OR26
Bharti Airtel Ltd
000000000
200000.00000000
PA
USD
197940.00000000
0.021390941731
Long
DBT
CORP
IN
N
2
2031-06-03
Fixed
3.25000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FSWP: KRW 1.520000 21-SEP-2023
000000000
5174224460.00000000
OU
Notional Amount
-6997.12000000
-0.00075616341
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2023-09-21
0.00000000
KRW
0.00000000
KRW
5174224460.00000000
KRW
-6997.12000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CLH5
267815.47000000
PA
USD
286684.17000000
0.030981329573
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Santos Finance Ltd
213800BKUBSWG53XNS94
Santos Finance Ltd
000000000
300000.00000000
PA
USD
341264.62000000
0.036879719114
Long
DBT
CORP
AU
N
2
2029-03-13
Fixed
5.25000000
N
N
N
N
N
N
SHRIRAM TRANSPORT FIN
335800TM2YO24B76XL26
Shriram Transport Finance Co Ltd
000000000
200000.00000000
PA
USD
202600.00000000
0.021894537712
Long
DBT
CORP
IN
N
2
2023-07-16
Fixed
5.10000000
N
N
N
N
N
N
ABN AMRO Bank NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
000000000
100000.00000000
PA
121978.42000000
0.013181940359
Long
DBT
CORP
NL
N
2
2024-01-15
Fixed
0.88000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
401000.00000000
PA
USD
388067.75000000
0.041937630737
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
OQ SAOC
549300YK417GKI6EQ392
OQ SAOC
67624L2A5
844000.00000000
PA
USD
849697.00000000
0.091824891465
Long
DBT
CORP
OM
N
2
2028-05-06
Fixed
5.13000000
N
N
N
N
N
N
AUTOSTRADE PER L'ITALIA
815600149448CEB9B230
Autostrade per l'Italia SpA
000000000
100000.00000000
PA
123377.30000000
0.013333114253
Long
DBT
CORP
IT
N
2
2028-12-04
Fixed
2.00000000
N
N
N
N
N
N
Grupo Aval Ltd
549300J4FW1ELLQ80113
Grupo Aval Ltd
000000000
200000.00000000
PA
USD
205300.00000000
0.022186320791
Long
DBT
CORP
KY
N
2
2022-09-26
Fixed
4.75000000
N
N
N
N
N
N
UNITED AIR 2014-2 B PTT
N/A
United Airlines 2014-2 Class B Pass Through Trust
90932QAB2
9307.96000000
PA
USD
9517.17000000
0.001028499691
Long
DBT
CORP
US
N
2
2022-09-03
Fixed
4.63000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAC6
99000.00000000
PA
USD
113519.70000000
0.012267825038
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.15000000
N
N
N
N
N
N
PUMA INTERNATIONAL FINAN
222100YFBPO7IDRUBR17
Puma International Financing SA
000000000
200000.00000000
PA
USD
201287.50000000
0.021752698715
Long
DBT
CORP
LU
N
2
2026-01-24
Fixed
5.00000000
N
N
N
N
N
N
ELECTRICITE DE FRANCE SA
549300X3UK4GG3FNMO06
Electricite de France SA
000000000
200000.00000000
PA
247525.34000000
0.026749520688
Long
DBT
CORP
FR
N
2
2030-06-15
Fixed
3.38000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
8362.93000000
0.000903763505
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
434000.00000000
AUD
333943.47000000
USD
2021-09-15
8362.93000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ADVANCE AUTO PARTS INC SEP21 210 CALL
000000000
9.00000000
NC
USD
7335.00000000
0.000792677364
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Advance Auto Parts Inc
Advance Auto Parts Inc
100.00000000
210.00000000
USD
2021-09-17
XXXX
250.55000000
N
N
N
CELULOSA ARAUCO CONSTITU
549300QEKV8G0AMNQD28
Celulosa Arauco y Constitucion SA
151191BE2
200000.00000000
PA
USD
217687.50000000
0.023525010751
Long
DBT
CORP
CL
N
2
2029-04-30
Fixed
4.25000000
N
N
N
N
N
N
Oi SA
254900YEMWCRRAGD4978
Oi SA
000000000
1243000.00000000
PA
USD
1274820.80000000
0.137767088264
Long
DBT
CORP
BR
N
2
2025-07-27
Fixed
10.00000000
N
N
Y
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
000000000
1105000.00000000
PA
1334518.75000000
0.144218514808
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
0.63000000
N
N
N
N
N
N
KINGDOM OF MOROCCO
529900F3MBW9XY5K1X07
Morocco Government International Bond
617726AL8
442000.00000000
PA
USD
426530.00000000
0.046094161750
Long
DBT
NUSS
MA
N
2
2032-12-15
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-H4
61691RAK2
400000.00000000
PA
USD
435297.28000000
0.047041622473
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Variable
5.24000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCP5
2349000.00000000
PA
USD
2431215.00000000
0.262736073568
Long
DBT
CORP
MX
N
2
2029-01-23
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q83T0
143741.72000000
PA
USD
155275.87000000
0.016780322761
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
TE Connectivity Ltd
894500ZRIX9K13RHXR17
TE Connectivity Ltd
000000000
2154.00000000
NS
USD
291242.34000000
0.031473921010
Long
EC
CORP
CH
N
1
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
13993.34000000
0.001512229567
N/A
DFE
US
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
19254231052.00000000
IDR
1327786.43000000
USD
2021-08-24
13993.34000000
N
N
N
INTRUM AB
549300UNCO2FCUWXX470
Intrum AB
000000000
100000.00000000
PA
124515.62000000
0.013456129999
Long
DBT
CORP
SE
N
2
2025-08-15
Fixed
4.88000000
N
N
N
N
N
N
SSE PLC
549300KI75VYLLMSK856
SSE PLC
000000000
500000.00000000
PA
708138.92000000
0.076527020186
Long
DBT
CORP
GB
N
2
2077-09-16
Fixed
3.63000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
100000.00000000
PA
116463.19000000
0.012585921547
Long
DBT
CORP
US
N
2
2028-01-26
Fixed
0.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A7UK3
9843.04000000
PA
USD
10592.74000000
0.001144734182
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
BAYER AG
549300J4U55H3WP1XT59
Bayer AG
000000000
600000.00000000
PA
721514.25000000
0.077972462768
Long
DBT
CORP
DE
N
2
2075-04-02
Fixed
2.38000000
N
N
N
N
N
N
ENCORE CAPITAL GROUP INC
5493000UVC6H49CIH830
Encore Capital Group Inc
000000000
100000.00000000
PA
125244.86000000
0.013534937367
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.88000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-BIOA
056057AG7
20000.00000000
PA
USD
20025.56000000
0.002164118354
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
0.94000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132L8EV5
70526.21000000
PA
USD
75153.82000000
0.008121708520
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.161500 18-JUN-2031
000000000
12100000.00000000
OU
Notional Amount
USD
-96170.85000000
-0.01039297286
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-06-18
0.00000000
USD
-112.60000000
USD
12100000.00000000
USD
-96058.25000000
N
N
N
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
PURCHASED USD / SOLD HKD
000000000
1.00000000
NC
30.12000000
0.000003255002
N/A
DFE
US
N
2
Australia and New Zealand Banking Group Limited
JHE42UYNWWTJB8YTTU19
450000.00000000
HKD
57995.98000000
USD
2021-09-15
30.12000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 2.445000 18-MAR-2031
000000000
320000.00000000
OU
Notional Amount
USD
-4696.44000000
-0.00050753397
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-18
6.66000000
USD
0.00000000
USD
320000.00000000
USD
-4703.10000000
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
300000.00000000
PA
USD
216000.00000000
0.023342646327
Long
DBT
CORP
VG
N
2
2025-11-19
Fixed
5.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
28676.42000000
0.003098997824
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
15349978.40000000
ZAR
1102000.00000000
USD
2021-07-14
28676.42000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
SWP: CLP 1.420000 01-APR-2023
000000000
5282574000.00000000
OU
Notional Amount
105698.66000000
0.011422622396
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2023-04-03
0.00000000
CLP
0.00000000
CLP
5282574000.00000000
CLP
105698.66000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
610000.00000000
OU
Notional Amount
USD
-2059.41000000
-0.00022255592
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1320.68000000
USD
610000.00000000
USD
-738.73000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
13010.96000000
0.001406065915
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
19632805.00000000
MXN
991519.75000000
USD
2021-08-24
13010.96000000
N
N
N
United Group BV
213800PC85O8BJ7DU398
United Group BV
000000000
200000.00000000
PA
239699.39000000
0.025903787433
Long
DBT
CORP
NL
N
2
2024-07-01
Fixed
4.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8GB3
80593.14000000
PA
USD
84591.28000000
0.009141594126
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
2.50000000
N
N
N
N
N
N
Grupo Bimbo SAB de CV
5493000RIXURZEBFEV60
Grupo Bimbo SAB de CV
40052VAF1
274000.00000000
PA
USD
287960.30000000
0.031119238144
Long
DBT
CORP
MX
N
2
2023-04-17
Fixed
5.95000000
N
N
N
N
N
N
UNITED AIR 2016-2 AA PTT
N/A
United Airlines 2016-2 Class AA Pass Through Trust
90932EAA1
6519.87000000
PA
USD
6654.89000000
0.000719179368
Long
DBT
CORP
US
N
2
2028-10-07
Fixed
2.88000000
N
N
N
N
N
N
Advance Auto Parts Inc
529900UCNQ5H9FSL0Y70
Advance Auto Parts Inc
00751Y106
2812.00000000
NS
USD
576853.68000000
0.062339312198
Long
EC
CORP
US
N
1
N
N
N
Rotor Acquisition Corp
N/A
Rotor Acquisition Corp
77879W113
22425.00000000
NS
USD
27582.75000000
0.002980807305
N/A
DE
US
N
1
N/A
N/A
Call
Purchased
Rotor Acquisition Corp
Rotor Acquisition Corp
1.00000000
11.50000000
USD
2027-06-15
XXXX
4448.00000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030682
900000.00000000
PA
USD
938689.45000000
0.101442110382
Long
ABS-MBS
USGA
US
N
2
2051-08-19
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
930000.00000000
OU
Notional Amount
USD
-3139.76000000
-0.00033930697
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-669.86000000
USD
930000.00000000
USD
-2469.90000000
N
N
N
Carrier Global Corp
549300JE3W6CWY2NAN77
Carrier Global Corp
14448C104
6685.00000000
NS
USD
324891.00000000
0.035110257907
Long
EC
CORP
US
N
1
N
N
N
XP INC
5493008KDA8NBZRJST80
XP Inc
98379XAA2
1129000.00000000
PA
USD
1117710.00000000
0.120788468641
Long
DBT
CORP
KY
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
Euronext N.V.
724500QJ4QSZ3H9QU415
VINCI SA SEP21 85 PUT
000000000
-31.00000000
NC
-5568.88000000
-0.00060181664
N/A
DE
FR
N
1
Euronext N.V.
724500QJ4QSZ3H9QU415
Put
Written
Vinci SA
Vinci SA
100.00000000
85.00000000
EUR
2021-09-17
XXXX
401.11000000
N
N
N
Devon Energy Corp
54930042348RKR3ZPN35
Devon Energy Corp
25179M103
9382.00000000
NS
USD
273860.58000000
0.029595512323
Long
EC
CORP
US
N
1
N
N
N
BXP Trust
N/A
BXP Trust 2017-CC
05607CAN9
220000.00000000
PA
USD
225405.88000000
0.024359119152
Long
ABS-MBS
CORP
US
N
2
2037-08-13
Variable
3.67000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAZ8
144000.00000000
PA
USD
171465.57000000
0.018529908138
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.50000000
N
N
N
N
N
N
NATL GRID ELECT TRANS
5XJXCCYG4SDKFJ5WLB02
National Grid Electricity Transmission PLC
000000000
100000.00000000
PA
119370.65000000
0.012900124374
Long
DBT
CORP
GB
N
2
2025-01-20
Fixed
0.19000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GRX74
57689.45000000
PA
USD
62822.29000000
0.006789067115
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.00000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300P0MOXZPIM3AS61
Neuberger Berman Loan Advisers CLO 26 Ltd
64131QAA8
550000.00000000
PA
USD
550013.92000000
0.059438798193
Long
ABS-CBDO
CORP
KY
N
2
2030-10-18
Floating
1.36000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GNNQ2
58555.67000000
PA
USD
63452.40000000
0.006857161721
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.00000000
N
N
N
N
N
N
ZHONGAN ONLINE P&C INSUR
5299006845ISFI2WAI41
ZhongAn Online P&C Insurance Co Ltd
000000000
200000.00000000
PA
USD
201662.50000000
0.021793224143
Long
DBT
CORP
CN
N
2
2026-03-08
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JNVH7
4589.85000000
PA
USD
5011.15000000
0.000541543991
Long
ABS-MBS
USGSE
US
N
2
2043-09-01
Fixed
4.50000000
N
N
N
N
N
N
VMED O2 UK FINAN
213800MRR46ECNGZ7L69
Vmed O2 UK Financing I PLC
000000000
100000.00000000
PA
138861.18000000
0.015006423209
Long
DBT
CORP
GB
N
2
2031-07-15
Fixed
4.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES MSCI EMERGING MARKETS JUL21 57 CALL
000000000
384.00000000
NC
USD
3840.00000000
0.000414980379
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
iShares MSCI Emerging Markets ETF
iShares MSCI Emerging Markets ETF
100.00000000
57.00000000
USD
2021-07-16
XXXX
-26436.12000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SALESFORCE.COM INC AUG21 220 PUT
000000000
-14.00000000
NC
USD
-2632.00000000
-0.00028443446
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
salesforce.com Inc
salesforce.com Inc
100.00000000
220.00000000
USD
2021-08-20
XXXX
2329.18000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3622A24Y5
16388.18000000
PA
USD
17155.00000000
0.001853903230
Long
ABS-MBS
USGA
US
N
2
2045-02-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030674
3805995.00000000
PA
USD
3971094.91000000
0.429147518595
Long
ABS-MBS
USGA
US
N
2
2051-07-21
Fixed
3.00000000
N
N
N
N
N
N
SPDR S&P Oil & Gas Exploration & Production ETF
5493001H1FSSB667C124
SPDR S&P Oil & Gas Exploration & Production ETF
78468R556
1050.00000000
NS
USD
101524.50000000
0.010971530079
Long
EC
RF
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGJ99
829179.42000000
PA
USD
874801.03000000
0.094537828935
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
2.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DEVON ENERGY CORP JAN22 28 CALL
000000000
168.00000000
NC
USD
75180.00000000
0.008124537735
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Devon Energy Corp
Devon Energy Corp
100.00000000
28.00000000
USD
2022-01-21
XXXX
3891.96000000
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
05946KAF8
200000.00000000
PA
USD
216000.00000000
0.023342646327
Long
DBT
CORP
ES
N
2
2027-11-16
Fixed
6.13000000
N
N
N
N
N
N
CBB INTL SUKUK PRGM SPC
5493006IRJ2IWXTNIM16
CBB International Sukuk Programme Co WLL
05675M2B9
400000.00000000
PA
USD
436200.00000000
0.047139177444
Long
DBT
CORP
BH
N
2
2024-11-14
Fixed
6.25000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-21810.14000000
-0.00235697400
N/A
DFE
CN
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2165464.05000000
USD
13912890.00000000
CNY
2021-08-24
-21810.14000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/CDS: (CMBX.NA.9.A)
000000000
88515.00000000
OU
Notional Amount
USD
200.59000000
0.000021677321
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Markit CMBX.NA.A.9
137BEOAI5
Y
sell protection
2058-09-18
0.00000000
USD
-1668.14000000
USD
88515.00000000
USD
1868.73000000
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAK6
102000.00000000
PA
USD
114945.93000000
0.012421954586
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.80000000
N
N
N
N
N
N
Cordatus CLO PLC
2138005AFEIY5AMT4165
CVC Cordatus Loan Fund IV DAC
000000000
100000.00000000
PA
118091.25000000
0.012761862421
Long
ABS-CBDO
CORP
IE
N
2
2034-02-22
Floating
1.30000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
12064.42000000
0.001303775412
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
548000.00000000
USD
2785648.40000000
BRL
2021-07-02
12064.42000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-44181.28000000
-0.00477457404
N/A
DFE
NO
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1297161.16000000
USD
10785000.00000000
NOK
2021-09-15
-44181.28000000
N
N
N
Select Medical Corporation
549300X05KS0JKR8CB50
Select Medical Corporation 2017 Term Loan B
816194AV6
850000.00000000
PA
USD
840973.00000000
0.090882107916
Long
LON
CORP
US
N
2
2025-03-06
Floating
2.36000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-379.62000000
-0.00004102470
N/A
DFE
IN
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
23038.85000000
USD
1700000.00000000
INR
2021-09-15
-379.62000000
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
9324.51000000
0.001007679347
N/A
DFE
MX
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
826000.00000000
USD
16676114.00000000
MXN
2021-07-14
9324.51000000
N
N
N
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-496.36000000
-0.00005364053
N/A
DFE
ID
N
2
Standard Chartered Bank
RILFO74KP1CM8P6PCT96
22954.72000000
USD
330020000.00000000
IDR
2021-09-15
-496.36000000
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FSWP: KRW 1.665000 21-SEP-2023
000000000
3915625000.00000000
OU
Notional Amount
-300.14000000
-0.00003243547
N/A
DIR
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
N/A
N/A
Y
2023-09-21
0.00000000
KRW
0.00000000
KRW
3915625000.00000000
KRW
-300.14000000
N
N
N
MEDCO OAK TREE PTE LTD
254900AU06KP3JTGZL51
Medco Oak Tree Pte Ltd
000000000
200000.00000000
PA
USD
217787.50000000
0.023535817532
Long
DBT
CORP
SG
N
2
2026-05-14
Fixed
7.38000000
N
N
N
N
N
N
AUTOSTRADE PER L'ITALIA
815600149448CEB9B230
Autostrade per l'Italia SpA
000000000
100000.00000000
PA
122428.70000000
0.013230601131
Long
DBT
CORP
IT
N
2
2030-01-15
Fixed
2.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-12494.64000000
-0.00135026834
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
5081940.00000000
BRL
1000000.00000000
USD
2021-09-15
-12494.64000000
N
N
N
ALLIANZ FINANCE II B.V.
529900C9NVPTCPDI1D65
Allianz Finance II BV
000000000
100000.00000000
PA
121503.82000000
0.013130651378
Long
DBT
CORP
NL
N
2
2022-02-14
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BLACKROCK FXVAN PUT USD RUB 72.2000000
000000000
-3234000.00000000
OU
Notional Amount
USD
-8369.59000000
-0.00090448323
N/A
DFE
US
N
2
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
BANK OF AMERICA NA
B4TYDEB6GKMZO031MB27
FX Contract
N/A
1.00000000
NC
USD
-8369.59000000
0.00000000
DFE
RU
-3234000.00000000
USD
-233494800.00000000
RUB
2021-07-16
1.00000000
72.20000000
USD
2021-07-16
XXXX
13650.72000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS: (CMBX.NA.9.BBB-)
000000000
70000.00000000
OU
Notional Amount
USD
-5408.69000000
-0.00058450526
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Markit CMBX.NA.BBB-.9
137BERAI8
Y
sell protection
2058-09-18
0.00000000
USD
-349.88000000
USD
70000.00000000
USD
-5058.81000000
N
N
N
Atrium Hotel Portfolio Trust
N/A
Atrium Hotel Portfolio Trust 2017-ATRM
04965JAJ2
150000.00000000
PA
USD
143315.30000000
0.015487770190
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
3.12000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83E5
94358.95000000
PA
USD
102453.57000000
0.011071932636
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
Apidos CLO
549300M5NMLBQJXUO195
Apidos CLO XII
03764DAH4
500000.00000000
PA
USD
500025.40000000
0.054036648457
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.26000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-DC2 Mortgage Trust
12594CBK5
100000.00000000
PA
USD
107005.43000000
0.011563842164
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Variable
4.83000000
N
N
N
N
N
N
SELP FINANCE SARL
549300Y4VYEJE1MH6D45
SELP Finance Sarl
000000000
100000.00000000
PA
118776.59000000
0.012835925612
Long
DBT
LU
N
2
2029-05-27
Fixed
0.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK FXVAN CALL USD MXN 20.5500000
000000000
9000000.00000000
OU
Notional Amount
USD
18477.00000000
0.001996768871
N/A
DFE
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
18477.00000000
0.00000000
DFE
US
184950000.00000000
MXN
9000000.00000000
USD
2021-07-15
1.00000000
20.55000000
USD
2021-07-15
XXXX
-71370.00000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PED6
992000.00000000
PA
USD
1012336.00000000
0.109400931539
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BAR0
900000.00000000
PA
USD
901706.76000000
0.097445472174
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
3.07000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
BLACKROCK FXVAN PUT USD IDR 14450.000000
000000000
2683000.00000000
OU
Notional Amount
USD
794.17000000
0.000085824210
N/A
DFE
US
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Purchased
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
794.17000000
0.00000000
DFE
US
38769350000.00000000
IDR
2683000.00000000
USD
2021-07-02
1.00000000
14450.00000000
USD
2021-07-02
XXXX
-25332.88000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
312942H40
6923.87000000
PA
USD
7616.90000000
0.000823141679
Long
ABS-MBS
USGSE
US
N
2
2040-09-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SB89
205319.52000000
PA
USD
218833.86000000
0.023648895363
Long
ABS-MBS
USGA
US
N
2
2046-05-20
Fixed
3.50000000
N
N
N
N
N
N
AIRBUS SE
MINO79WLOO247M1IL051
Airbus SE
000000000
100000.00000000
PA
137031.93000000
0.014808740173
Long
DBT
CORP
NL
N
2
2032-04-07
Fixed
2.38000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
549000.00000000
PA
USD
602630.44000000
0.065124950125
Long
DBT
NUSS
EG
N
2
2029-03-01
Fixed
7.60000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CH7
493000.00000000
PA
USD
578558.92000000
0.062523593745
Long
DBT
NUSS
ID
N
2
2029-02-11
Fixed
4.75000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
000000000
350000.00000000
PA
416192.62000000
0.044977023762
Long
DBT
CORP
US
N
2
2025-03-08
Fixed
0.10000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2019-GC44 Mortgage Trust
12655TAY5
1000000.00000000
PA
USD
974741.30000000
0.105338154752
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Variable
3.51000000
N
N
N
N
N
N
GLP CHINA HOLDINGS LTD
254900C6X2D3TGF2CO98
GLP China Holdings Ltd
000000000
200000.00000000
PA
USD
202352.00000000
0.021867736896
Long
DBT
CORP
HK
N
2
2026-03-29
Fixed
2.95000000
N
N
N
N
N
N
GOL Equity Finance SA
222100H9BH197YU7RY14
GOL Equity Finance SA
36256KAA8
282000.00000000
PA
USD
252566.25000000
0.027294280777
Long
DBT
CORP
LU
N
2
2024-07-15
Fixed
3.75000000
N
N
N
N
Y
Gol Linhas Aereas Inteligentes SA
Gol Linhas Aereas Inteligentes SA
USD
XXXX
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMR56
110591.46000000
PA
USD
120496.13000000
0.013021752529
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JX47
559000.00000000
PA
USD
594915.75000000
0.064291240494
Long
DBT
NUSS
EG
N
2
2024-05-29
Fixed
5.75000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
5061000000.00000000
PA
365613.62000000
0.039511062148
Long
DBT
NUSS
ID
N
2
2025-06-15
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.345000 15-JAN-2025
000000000
270000.00000000
OU
Notional Amount
-1894.40000000
-0.00020472365
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-01-15
0.00000000
GBP
-9.74000000
GBP
270000.00000000
GBP
-1881.71000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020687
1873000.00000000
PA
USD
1887486.49000000
0.203976525850
Long
ABS-MBS
USGSE
US
N
2
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
400000.00000000
PA
466462.72000000
0.050409603230
Long
DBT
CORP
FR
N
2
2030-01-19
Fixed
0.50000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
000000000
228000.00000000
PA
USD
268584.00000000
0.029025283894
Long
DBT
NUSS
SA
N
2
2030-04-17
Fixed
4.50000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
17600000.00000000
PA
835346.64000000
0.090274079529
Long
DBT
CORP
MX
N
2
2024-09-12
Fixed
7.19000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.682000 19-FEB-2026
000000000
12034300.00000000
OU
Notional Amount
USD
97837.32000000
0.010573064622
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-02-19
0.00000000
USD
-102.91000000
USD
12034300.00000000
USD
97940.23000000
N
N
N
BRF GmbH
5299002S6DY5RA2IOQ11
BRF GmbH
05583BAA7
549000.00000000
PA
USD
577582.31000000
0.062418053644
Long
DBT
CORP
AT
N
2
2026-09-29
Fixed
4.35000000
N
N
N
N
N
N
ENI SPA
BUCRF72VH5RBN7X3VL35
Eni SpA
000000000
260000.00000000
PA
309836.51000000
0.033483352186
Long
DBT
CORP
IT
N
2
2030-02-11
Fixed
2.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
829.93000000
0.000089688715
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
25070.47000000
USD
130000.00000000
BRL
2021-09-15
829.93000000
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
000000000
200000.00000000
PA
237079.83000000
0.025620697328
Long
DBT
CORP
XX
N
2
2026-08-15
Fixed
2.13000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE SEP21 XEUR 20210908
000000000
119.00000000
NC
93945.05000000
0.010152435538
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-OAT
OATU1 Comdty
2021-09-08
18846531.63000000
EUR
93945.05000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36197MRS9
18955.62000000
PA
USD
21453.32000000
0.002318413246
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.50000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BLACKROCK FXVAN CALL EUR USD 1.2250000
000000000
2664000.00000000
OU
Notional Amount
116.88000000
0.000012630965
N/A
DFE
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Call
Purchased
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
116.88000000
0.00000000
DFE
XX
3263400.00000000
USD
2664000.00000000
EUR
2021-07-16
1.00000000
1.22500000
EUR
2021-07-16
XXXX
-28906.60000000
N
N
N
INFRAESTRUCTURA ENERGETI
715K4H1JYF3O6JOK1411
Infraestructura Energetica Nova SAB de CV
456829AC4
200000.00000000
PA
USD
202750.00000000
0.021910747883
Long
DBT
CORP
MX
N
2
2051-01-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LQ2K9
2252.72000000
PA
USD
2434.53000000
0.000263094318
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Stoneway Capital Corp
549300CV1RKODDF74O91
Stoneway Capital Corp
000000000
553489.37000000
PA
USD
149615.10000000
0.016168575761
Long
DBT
CORP
CA
N
2
2027-03-01
None
0.00000000
Y
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST DEC21 455 CALL
000000000
-56.00000000
NC
USD
-30212.00000000
-0.00326494458
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
455.00000000
USD
2021-12-17
XXXX
-4288.68000000
N
N
N
WHEELOCK MTN BVI LTD
2549008QJTQY2VB3MV48
Wheelock MTN BVI Ltd
000000000
200000.00000000
PA
USD
199287.50000000
0.021536563101
Long
DBT
CORP
VG
N
2
2026-01-25
Fixed
2.38000000
N
N
N
N
N
N
VIRGIN MEDIA VENDOR FIN
635400SSKC2QCGEPIQ43
Virgin Media Vendor Financing Notes III DAC
000000000
100000.00000000
PA
140404.95000000
0.015173255048
Long
DBT
CORP
IE
N
2
2028-07-15
Fixed
4.88000000
N
N
N
N
N
N
CLARIOS GLOBAL LP/US FIN
N/A
Clarios Global LP / Clarios US Finance Co
000000000
200000.00000000
PA
245303.24000000
0.026509383214
Long
DBT
CORP
XX
N
2
2026-05-15
Fixed
4.38000000
N
N
N
N
N
N
Eskom Holdings SOC Ltd
3789001900ED06F65111
Eskom Holdings SOC Ltd
000000000
1110000.00000000
PA
USD
1171605.00000000
0.126612783103
Long
DBT
CORP
ZA
N
2
2025-02-11
Fixed
7.13000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AS0
110000.00000000
PA
USD
114340.62000000
0.012356540062
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
3.47000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRC1
409189.01000000
PA
USD
441834.54000000
0.047748089826
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
UK TSY 4 3/4% 2038
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
30000.00000000
PA
65462.60000000
0.007074399627
Long
DBT
NUSS
GB
N
2
2038-12-07
Fixed
4.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128283R9
324708.00000000
PA
USD
364015.43000000
0.039338349260
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
N
N
N
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
750000.00000000
PA
932835.56000000
0.100809493327
Long
DBT
NUSS
GR
N
2
2052-01-24
Fixed
1.88000000
N
N
N
N
N
N
Latam Finance Ltd
N/A
Latam Finance Ltd
000000000
200000.00000000
PA
USD
186000.00000000
0.020100612115
Long
DBT
CORP
KY
N
2
2024-04-11
None
0.00000000
Y
N
N
N
N
N
LLPL Capital Pte Ltd
254900VXZ8FXTUQNON22
LLPL Capital Pte Ltd
000000000
364800.00000000
PA
USD
424148.40000000
0.045836787460
Long
DBT
CORP
SG
N
2
2039-02-04
Fixed
6.88000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND SEP21 XEUR 20210908
000000000
5.00000000
NC
14319.30000000
0.001547455349
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Buxl (FGBX)
UBU1 Comdty
2021-09-08
1004123.85000000
EUR
14319.30000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMR23
6703.16000000
PA
USD
7255.73000000
0.000784110829
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.444000 11-MAR-2024
000000000
100000000.00000000
OU
Notional Amount
USD
-6869.40000000
-0.00074236099
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-11
0.00000000
USD
-398.15000000
USD
100000000.00000000
USD
-6471.25000000
N
N
N
7-ELEVEN INC
549300K23JPL0SS3LB18
7-Eleven Inc
817826AG5
220000.00000000
PA
USD
205233.42000000
0.022179125637
Long
DBT
CORP
US
N
2
2051-02-10
Fixed
2.80000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BLACKROCK FXVAN PUT USD BRL 5.0800000
000000000
2753000.00000000
OU
Notional Amount
USD
69226.94000000
0.007481203596
N/A
DFE
LU
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Contract
N/A
1.00000000
NC
USD
69226.94000000
0.01000000
DFE
US
13985240.00000000
BRL
2753000.00000000
USD
2021-07-14
1.00000000
5.08000000
USD
2021-07-14
XXXX
25123.88000000
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BLACKROCK FXVAN PUT USD ZAR 13.6000000
000000000
2198000.00000000
OU
Notional Amount
USD
327.50000000
0.000035392206
N/A
DFE
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
Put
Purchased
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
FX Contract
N/A
1.00000000
NC
USD
327.50000000
0.00000000
DFE
US
29892800.00000000
ZAR
2198000.00000000
USD
2021-07-12
1.00000000
13.60000000
USD
2021-07-12
XXXX
-22904.44000000
N
N
N
HELLENIC REPUBLIC
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
8595.00000000
PA
10813.02000000
0.001168539359
Long
DBT
NUSS
GR
N
2
2023-01-30
Fixed
3.50000000
N
N
N
N
N
N
BANCO INTERNAC DEL PERU
5493001TRCGXJLRLHN14
Banco Internacional del Peru SAA Interbank
05968DAC4
241000.00000000
PA
USD
245374.15000000
0.026517046302
Long
DBT
CORP
PE
N
2
2026-10-04
Fixed
3.25000000
N
N
N
N
N
N
IHO Verwaltungs GmbH
529900JL0HDVGZMUJF32
IHO Verwaltungs GmbH
000000000
200000.00000000
PA
240830.59000000
0.026026033736
Long
DBT
CORP
DE
N
2
2025-05-15
Fixed
3.63000000
N
N
N
N
N
N
Inkia Energy Ltd
N/A
Inkia Energy Ltd
45721RAC7
284000.00000000
PA
USD
292484.50000000
0.031608158517
Long
DBT
CORP
BM
N
2
2027-11-09
Fixed
5.88000000
N
N
N
N
N
N
Loanpal Solar Loan Ltd.
N/A
Loanpal Solar Loan 2020-2 Ltd
53948KAA7
112075.20000000
PA
USD
116396.64000000
0.012578729635
Long
ABS-O
CORP
US
N
2
2047-07-20
Fixed
2.75000000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087D35
210000.00000000
PA
203310.02000000
0.021971268017
Long
DBT
NUSS
CA
N
2
2048-12-01
Fixed
2.75000000
N
N
N
N
N
N
ALM Loan Funding
N/A
ALM 2020 Ltd
00166FAG1
250000.00000000
PA
USD
250103.95000000
0.027028185416
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
2.03000000
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER Group SA
000000000
100000.00000000
PA
122326.49000000
0.013219555521
Long
DBT
CORP
LU
N
2
2025-08-05
Fixed
3.25000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
930000.00000000
OU
Notional Amount
USD
-3139.76000000
-0.00033930697
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-2683.53000000
USD
930000.00000000
USD
-456.23000000
N
N
N
UK TSY 3 1/4% 2044
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
165000.00000000
PA
319403.24000000
0.034517207718
Long
DBT
NUSS
GB
N
2
2044-01-22
Fixed
3.25000000
N
N
N
N
N
N
CITIC Ltd
2549006I3Q3M98KHOT11
CITIC Ltd
000000000
200000.00000000
PA
USD
216600.00000000
0.023407487011
Long
DBT
CORP
HK
N
2
2027-02-28
Fixed
3.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: ZAR 5.840000 16-JUN-2026
000000000
26936952.00000000
OU
Notional Amount
8827.23000000
0.000953939388
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-06-17
0.00000000
ZAR
-248.66000000
ZAR
26936952.00000000
ZAR
8845.08000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
MICROSOFT CORP SEP21 225 PUT
000000000
-21.00000000
NC
USD
-2866.50000000
-0.00030977636
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Microsoft Corp
Microsoft Corp
100.00000000
225.00000000
USD
2021-09-17
XXXX
10398.41000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
3112000.00000000
PA
USD
3705808.50000000
0.400478598021
Long
DBT
NUSS
UA
N
2
2028-11-01
Fixed
9.75000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SWP: OIS 7.207800 02-JAN-2024
000000000
46328838.00000000
OU
Notional Amount
-75517.92000000
-0.00816105600
N/A
DIR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
N/A
N/A
Y
2024-01-02
0.00000000
BRL
0.00000000
BRL
46328838.00000000
BRL
-75517.92000000
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BU2
618000.00000000
PA
USD
630785.42000000
0.068167597071
Long
DBT
CORP
US
N
2
2031-05-24
Fixed
2.75000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SPDR S+P 500 ETF TRUST JUL21 390 PUT
000000000
-158.00000000
NC
USD
-237.00000000
-0.00002561207
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
SPDR S&P 500 ETF Trust
SPDR S&P 500 ETF Trust
100.00000000
390.00000000
USD
2021-07-02
XXXX
42765.66000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE21 Mortgage Trust
12592RBF5
342640.91000000
PA
USD
364730.73000000
0.039415650162
Long
ABS-MBS
CORP
US
N
2
2047-12-10
Fixed
3.53000000
N
N
N
N
N
N
TOTALENERGIES CAPITAL
549300U37G2I8G4RUG09
TotalEnergies Capital International SA
000000000
100000.00000000
PA
119933.17000000
0.012960914677
Long
DBT
CORP
FR
N
2
2023-07-12
Fixed
0.25000000
N
N
N
N
N
N
BANK LEUMI LE-ISRAEL
7JDSZWRGUQY2DSTWCR57
Bank Leumi Le-Israel BM
000000000
569000.00000000
PA
USD
583708.65000000
0.063080113774
Long
DBT
CORP
IL
N
2
2031-01-29
Fixed
3.28000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
RRP PETROLEOS M RRP BNPNR OPEN
000000000
-180617.35000000
PA
USD
-180617.35000000
-0.01951892093
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.55000000
2049-12-31
180617.35000000
USD
180691.85000000
USD
CDS
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
000000000
185000.00000000
PA
264918.54000000
0.028629165670
Long
DBT
CORP
US
N
2
2025-07-28
Fixed
2.00000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833EF3
739000.00000000
PA
USD
722427.95000000
0.078071204323
Long
DBT
CORP
US
N
2
2051-02-08
Fixed
2.65000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5443.41000000
0.000588257381
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
309100.00000000
EUR
372516.66000000
USD
2021-09-15
5443.41000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NOK 0.495000 07-DEC-2022
000000000
32686920.00000000
OU
Notional Amount
-20881.56000000
-0.00225662439
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-12-07
563.85000000
NOK
0.00000000
NOK
32686920.00000000
NOK
-20945.62000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 3YR BOND FUT SEP21 XSFE 20210915
000000000
82.00000000
NC
-12137.66000000
-0.00131169029
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
3 Year Commonwealth Treasury Bond
YMU1 Comdty
2021-09-15
9568120.26000000
AUD
-12137.66000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ENERGY SELECT SECTOR SPDR FUND AUG21 65 CALL
000000000
-673.00000000
NC
USD
-16152.00000000
-0.00174551121
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
Energy Select Sector SPDR Fund
Energy Select Sector SPDR Fund
100.00000000
65.00000000
USD
2021-08-20
XXXX
10889.28000000
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-34904.28000000
-0.00377202899
N/A
DFE
CN
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
3550000.00000000
USD
22849255.50000000
CNY
2021-09-15
-34904.28000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
200000.00000000
PA
USD
292600.00000000
0.031620640349
Long
DBT
NUSS
QA
N
2
2040-01-20
Fixed
6.40000000
N
N
N
N
N
N
EASY TACTIC LTD
549300WYFMC41MKE6E16
Easy Tactic Ltd
000000000
200000.00000000
PA
USD
195975.00000000
0.021178588490
Long
DBT
CORP
VG
N
2
2023-08-02
Fixed
11.75000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
000000000
100000.00000000
PA
165444.06000000
0.017879176757
Long
DBT
CORP
US
N
2
2029-09-14
Fixed
4.38000000
N
N
N
N
N
N
UNITED AIR 2015-1 AA PTT
N/A
United Airlines 2015-1 Class AA Pass Through Trust
90932LAA5
758.24000000
PA
USD
800.85000000
0.000086546103
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.45000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/SCDS: (MEX)
000000000
540000.00000000
OU
Notional Amount
USD
-1823.09000000
-0.00019701733
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1429.64000000
USD
540000.00000000
USD
-393.45000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS7
36254CAE0
180000.00000000
PA
USD
161229.64000000
0.017423733629
Long
ABS-MBS
CORP
US
N
2
2050-08-10
Fixed
3.00000000
N
N
N
N
N
N
Westpac Banking Corporation
EN5TNI6CI43VEPAMHL14
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
40275.09000000
0.004352440655
N/A
DFE
US
N
2
Westpac Banking Corporation
EN5TNI6CI43VEPAMHL14
1290000.00000000
EUR
1572221.04000000
USD
2021-09-15
40275.09000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.397750 08-MAR-2024
000000000
92780000.00000000
OU
Notional Amount
USD
114207.76000000
0.012342182173
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-08
0.00000000
USD
-367.84000000
USD
92780000.00000000
USD
114575.60000000
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
000000000
220000.00000000
PA
USD
235400.00000000
0.025439161784
Long
DBT
CORP
BR
N
2
2024-03-20
Fixed
4.75000000
N
N
N
N
N
N
GS Mortgage Securities Trust
54930070360RBP384M53
GS Mortgage Securities Trust 2015-GC34
36250VAJ1
1100000.00000000
PA
USD
1201539.02000000
0.129847687001
Long
ABS-MBS
CORP
US
N
2
2048-10-10
Variable
4.47000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK FXVAN PUT EUR USD 1.1850000
000000000
29060312.00000000
OU
Notional Amount
201511.95000000
0.021776954535
N/A
DFE
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
201511.95000000
0.02000000
DFE
XX
34436469.72000000
USD
29060312.00000000
EUR
2021-07-30
1.00000000
1.18500000
EUR
2021-07-30
XXXX
37352.46000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
231000.00000000
PA
USD
251977.69000000
0.027230676389
Long
DBT
NUSS
UA
N
2
2024-09-01
Fixed
7.75000000
N
N
N
N
N
N
Shopify Inc
549300HGQ43STJLLP808
Shopify Inc
82509L107
425.00000000
NS
USD
620916.50000000
0.067101084529
Long
EC
CORP
CA
N
1
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
50083.42000000
0.005412405370
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
15015226.60000000
ZAR
1100000.00000000
USD
2021-07-14
50083.42000000
N
N
N
LIQUID TELECOM FINANCE
635400MXAVJRJJCWVI87
Liquid Telecommunications Financing Plc
536333AB3
1376000.00000000
PA
USD
1403090.00000000
0.151628859423
Long
DBT
CORP
GB
N
2
2026-09-04
Fixed
5.50000000
N
N
N
N
N
N
ITAU UNIBANCO HLDG SA/KY
5493002W2IVG62O3ZJ94
Itau Unibanco Holding SA/Cayman Island
46556JAA7
1192000.00000000
PA
USD
1217151.20000000
0.131534861058
Long
DBT
CORP
BR
N
2
2023-01-24
Fixed
2.90000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAY7
304000.00000000
PA
USD
308104.00000000
0.033296123629
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
2.45000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
L BRANDS INC AUG21 80 CALL
000000000
81.00000000
NC
USD
19116.00000000
0.002065824199
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
L Brands Inc
L Brands Inc
100.00000000
80.00000000
USD
2021-08-20
XXXX
-9365.16000000
N
N
N
HOLCIM FINANCE LUX SA
529900XU3Z9D2HLBR716
Holcim Finance Luxembourg SA
000000000
240000.00000000
PA
281541.29000000
0.030425549810
Long
DBT
CORP
LU
N
2
2027-07-19
Fixed
0.13000000
N
N
N
N
N
N
Pinewood Finance Co Ltd
N/A
Pinewood Finance Co Ltd
000000000
200000.00000000
PA
281124.73000000
0.030380533084
Long
DBT
CORP
GB
N
2
2025-09-30
Fixed
3.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP
46651MAQ9
1250000.00000000
PA
USD
1235738.75000000
0.133543576825
Long
ABS-MBS
CORP
US
N
2
2036-07-15
Floating
3.07000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DEV0
453603.07000000
PA
USD
488576.00000000
0.052799336907
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
Park Avenue Institutional Advisers CLO
549300ZWX1MRCB6KO574
Park Avenue Institutional Advisers CLO Ltd 2017-1
70018FAE9
250000.00000000
PA
USD
243656.05000000
0.026331375003
Long
ABS-CBDO
CORP
KY
N
2
2034-02-14
Floating
6.96000000
N
N
N
N
N
N
Signal Peak CLO, LLC
N/A
Mariner CLO 2016-3 LLC
56845AAY4
250000.00000000
PA
USD
250125.00000000
0.027030460243
Long
ABS-CBDO
CORP
KY
N
3
2029-07-23
Floating
2.22000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
BLACKROCK FXVAN PUT USD ZAR 13.7500000
000000000
20000000.00000000
OU
Notional Amount
USD
95660.00000000
0.010337766424
N/A
DFE
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
FX Contract
N/A
1.00000000
NC
USD
95660.00000000
0.01000000
DFE
US
275000000.00000000
ZAR
20000000.00000000
USD
2021-08-26
1.00000000
13.75000000
USD
2021-08-26
XXXX
-272800.00000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BKV7
27979.10000000
PA
USD
30698.11000000
0.003317477428
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
VEDANTA RESOURCES
8945002DGA3BBXO3N634
Vedanta Resources Finance II PLC
92243XAE1
1450000.00000000
PA
USD
1421000.00000000
0.153564353848
Long
DBT
CORP
GB
N
2
2025-03-11
Fixed
8.95000000
N
N
N
N
N
N
COMMERZBANK AG
851WYGNLUQLFZBSYGB56
Commerzbank AG
000000000
200000.00000000
PA
261433.24000000
0.028252516942
Long
DBT
CORP
DE
N
2
2025-10-09
Fixed
6.13000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BV5
170000.00000000
PA
USD
168141.32000000
0.018170663730
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.70000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AN0
96000.00000000
PA
USD
117200.97000000
0.012665651814
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAE0
200000.00000000
PA
USD
218412.50000000
0.023603359911
Long
DBT
NUSS
MX
N
2
2028-01-11
Fixed
3.75000000
N
N
N
N
N
N
Latam Finance Ltd
N/A
Latam Finance Ltd
51818KAB6
200000.00000000
PA
USD
186000.00000000
0.020100612115
Long
DBT
CORP
KY
N
2
2024-04-11
None
0.00000000
Y
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
100000.00000000
PA
USD
109893.75000000
0.011875976573
Long
DBT
NUSS
UA
N
2
2027-09-01
Fixed
7.75000000
N
N
N
N
N
N
REPUBLIC OF VENEZUELA
529900XM8PJTJK5OJI77
Venezuela Government International Bond
000000000
3000.00000000
PA
USD
3000.00000000
0.000324203421
Long
DBT
CORP
VE
N
2
2020-04-15
Fixed
1.00000000
N
N
N
N
N
N
ADANI ELECTRICITY MUMBAI
335800AIC1B5EBFVUC38
Adani Electricity Mumbai Ltd
000000000
400000.00000000
PA
USD
400825.00000000
0.043316278769
Long
DBT
CORP
IN
N
2
2030-02-12
Fixed
3.95000000
N
N
N
N
N
N
iShares MSCI Japan ETF
5493008I6YRUC6I0S051
iShares MSCI Japan ETF
46434G822
4915.00000000
NS
USD
331959.10000000
0.035874091974
Long
EC
RF
US
N
1
N
N
N
INFORMA PLC
5493006VM2LKUPSEDU20
Informa PLC
000000000
125000.00000000
PA
150843.72000000
0.016301350030
Long
DBT
CORP
GB
N
2
2028-04-22
Fixed
1.25000000
N
N
N
N
N
N
SES SA
5493008JPA4HYMH1HX51
SES SA
000000000
200000.00000000
PA
258789.97000000
0.027966864549
Long
DBT
CORP
LU
N
2
2024-01-29
Fixed
5.63000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KL4
100000.00000000
PA
USD
100640.78000000
0.010876028396
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.95000000
N
N
N
N
N
N
FERROVIAL NL BV
72450048UYBX1IY3XM22
Ferrovial Netherlands BV
000000000
200000.00000000
PA
236475.10000000
0.025555345483
Long
DBT
CORP
NL
N
2
2023-02-14
Fixed
2.12000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A7JB6
4562.42000000
PA
USD
4910.17000000
0.000530631304
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
000000000
260000.00000000
PA
306867.63000000
0.033162511835
Long
DBT
CORP
US
N
2
2026-08-03
Fixed
0.13000000
N
N
N
N
N
N
INDUSTRIAS PENOLES SAB D
549300WA2HB7776CB324
Industrias Penoles SAB de CV
456472AD1
200000.00000000
PA
USD
215725.00000000
0.023312927680
Long
DBT
CORP
MX
N
2
2050-08-06
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5XZ7
8812.87000000
PA
USD
9224.80000000
0.000996903906
Long
ABS-MBS
USGSE
US
N
2
2031-03-01
Fixed
2.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
RALPH LAUREN CORP JUL21 145 CALL
000000000
24.00000000
NC
USD
360.00000000
0.000038904410
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Ralph Lauren Corp
Ralph Lauren Corp
100.00000000
145.00000000
USD
2021-07-16
XXXX
-13208.73000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMC3
833000.00000000
PA
USD
836890.56000000
0.090440927577
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMQ73
52124.85000000
PA
USD
57232.13000000
0.006184950783
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
RRAM
549300YH0VOGWM5JZF65
RR 3 Ltd
74988LAC8
1125000.00000000
PA
USD
1114481.36000000
0.120439556597
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
1.58000000
N
N
N
N
N
N
AXALTA COATING
5493007DMEBZH3CQ5E51
Axalta Coating Systems Dutch Holding B BV
000000000
100000.00000000
PA
120602.65000000
0.013033263912
Long
DBT
CORP
NL
N
2
2025-01-15
Fixed
3.75000000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AW5
124000.00000000
PA
USD
115392.91000000
0.012470258735
Long
DBT
CORP
US
N
2
2050-09-04
Fixed
2.63000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
SWAP/CDSWAP/SCDS: (COLOM)
000000000
740000.00000000
OU
Notional Amount
USD
12558.00000000
0.001357115521
N/A
DCR
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Colombia Government International Bond
Colombia Government International Bond
Y
buy protection
2026-06-23
12643.15000000
USD
0.00000000
USD
740000.00000000
USD
-85.15000000
N
N
N
MEGLOBAL CANADA ULC
635400MHHHT7LMKMQL03
MEGlobal Canada ULC
000000000
200000.00000000
PA
USD
246100.00000000
0.026595487320
Long
DBT
CORP
CA
N
2
2030-05-18
Fixed
5.88000000
N
N
N
N
N
N
MEGLOBAL CANADA ULC
635400MHHHT7LMKMQL03
MEGlobal Canada ULC
58518N2B7
520000.00000000
PA
USD
583050.00000000
0.063008934912
Long
DBT
CORP
CA
N
2
2025-05-18
Fixed
5.00000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBU3
183000.00000000
PA
USD
213745.01000000
0.023098954503
Long
DBT
CORP
GB
N
2
2050-09-17
Fixed
4.25000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
702000.00000000
PA
USD
742057.88000000
0.080192567811
Long
DBT
NUSS
EG
N
2
2032-05-29
Fixed
7.63000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAT7
324000.00000000
PA
USD
441056.00000000
0.047663954715
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
5.95000000
N
N
N
N
N
N
Genneia SA
529900YZ70LX0XWS9P67
Genneia SA
372319AA1
200000.00000000
PA
USD
193600.00000000
0.020921927449
Long
DBT
CORP
AR
N
2
2022-01-20
Fixed
8.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
930000.00000000
OU
Notional Amount
USD
-3139.76000000
-0.00033930697
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
0.00000000
USD
930000.00000000
USD
-3139.76000000
N
N
N
BB TREAS NOTE 0.02 BB TREASURY NOTE
N/A
BB TREAS NOTE 0.02 BB TREASURY NOTE
000000000
1747950.00000000
PA
USD
1747950.00000000
0.188897123370
Long
STIV
CORP
US
N
2
2021-07-01
Fixed
0.02000000
N
N
N
N
N
N
Diamondback Energy Inc
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278X109
1078.00000000
NS
USD
101213.42000000
0.010937912345
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-13758.14000000
-0.00148681201
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
826000.00000000
USD
1006864.76000000
CAD
2021-07-14
-13758.14000000
N
N
N
ATENTO LUXCO 1 SA
549300MLFF3HYCZQTC48
Atento Luxco 1 SA
04684LAC2
455000.00000000
PA
USD
494186.88000000
0.053405692404
Long
DBT
CORP
LU
N
2
2026-02-10
Fixed
8.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.200000 22-DEC-2050
000000000
7691201.00000000
OU
Notional Amount
USD
-1099135.32000000
-0.11878114370
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-12-22
218.52000000
USD
0.00000000
USD
7691201.00000000
USD
-1099353.84000000
N
N
N
DEUTSCHE TELEKOM INT FIN
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
000000000
520000.00000000
PA
645982.92000000
0.069809957569
Long
DBT
CORP
NL
N
2
2022-07-13
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KJVE9
164583.81000000
PA
USD
174446.91000000
0.018852095014
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
000000000
510000.00000000
PA
652764.05000000
0.070542779418
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
2.20000000
N
N
N
N
N
N
PERUSAHAAN PENERBIT SBSN
254900G208H6Q0L5B953
Perusahaan Penerbit SBSN Indonesia III
71567RAP1
200000.00000000
PA
USD
204662.50000000
0.022117427564
Long
DBT
NUSS
ID
N
2
2030-06-23
Fixed
2.80000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.810000 23-NOV-2030
000000000
5480659.00000000
OU
Notional Amount
USD
299686.87000000
0.032386502848
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2030-11-25
0.00000000
USD
-110.18000000
USD
5480659.00000000
USD
299797.05000000
N
N
N
Banistmo SA
549300E94AMW3HSSMU17
Banistmo SA
000000000
200000.00000000
PA
USD
203662.50000000
0.022009359757
Long
DBT
CORP
PA
N
2
2022-09-19
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERGZ7
33644.86000000
PA
USD
35804.15000000
0.003869275974
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAY5
65000.00000000
PA
USD
74567.19000000
0.008058312702
Long
DBT
CORP
NL
N
2
2028-01-27
Fixed
6.00000000
N
N
N
N
N
N
PVH Corp
123WALMHY1GZXG2YDL90
PVH Corp
693656100
4586.00000000
NS
USD
493407.74000000
0.053321492453
Long
EC
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.660000 25-SEP-2030
000000000
1243000.00000000
OU
Notional Amount
USD
-80848.07000000
-0.00873707363
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2030-09-25
24.21000000
USD
0.00000000
USD
1243000.00000000
USD
-80872.28000000
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638AU6
350000.00000000
PA
USD
480659.38000000
0.051943805144
Long
DBT
NUSS
PE
N
2
2037-03-14
Fixed
6.55000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBK5
225000.00000000
PA
USD
214818.02000000
0.023214912340
Long
DBT
US
N
2
2051-01-15
Fixed
2.95000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAM2
230000.00000000
PA
USD
224580.63000000
0.024269936194
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CRC0
568031.82000000
PA
USD
600887.68000000
0.064936613873
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2019-PRM
29429JAG5
1000000.00000000
PA
USD
1058021.80000000
0.114338095759
Long
ABS-MBS
CORP
US
N
2
2036-05-10
Fixed
3.90000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2017-PANW Mortgage Trust
12595HAG3
750000.00000000
PA
USD
774022.43000000
0.083646906634
Long
ABS-MBS
CORP
US
N
2
2029-10-10
Variable
4.34000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FMDA1
18830.96000000
PA
USD
19981.26000000
0.002159330950
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
ZF FINANCE GMBH
5493001N9T6QDCCXB426
ZF Finance GmbH
000000000
100000.00000000
PA
123169.79000000
0.013310689102
Long
DBT
CORP
DE
N
2
2027-05-25
Fixed
2.75000000
N
N
N
N
N
N
SRS Distribution Inc.
N/A
SRS Distribution Inc. 2021 Term Loan B
78466YAN8
1367000.00000000
PA
USD
1365482.63000000
0.147564713418
Long
LON
CORP
US
N
2
2028-06-04
None
4.25000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2020-K104 Mortgage Trust
302984AS8
750000.00000000
PA
USD
815761.58000000
0.088157565043
Long
ABS-MBS
USGSE
US
N
2
2052-02-25
Variable
3.66000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7R56
24166.15000000
PA
USD
25717.55000000
0.002779239231
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
000000000
200000.00000000
PA
279407.23000000
0.030194926625
Long
DBT
CORP
FR
N
2
2025-12-05
Fixed
1.25000000
N
N
N
N
N
N
Axtel SAB de CV
549300BVRDR8XTSXAD13
Axtel SAB de CV
05462GAJ3
439000.00000000
PA
USD
457739.81000000
0.049466937475
Long
DBT
CORP
MX
N
2
2024-11-14
Fixed
6.38000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
11337.25000000
0.001225191745
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
548000.00000000
USD
2782031.60000000
BRL
2021-07-02
11337.25000000
N
N
N
UBS Group AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
225000.00000000
PA
USD
247781.25000000
0.026777176320
Long
DBT
CORP
CH
N
2
2024-01-31
Fixed
7.00000000
N
N
N
N
N
N
Nexa Resources SA
549300QRMRHM7GAU7L47
Nexa Resources SA
91832CAA4
400000.00000000
PA
USD
428700.00000000
0.046328668891
Long
DBT
CORP
LU
N
2
2027-05-04
Fixed
5.38000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-5553.35000000
-0.00060013835
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
278691.00000000
USD
230000.00000000
EUR
2021-09-15
-5553.35000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2878.93000000
-0.00031111965
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
109758.88000000
USD
90000.00000000
EUR
2021-09-15
-2878.93000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M8YB3
4231.06000000
PA
USD
4432.92000000
0.000479055943
Long
ABS-MBS
USGSE
US
N
2
2027-09-01
Fixed
2.50000000
N
N
N
N
N
N
Cedar Funding Ltd
549300PTCF9P2JDL1E69
Cedar Funding VIII Clo Ltd
15032EAA7
750000.00000000
PA
USD
750370.43000000
0.081090886861
Long
ABS-CBDO
CORP
KY
N
2
2030-10-17
Floating
1.44000000
N
N
N
N
N
N
TOTALENERGIES SE
529900S21EQ1BO4ESM68
TotalEnergies SE
000000000
260000.00000000
PA
325748.23000000
0.035202896873
Long
DBT
CORP
FR
N
2
2025-02-26
Fixed
2.63000000
N
N
N
N
N
N
Logan CLO I Ltd
N/A
Logan CLO I Ltd
540543AA3
250000.00000000
PA
USD
250025.03000000
0.027019656705
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
1.31000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XCSC0
164838.88000000
PA
USD
182219.60000000
0.019692072577
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.444000 22-MAR-2024
000000000
52000000.00000000
OU
Notional Amount
USD
14574.21000000
0.001575002914
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-03-22
0.00000000
USD
-362.64000000
USD
52000000.00000000
USD
14936.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WFAF3
1327.23000000
PA
USD
1393.44000000
0.000150586005
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
United Overseas Bank Ltd
IO66REGK3RCBAMA8HR66
United Overseas Bank Ltd
000000000
200000.00000000
PA
USD
207100.00000000
0.022380842844
Long
DBT
CORP
SG
N
2
2023-10-19
Fixed
3.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJET1
9309.26000000
PA
USD
9808.77000000
0.001060012263
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
DP World Crescent Ltd
21380096JRTWB8TL9236
DP World Crescent Ltd
000000000
722000.00000000
PA
USD
759137.88000000
0.082038365956
Long
DBT
CORP
KY
N
2
2023-05-31
Fixed
3.91000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: IFS 3.580000 15-DEC-2029
000000000
550000.00000000
OU
Notional Amount
7544.47000000
0.000815314328
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2029-12-17
22.44000000
GBP
0.00000000
GBP
550000.00000000
GBP
7514.87000000
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
39471172.00000000
PA
2521905.22000000
0.272536766767
Long
DBT
NUSS
ZA
N
2
2032-03-31
Fixed
8.25000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
NUCOR CORP OCT21 92.5 PUT
000000000
-29.00000000
NC
USD
-17980.00000000
-0.00194305917
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Nucor Corp
Nucor Corp
100.00000000
92.50000000
USD
2021-10-15
XXXX
-1992.66000000
N
N
N
Ovintiv Inc
N/A
Ovintiv Inc
69047Q102
3012.00000000
NS
USD
94787.64000000
0.010243492392
Long
EC
CORP
US
N
1
N
N
N
PCF GMBH
5299001ZMR76CCHGY076
PCF GmbH
000000000
100000.00000000
PA
119842.58000000
0.012951124814
Long
DBT
CORP
DE
N
2
2026-04-15
Floating
4.75000000
N
N
N
N
N
N
MUTHOOT FINANCE LTD
335800HAMJMBFL4RRF02
Muthoot Finance Ltd
62828M2B6
200000.00000000
PA
USD
205350.00000000
0.022191724182
Long
DBT
CORP
IN
N
2
2023-09-02
Fixed
4.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJ4W5
16193.38000000
PA
USD
17183.07000000
0.001856936693
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.00000000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087ZS6
140000.00000000
PA
150970.96000000
0.016315100578
Long
DBT
NUSS
CA
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
149.39000000
0.000016144249
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
90915.00000000
NOK
10711.71000000
USD
2021-09-15
149.39000000
N
N
N
WESTERN ALLIANCE BK PHOENIX AZ
N/A
WESTERN ALLIANCE BK PHOENIX AZ 12/24 1
95763PEH0
2260000.00000000
PA
USD
2260000.00000000
0.244233243981
Long
ABS-MBS
CORP
US
N
2
2024-12-30
Variable
5.65000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
E-MINI RUSS 2000 SEP21 XCME 20210917
000000000
3.00000000
NC
USD
299.25000000
0.000032339291
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
E-mini Russell 2000 Index
RTYU1 Index
2021-09-17
345870.75000000
USD
299.25000000
N
N
N
BP PLC
213800LH1BZH3DI6G760
BP PLC
055622104
20214.00000000
NS
USD
534053.88000000
0.057714031669
Long
EC
CORP
GB
N
1
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DP4
200000.00000000
PA
USD
186162.50000000
0.020118173133
Long
DBT
NUSS
PE
N
2
2032-12-01
Fixed
1.86000000
N
N
N
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWP: OIS 8.285000 02-JAN-2029
000000000
14456418.00000000
OU
Notional Amount
-41123.39000000
-0.00444411457
N/A
DIR
US
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
N/A
N/A
Y
2029-01-02
0.00000000
BRL
0.00000000
BRL
14456418.00000000
BRL
-41123.39000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: PLN 0.755000 18-JUN-2023
000000000
17730000.00000000
OU
Notional Amount
4414.15000000
0.000477027510
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-06-19
0.00000000
PLN
-77.95000000
PLN
17730000.00000000
PLN
4435.01000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
000000000
135000.00000000
PA
173488.10000000
0.018748478519
Long
DBT
CORP
US
N
2
2026-04-27
Fixed
2.00000000
N
N
N
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-2380.31000000
-0.00025723488
N/A
DFE
US
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
19516440.00000000
CNY
3000000.00000000
USD
2021-09-15
-2380.31000000
N
N
N
ODBRCHT OFFSHRE DRLL FIN
549300L7LF2PIRAWID66
Odebrecht Offshore Drilling Finance Ltd
67576GAD9
96.00000000
PA
USD
22.72000000
0.000002455300
Long
DBT
CORP
KY
N
2
2026-12-01
Fixed
7.72000000
N
N
Y
N
N
N
PETRONAS CAPITAL LTD
549300G7YFX3540OYR85
Petronas Capital Ltd
716743AP4
243000.00000000
PA
USD
265997.52000000
0.028745768672
Long
DBT
CORP
MY
N
2
2030-04-21
Fixed
3.50000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AL3
787000.00000000
PA
USD
867746.20000000
0.093775428928
Long
DBT
CORP
CO
N
2
2026-06-26
Fixed
5.38000000
N
N
N
N
N
N
American Money Management Corporation
549300YZO1X7UK2OVY35
AMMC CLO XII Ltd
00176CAN1
500000.00000000
PA
USD
500186.55000000
0.054054063585
Long
ABS-CBDO
CORP
KY
N
2
2030-11-10
Floating
1.36000000
N
N
N
N
N
N
Financial Select Sector SPDR Fund
549300Y12KQ6ZG08NY28
Financial Select Sector SPDR Fund
81369Y605
4836.00000000
NS
USD
177432.84000000
0.019174777921
Long
EC
RF
US
N
1
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-6694.33000000
-0.00072344156
N/A
DFE
CN
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
658969.67000000
USD
4240000.00000000
CNY
2021-09-15
-6694.33000000
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AV0
93000.00000000
PA
USD
112173.11000000
0.012122302010
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
4.40000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWAPTION MAR23 0.8 CALL
000000000
123604533.00000000
OU
Notional Amount
USD
298105.70000000
0.032215629274
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Call
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
123604533.00000000
OU
Notional Amount
N/A
298105.70000000
0.03000000
DIR
US
N/A
N/A
2024-03-20
0.00000000
N/A
0.00000000
N/A
123604533.00000000
USD
1.00000000
0.80000000
USD
2023-03-16
XXXX
-94956.71000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 5.885000 22-OCT-2030
000000000
100000000.00000000
OU
Notional Amount
379852.86000000
0.041049865589
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2030-10-22
0.00000000
MXN
-1998.96000000
MXN
100000000.00000000
MXN
379946.17000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.597000 01-JUN-2031
000000000
435000.00000000
OU
Notional Amount
USD
-6304.18000000
-0.00068127890
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-06-02
0.00000000
USD
-7.05000000
USD
435000.00000000
USD
-6297.13000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
459.89000000
0.000049699303
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
47000.00000000
EUR
56274.98000000
USD
2021-09-15
459.89000000
N
N
N
VEDANTA RESOURCES
8945002DGA3BBXO3N634
Vedanta Resources Finance II PLC
000000000
200000.00000000
PA
USD
217400.00000000
0.023493941257
Long
DBT
CORP
GB
N
2
2024-01-21
Fixed
13.88000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
20889.31000000
0.002257461922
N/A
DFE
ID
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1143000.00000000
USD
16876395000.00000000
IDR
2021-07-01
20889.31000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAM1
266000.00000000
PA
USD
300287.40000000
0.032451400809
Long
DBT
CORP
NL
N
2
2024-03-17
Fixed
6.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BEU6
50423.97000000
PA
USD
55820.23000000
0.006032369846
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CF1
400000.00000000
PA
USD
451825.00000000
0.048827736929
Long
DBT
NUSS
ID
N
2
2028-04-24
Fixed
4.10000000
N
N
N
N
N
N
ENERGEAN ISRAEL FINANCE
98450044QACBL3F8EB03
Energean Israel Finance Ltd
000000000
258000.00000000
PA
USD
263805.00000000
0.028508827844
Long
DBT
CORP
IL
N
2
2024-03-30
Fixed
4.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
EQT CORP SEP21 17 PUT
000000000
-180.00000000
NC
USD
-6300.00000000
-0.00068082718
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
EQT Corp
EQT Corp
100.00000000
17.00000000
USD
2021-09-17
XXXX
9202.75000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJEN4
21391.37000000
PA
USD
22522.22000000
0.002433926925
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
MAF GLOBAL SECURITIES
54930037VUDNYTS17017
MAF Global Securities Ltd
000000000
202000.00000000
PA
USD
219574.00000000
0.023728880669
Long
DBT
CORP
KY
N
2
2024-05-07
Fixed
4.75000000
N
N
N
N
N
N
INDIA GREEN ENERGY HLDNG
2549005BFUXXT5HWAG36
India Green Energy Holdings
45410FAA3
690000.00000000
PA
USD
722559.38000000
0.078085407675
Long
DBT
CORP
MU
N
2
2024-04-29
Fixed
5.38000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ILLINOIS TOOL WORKS INC SEP21 200 PUT
000000000
-22.00000000
NC
USD
-4455.00000000
-0.00048144208
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Illinois Tool Works Inc
Illinois Tool Works Inc
100.00000000
200.00000000
USD
2021-09-17
XXXX
515.72000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WJTW1
11220.40000000
PA
USD
11912.35000000
0.001287341541
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
610000.00000000
OU
Notional Amount
USD
-2059.41000000
-0.00022255592
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-880.34000000
USD
610000.00000000
USD
-1179.07000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJN0
300000.00000000
PA
USD
327414.10000000
0.035382923791
Long
DBT
CORP
US
N
2
2052-03-13
Fixed
3.48000000
N
N
N
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
000000000
100000.00000000
PA
120211.35000000
0.012990976979
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
3.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.520000 08-JAN-2051
000000000
2119537.00000000
OU
Notional Amount
USD
125747.55000000
0.013589261973
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-01-09
0.00000000
USD
-65.32000000
USD
2119537.00000000
USD
125812.87000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES IBOXX HIGH YIELD CORPO SEP21 81 PUT
000000000
-676.00000000
NC
USD
-16224.00000000
-0.00175329210
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
iShares iBoxx High Yield Corporate Bond ETF
iShares iBoxx High Yield Corporate Bond ETF
100.00000000
81.00000000
USD
2021-09-17
XXXX
11941.19000000
N
N
N
InTown Hotel Portfolio Trust
N/A
InTown Hotel Portfolio Trust 2018-STAY
46117MAQ7
770000.00000000
PA
USD
773191.03000000
0.083557059059
Long
ABS-MBS
CORP
US
N
2
2033-01-15
Floating
3.42000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKLB9
15343.55000000
PA
USD
16207.42000000
0.001751500337
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
Taiwan Semiconductor Manufacturing Co Ltd
549300KB6NK5SBD14S87
Taiwan Semiconductor Manufacturing Co Ltd
874039100
12.00000000
NS
USD
1441.92000000
0.000155825132
Long
EC
CORP
TW
N
1
N
N
N
GOL FINANCE SA
5299007RH8MA67ZC6J07
Gol Finance SA
36254VAC2
227000.00000000
PA
USD
230447.56000000
0.024903962454
Long
DBT
CORP
LU
N
2
2026-06-30
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRL1
299354.73000000
PA
USD
328708.34000000
0.035522789469
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
3.50000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAP8
205000.00000000
PA
USD
245846.25000000
0.026568065114
Long
DBT
CORP
KY
N
2
2026-08-10
Fixed
6.25000000
N
N
N
N
N
N
PT Pertamina (Persero)
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69370RAD9
500000.00000000
PA
USD
534937.50000000
0.057809522545
Long
DBT
CORP
ID
N
2
2029-07-30
Fixed
3.65000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48126PAA0
460000.00000000
PA
USD
476416.25000000
0.051485259390
Long
DBT
CORP
KZ
N
2
2033-04-14
Fixed
3.50000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-845.53000000
-0.00009137457
N/A
DFE
US
N
2
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
10103124.00000000
MXN
502699.21000000
USD
2021-08-24
-845.53000000
N
N
N
VNO Mortgage Trust
N/A
VNDO 2012-6AVE Mortgage Trust
91830CAJ7
1000000.00000000
PA
USD
1024922.70000000
0.110761148606
Long
ABS-MBS
CORP
US
N
2
2030-11-15
Variable
3.45000000
N
N
N
N
N
N
VTR COMUNICACIONES SPA
213800XDZJKMC1AEUV94
VTR Comunicaciones SpA
918367AA1
476000.00000000
PA
USD
495777.80000000
0.053577619640
Long
DBT
CORP
CL
N
2
2028-01-15
Fixed
5.13000000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-BIOD Mortgage Trust
23306GAC1
92813.89000000
PA
USD
93029.87000000
0.010053534043
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
0.96000000
N
N
N
N
N
N
STICHTING AK RABOBANK
DG3RU1DBUFHT4ZF9WN62
Stichting AK Rabobank Certificaten
000000000
85200.00000000
PA
135940.47000000
0.014690788485
Long
DBT
CORP
NL
N
2
2049-12-29
Variable
2.19000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ADVANCE AUTO PARTS INC SEP21 180 PUT
000000000
-9.00000000
NC
USD
-2835.00000000
-0.00030637223
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Advance Auto Parts Inc
Advance Auto Parts Inc
100.00000000
180.00000000
USD
2021-09-17
XXXX
-920.12000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36197MQM3
20059.65000000
PA
USD
22794.76000000
0.002463379725
Long
ABS-MBS
USGA
US
N
2
2047-03-15
Fixed
4.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
470.87000000
0.000050885888
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
193484.83000000
ZAR
14000.00000000
USD
2021-07-14
470.87000000
N
N
N
BRASKEM NETHERLANDS
N/A
Braskem Netherlands Finance BV
10554TAF2
452000.00000000
PA
USD
526382.25000000
0.056884975438
Long
DBT
CORP
NL
N
2
2081-01-23
Fixed
8.50000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
8884.60000000
0.000960139238
N/A
DFE
BR
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
551000.00000000
USD
2784754.00000000
BRL
2021-07-02
8884.60000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
610000.00000000
OU
Notional Amount
USD
-2059.41000000
-0.00022255592
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1320.68000000
USD
610000.00000000
USD
-738.73000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 2.178750 17-JUN-2031
000000000
12100000.00000000
OU
Notional Amount
USD
-105898.26000000
-0.01144419273
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-06-17
0.00000000
USD
-112.60000000
USD
12100000.00000000
USD
-105785.66000000
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16
61763MAF7
375000.00000000
PA
USD
403175.25000000
0.043570265132
Long
ABS-MBS
CORP
US
N
2
2047-06-15
Fixed
3.89000000
N
N
N
N
N
N
ALLIANZ FINANCE II B.V.
529900C9NVPTCPDI1D65
Allianz Finance II BV
000000000
100000.00000000
PA
119267.49000000
0.012888976099
Long
DBT
CORP
NL
N
2
2025-01-14
None
0.00000000
N
N
N
N
N
N
HOPSON DEVELOPMENT HLDGS
549300HYMKPTC1DTZS42
Hopson Development Holdings Ltd
000000000
200000.00000000
PA
USD
197937.50000000
0.021390671562
Long
DBT
CORP
BM
N
2
2024-05-18
Fixed
7.00000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
100000.00000000
PA
121545.08000000
0.013135110255
Long
DBT
CORP
IT
N
2
2024-12-04
Fixed
0.75000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BZ2
317000.00000000
PA
USD
342716.63000000
0.037036634650
Long
DBT
NUSS
BR
N
2
2028-01-13
Fixed
4.63000000
N
N
N
N
N
N
AGL CLO 3 Ltd.
549300LS0REDUXQSHW18
AGL CLO 3 LTD
00119MAA7
250000.00000000
PA
USD
250207.48000000
0.027039373676
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
1.48000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0002000 CALL EUR 20
000000000
-8789346.00000000
OU
Notional Amount
-21790.46000000
-0.00235484722
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
8789346.00000000
OU
Notional Amount
N/A
-21790.46000000
0.00000000
DIR
US
N/A
N/A
2031-08-26
0.00000000
N/A
0.00000000
N/A
8789346.00000000
EUR
1.00000000
0.00020000
EUR
2021-08-24
XXXX
2333.71000000
N
N
N
Genneia SA
529900YZ70LX0XWS9P67
Genneia SA
000000000
744000.00000000
PA
USD
720192.00000000
0.077829570110
Long
DBT
CORP
AR
N
2
2022-01-20
Fixed
8.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NOK 0.470000 24-NOV-2022
000000000
38913000.00000000
OU
Notional Amount
-24368.76000000
-0.00263347845
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-11-24
671.25000000
NOK
0.00000000
NOK
38913000.00000000
NOK
-24443.47000000
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
000000000
165000.00000000
PA
237698.00000000
0.025687501605
Long
DBT
CORP
US
N
2
2033-06-03
Fixed
3.13000000
N
N
N
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
000000000
200000.00000000
PA
243669.75000000
0.026332855532
Long
DBT
CORP
NL
N
2
2023-09-20
Fixed
1.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-36828.09000000
-0.00397993092
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1426267.44000000
USD
1170000.00000000
EUR
2021-09-15
-36828.09000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.630000 26-MAY-2026
000000000
55869000.00000000
OU
Notional Amount
USD
844063.85000000
0.091216129297
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-05-26
0.00000000
USD
-509.93000000
USD
55869000.00000000
USD
844573.78000000
N
N
N
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
SWAPTION NOV21 0.48 PUT
000000000
8655072.00000000
OU
Notional Amount
371174.00000000
0.040111960221
N/A
DIR
DE
N
2
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
Put
Purchased
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
JP MORGAN CHASE BANK
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
8655072.00000000
OU
Notional Amount
N/A
371174.00000000
0.04000000
DIR
US
N/A
N/A
2051-11-18
0.00000000
N/A
0.00000000
N/A
8655072.00000000
EUR
1.00000000
0.48000000
EUR
2021-11-16
XXXX
23596.16000000
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 5 Ltd
67113GAE7
300000.00000000
PA
USD
300448.29000000
0.032468787838
Long
ABS-CBDO
CORP
KY
N
2
2033-04-18
Floating
1.64000000
N
N
N
N
N
N
CHEPLAPHARM ARZNEIMITTEL
529900ONXKBELT7EW052
Cheplapharm Arzneimittel GmbH
000000000
300000.00000000
PA
369509.38000000
0.039932068388
Long
DBT
CORP
DE
N
2
2028-01-15
Fixed
4.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179N2J6
69013.59000000
PA
USD
74115.91000000
0.008009543862
Long
ABS-MBS
USGA
US
N
2
2044-02-20
Fixed
3.50000000
N
N
N
N
N
N
CNTL AMR BOTTLING CORP
549300DT8SH0CF6BTT37
Central American Bottling Corp
15238XAB5
1159000.00000000
PA
USD
1205939.50000000
0.130323237225
Long
DBT
CORP
VG
N
2
2027-01-31
Fixed
5.75000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AY4
265000.00000000
PA
337280.27000000
0.036449139147
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
1.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J57D5
225576.19000000
PA
USD
240929.05000000
0.026036674093
Long
ABS-MBS
USGSE
US
N
2
2032-06-01
Fixed
3.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
45110.54000000
0.004874997133
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
292520000.00000000
RUB
4000000.00000000
USD
2021-09-15
45110.54000000
N
N
N
ARES CLO Ltd
N/A
Ares LV CLO Ltd
04018DAE3
500000.00000000
PA
USD
500000.00000000
0.054033903535
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
0.00000000
N
N
N
N
N
N
TEXAS EASTERN TRANSMISSI
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AC4
20000.00000000
PA
USD
20413.64000000
0.002206057309
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.80000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAD7
565000.00000000
PA
USD
571356.25000000
0.061745216993
Long
DBT
CORP
MA
N
2
2031-06-23
Fixed
3.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 3.535000 15-DEC-2030
000000000
530000.00000000
OU
Notional Amount
-18469.29000000
-0.00199593566
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-12-16
21.62000000
GBP
0.00000000
GBP
530000.00000000
GBP
-18498.46000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
TRANE TECHNOLOGIES PLC AUG21 170 PUT
000000000
-5.00000000
NC
USD
-812.50000000
-0.00008780509
N/A
DE
IE
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Trane Technologies PLC
Trane Technologies PLC
100.00000000
170.00000000
USD
2021-08-20
XXXX
1095.63000000
N
N
N
FHLMC Multifamily Structured Pass Through Certs.
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMUR1
14798841.90000000
PA
USD
777794.57000000
0.084054553531
Long
ABS-MBS
USGSE
US
N
2
2029-05-25
Variable
0.94000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DS4
300000.00000000
PA
USD
301650.00000000
0.032598654003
Long
DBT
NUSS
CL
N
2
2041-05-07
Fixed
3.10000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK FXVAN PUT USD MXN 19.8000000
000000000
5460000.00000000
OU
Notional Amount
USD
5514.60000000
0.000595950728
N/A
DFE
LU
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
5514.60000000
0.00000000
DFE
US
108108000.00000000
MXN
5460000.00000000
USD
2021-07-02
1.00000000
19.80000000
USD
2021-07-02
XXXX
-38078.04000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
16784.03000000
0.001813813315
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
11587183.84000000
ZAR
827000.00000000
USD
2021-07-14
16784.03000000
N
N
N
Signal Parent, Inc
N/A
Signal Parent, Inc Term Loan B
82666KAB4
835000.00000000
PA
USD
819343.75000000
0.088544682300
Long
LON
CORP
US
N
3
2028-04-03
Floating
4.25000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
SALESFORCE.COM INC AUG21 250 CALL
000000000
14.00000000
NC
USD
9415.00000000
0.001017458403
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
salesforce.com Inc
salesforce.com Inc
100.00000000
250.00000000
USD
2021-08-20
XXXX
35.21000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
AMAZON.COM INC SEP21 3000 PUT
000000000
-2.00000000
NC
USD
-7240.00000000
-0.00078241092
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Amazon.com Inc
Amazon.com Inc
100.00000000
3000.00000000
USD
2021-09-17
XXXX
13221.13000000
N
N
N
XHR LP
549300M88BPT83ZL2164
XHR LP
98372MAC9
34000.00000000
PA
USD
35105.00000000
0.003793720367
Long
DBT
US
N
2
2029-06-01
Fixed
4.88000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
BLACKROCK FXVAN PUT USD BRL 4.9900000
000000000
-2696000.00000000
OU
Notional Amount
USD
-27747.23000000
-0.00299858229
N/A
DFE
LU
N
2
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
-27747.23000000
0.00000000
DFE
BR
-2696000.00000000
USD
-13453040.00000000
BRL
2021-07-08
1.00000000
4.99000000
USD
2021-07-08
XXXX
-7656.64000000
N
N
N
DIOCLE SPA
98450058C8B4646FKE32
Diocle Spa
000000000
180000.00000000
PA
213627.11000000
0.023086213308
Long
DBT
CORP
IT
N
2
2026-06-30
Floating
3.88000000
N
N
N
N
N
N
SIEMENS FINANCIERINGSMAT
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
000000000
100000.00000000
PA
119049.31000000
0.012865397865
Long
DBT
CORP
NL
N
2
2026-02-20
None
0.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2020-420K
17328QAG6
360000.00000000
PA
USD
351069.98000000
0.037939362867
Long
ABS-MBS
CORP
US
N
2
2042-11-10
Variable
3.42000000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
Israel Government International Bond
46513JB34
200000.00000000
PA
USD
213875.00000000
0.023113002237
Long
DBT
NUSS
IL
N
2
2030-07-03
Fixed
2.75000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
220000.00000000
PA
200777.24000000
0.021697556036
Long
DBT
NUSS
AU
N
2
2027-04-21
Fixed
4.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
820000.00000000
OU
Notional Amount
USD
-2768.39000000
-0.00029917383
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1775.73000000
USD
820000.00000000
USD
-992.66000000
N
N
N
TRUST FIBRAUNO
N/A
Trust Fibra Uno
898339AB2
358000.00000000
PA
USD
417249.00000000
0.045091184432
Long
DBT
MX
N
2
2050-01-15
Fixed
6.39000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (COLOM)
000000000
720000.00000000
OU
Notional Amount
USD
12218.60000000
0.001320437307
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Colombia Government International Bond
Colombia Government International Bond
Y
buy protection
2026-06-23
14310.04000000
USD
0.00000000
USD
720000.00000000
USD
-2091.44000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD EUR
000000000
1.00000000
NC
N/A
206155.04000000
0.022278723089
N/A
DFE
JP
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
21166501.00000000
EUR
2813665941.00000000
JPY
2021-09-15
206155.04000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZQ6
1755000.00000000
PA
USD
1640445.11000000
0.177279305658
Long
DBT
UST
US
N
2
2030-05-15
Fixed
0.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAUJ5
269711.55000000
PA
USD
295594.06000000
0.031944201847
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
5.00000000
N
N
N
N
N
N
BANGKOK BANK PCL/HK
549300CCL2BKJGMYXV60
Bangkok Bank PCL/Hong Kong
000000000
200000.00000000
PA
USD
207412.50000000
0.022414614034
Long
DBT
CORP
TH
N
2
2034-09-25
Fixed
3.73000000
N
N
N
N
N
N
AMADEUS IT GROUP SA
9598004A3FTY3TEHHN09
Amadeus IT Group SA
000000000
300000.00000000
PA
400501.57000000
0.043281326398
Long
DBT
CORP
ES
N
2
2027-05-20
Fixed
2.88000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
200000.00000000
PA
238345.43000000
0.025757467945
Long
DBT
CORP
IT
N
2
2028-03-16
Fixed
0.75000000
N
N
N
N
N
N
GEOPARK LTD
529900ZR5QI19AH4KZ07
Geopark Ltd
37255BAB5
455000.00000000
PA
USD
460630.63000000
0.049779342053
Long
DBT
CORP
BM
N
2
2027-01-17
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7LM5
62000.42000000
PA
USD
66599.58000000
0.007197270562
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Chenango Park CLO, Ltd.
N/A
Chenango Park CLO Ltd
16409TAE9
1018000.00000000
PA
USD
1005333.43000000
0.108644179155
Long
ABS-CBDO
CORP
KY
N
2
2030-04-15
Floating
1.73000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES IBOXX HIGH YIELD CORPO SEP21 84 PUT
000000000
676.00000000
NC
USD
25688.00000000
0.002776045828
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Purchased
iShares iBoxx High Yield Corporate Bond ETF
iShares iBoxx High Yield Corporate Bond ETF
100.00000000
84.00000000
USD
2021-09-17
XXXX
-25789.66000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: IFS 2.321000 25-FEB-2031
000000000
375000.00000000
OU
Notional Amount
USD
-10967.12000000
-0.00118519260
N/A
DO
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-25
7.80000000
USD
0.00000000
USD
375000.00000000
USD
-10974.92000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
FSWP: NOK 0.470000 25-NOV-2022
000000000
31130400.00000000
OU
Notional Amount
-19593.99000000
-0.00211747953
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-11-25
537.00000000
NOK
0.00000000
NOK
31130400.00000000
NOK
-19653.62000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAPTION JUL21 2.15 PUT
000000000
-6540000.00000000
OU
Notional Amount
USD
-0.07000000
-0.00000000756
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
6540000.00000000
OU
Notional Amount
N/A
-0.07000000
0.00000000
DIR
US
N/A
N/A
2031-07-12
0.00000000
N/A
0.00000000
N/A
6540000.00000000
USD
1.00000000
2.15000000
USD
2021-07-08
XXXX
28895.75000000
N
N
N
BANCO GNB SUDAMERIS SA
549300SO7QUETMQD9D84
Banco GNB Sudameris SA
059593AE3
187000.00000000
PA
USD
189173.88000000
0.020443606366
Long
DBT
CORP
CO
N
2
2031-04-16
Fixed
7.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2394.63000000
0.000258782412
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
70000.00000000
EUR
85523.48000000
USD
2021-09-15
2394.63000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
10872.03000000
0.001174916440
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
73160000.00000000
RUB
1000000.00000000
USD
2021-09-15
10872.03000000
N
N
N
SCIH Salt Holdings Inc.
N/A
SCIH Salt Holdings Inc. 2021 Incremental Term Loan B
78397GAF8
1613000.00000000
PA
USD
1615693.71000000
0.174604476138
Long
LON
CORP
US
N
2
2027-03-16
Floating
4.75000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
107400000.00000000
PA
16798072.01000000
1.815330805146
Long
DBT
NUSS
CN
N
2
2030-11-19
Fixed
3.27000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.575000 01-FEB-2051
000000000
4957074.00000000
OU
Notional Amount
USD
231729.78000000
0.025042529157
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-02-01
0.00000000
USD
-153.09000000
USD
4957074.00000000
USD
231882.87000000
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
000000000
100000.00000000
PA
125420.59000000
0.013553928122
Long
DBT
CORP
DE
N
2
2028-01-17
Fixed
1.75000000
N
N
N
N
N
N
Flatiron CLO Ltd
N/A
Flatiron CLO 21 Ltd
33883PAC1
250000.00000000
PA
USD
250000.00000000
0.027016951767
Long
ABS-CBDO
CORP
KY
N
3
2034-07-19
Floating
1.24000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJA8
1875000.00000000
PA
USD
2240466.47000000
0.242122298229
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08000000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-5BP Mortgage Trust
33830CAG5
1000000.00000000
PA
USD
996235.50000000
0.107660985811
Long
ABS-MBS
CORP
US
N
2
2033-06-15
Floating
1.57000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724AS1
250000.00000000
PA
USD
273750.00000000
0.029583562185
Long
DBT
NUSS
UA
N
2
2025-09-01
Fixed
7.75000000
N
N
N
N
N
N
SABLE INTL FINANCE LTD
2138009IE9A35LO5JS73
Sable International Finance Ltd
000000000
234000.00000000
PA
USD
246214.80000000
0.026607893504
Long
DBT
CORP
KY
N
2
2027-09-07
Fixed
5.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT SEP21 XCBT 20210921
000000000
-1291.00000000
NC
USD
-2934386.58000000
-0.31711272280
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYU1 Comdty
2021-09-21
-186923300.92000000
USD
-2934386.58000000
N
N
N
TK ELEVATOR MIDCO GMBH
254900K869UN2ZWVB351
TK Elevator Midco GmbH
000000000
200000.00000000
PA
247658.14000000
0.026763872093
Long
DBT
CORP
DE
N
2
2027-07-15
Fixed
4.38000000
N
N
N
N
N
N
Delta Air Lines Inc
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361702
4570.00000000
NS
USD
197698.20000000
0.021364810935
Long
EC
CORP
US
N
1
N
N
N
BANCO INDUSTRIAL SA
529900GF99QF67JEQU85
Banco Industrial SA/Guatemala
05991CAA1
245000.00000000
PA
USD
255152.19000000
0.027573737642
Long
DBT
CORP
GT
N
2
2031-01-29
Fixed
4.88000000
N
N
N
N
N
N
THAMES WATER KEMBLE FINA
213800S7UU2MQXYJQO60
Thames Water Kemble Finance PLC
000000000
167000.00000000
PA
236368.30000000
0.025543803842
Long
DBT
CORP
GB
N
2
2026-05-19
Fixed
4.63000000
N
N
N
N
N
N
CHANEL CERES PLC
549300FLG0WWSVNA4480
Chanel Ceres PLC
000000000
170000.00000000
PA
203099.43000000
0.021948510017
Long
DBT
CORP
GB
N
2
2026-07-31
Fixed
0.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ALPHABET INC SEP21 2100 PUT
000000000
-2.00000000
NC
USD
-3590.00000000
-0.00038796342
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Put
Written
Alphabet Inc
Alphabet Inc
100.00000000
2100.00000000
USD
2021-09-17
XXXX
9282.62000000
N
N
N
PUMA INTERNATIONAL FINAN
222100YFBPO7IDRUBR17
Puma International Financing SA
000000000
200000.00000000
PA
USD
201250.00000000
0.021748646173
Long
DBT
CORP
LU
N
2
2024-10-06
Fixed
5.13000000
N
N
N
N
N
N
PROLOGIS EURO FINANCE
549300MI5D1784PRQH06
Prologis Euro Finance LLC
000000000
200000.00000000
PA
235033.20000000
0.025399522512
Long
DBT
US
N
2
2031-09-10
Fixed
0.63000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
64180000.00000000
PA
9538212.40000000
1.030773697448
Long
DBT
NUSS
CN
N
2
2030-05-21
Fixed
2.68000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
ISHARES MSCI EMERGING MARKETS JUL21 61 CALL
000000000
-384.00000000
NC
USD
-1152.00000000
-0.00012449411
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Written
iShares MSCI Emerging Markets ETF
iShares MSCI Emerging Markets ETF
100.00000000
61.00000000
USD
2021-07-16
XXXX
3407.85000000
N
N
N
CENTRAIS ELETRICAS BRASI
254900I8KYDELP4B4Z08
Centrais Eletricas Brasileiras SA
15236FAB6
200000.00000000
PA
USD
206400.00000000
0.022305195379
Long
DBT
CORP
BR
N
2
2030-02-04
Fixed
4.63000000
N
N
N
N
N
N
Arbor Multifamily Mortgage Securities Trust
N/A
Arbor Multifamily Mortgage Securities Trust 2020-MF1
03881BAW3
14990786.03000000
PA
USD
1066462.51000000
0.115250264779
Long
ABS-MBS
CORP
US
N
2
2053-05-15
Variable
1.09000000
N
N
N
N
N
N
Puma SE
529900GRZ2BQY5ZM9N49
Puma SE
000000000
2792.00000000
NS
333227.80000000
0.036011197601
Long
EC
CORP
DE
N
2
N
N
N
HEIMSTADEN BOSTAD AB
549300TJR3PR8EXILG79
Heimstaden Bostad AB
000000000
100000.00000000
PA
117062.94000000
0.012650735215
Long
DBT
CORP
SE
N
2
2027-02-01
Fixed
2.63000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-15427.40000000
-0.00166720528
N/A
DFE
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
12625500.00000000
BRL
2500000.00000000
USD
2021-09-15
-15427.40000000
N
N
N
DIGICEL GROUP HOLDINGS
N/A
Digicel Group Holdings Ltd
25381YAB7
137579.00000000
PA
USD
115566.36000000
0.012489003096
Long
DBT
CORP
BM
N
2
2025-04-01
Fixed
8.00000000
N
N
Y
N
N
N
ERSTE GROUP BANK AG
PQOH26KWDF7CG10L6792
Erste Group Bank AG
000000000
100000.00000000
PA
122748.85000000
0.013265199040
Long
DBT
CORP
AT
N
2
2031-09-08
Fixed
1.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 5.805000 17-OCT-2030
000000000
60000000.00000000
OU
Notional Amount
244110.59000000
0.026380496144
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2030-10-17
0.00000000
MXN
-1197.52000000
MXN
60000000.00000000
MXN
244166.71000000
N
N
N
Foundation Building Materials Holding Company LLC
549300ZVE6MONHB01I28
Foundation Building Materials Holding Company LLC 2021 Term Loan
35039KAB2
200399.49000000
PA
USD
198980.66000000
0.021503403575
Long
LON
CORP
US
N
2
2028-02-03
Floating
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ECKY8
865.36000000
PA
USD
937.73000000
0.000101338424
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
3.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
11902.01000000
0.001286224120
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
35730772.00000000
MXN
1792741.49000000
USD
2021-08-24
11902.01000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S5M5
39764.64000000
PA
USD
42560.65000000
0.004599436113
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Fixed
4.00000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
000000000
200000.00000000
PA
USD
198787.50000000
0.021482529198
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
Benefit Street Partners CLO Ltd
549300D98ZLKNSI8CN63
Benefit Street Partners CLO VIII Ltd
08180XAN2
500000.00000000
PA
USD
499989.80000000
0.054032801244
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.29000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) SEP21 XCBT 20210930
000000000
-830.00000000
NC
USD
178859.17000000
0.019328918276
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
2 Year US Treasury Note
TUU1 Comdty
2021-09-30
-183044718.13000000
USD
178859.17000000
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loans LLC
61946RAA7
320000.00000000
PA
USD
318077.47000000
0.034373934661
Long
ABS-O
CORP
US
N
2
2047-04-22
Fixed
1.64000000
N
N
N
N
N
N
PREMIER FOODS FINANCE
2138003G41QDLK9DB177
Premier Foods Finance PLC
000000000
100000.00000000
PA
138330.00000000
0.014949019752
Long
DBT
CORP
GB
N
2
2026-10-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKWP9
63783.67000000
PA
USD
68755.49000000
0.007430255028
Long
ABS-MBS
USGSE
US
N
2
2036-05-01
Fixed
3.00000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
105600000.00000000
PA
16536703.19000000
1.787085249931
Long
DBT
NUSS
CN
N
2
2029-05-23
Fixed
3.29000000
N
N
N
N
N
N
Las Vegas Sands Corp
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834107
7053.00000000
NS
USD
371622.57000000
0.040160436198
Long
EC
CORP
US
N
1
N
N
N
CIFI HOLDINGS GROUP
549300WGKSV867C0JF48
CIFI Holdings Group Co Ltd
000000000
200000.00000000
PA
USD
211537.50000000
0.022860393738
Long
DBT
CORP
KY
N
2
2025-10-20
Fixed
5.95000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
-25665.34000000
-0.00277359701
N/A
DFE
PL
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
970000.00000000
USD
3599932.68000000
PLN
2021-09-15
-25665.34000000
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BM5
200000.00000000
PA
USD
226725.00000000
0.024501673558
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-148512.81000000
-0.01604945369
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
93529588.50000000
MXN
4500000.00000000
USD
2021-09-15
-148512.81000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A7UC1
41784.31000000
PA
USD
44780.61000000
0.004839342322
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
88765.85000000
0.009592730752
N/A
DFE
MX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2670582.42000000
USD
55363577.00000000
MXN
2021-08-24
88765.85000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGB4
218000.00000000
PA
USD
232903.95000000
0.025169419134
Long
DBT
CORP
US
N
2
2051-03-22
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LTJF6
9995.47000000
PA
USD
10991.87000000
0.001187867286
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DL6
422000.00000000
PA
USD
448322.25000000
0.048449202418
Long
DBT
NUSS
CO
N
2
2027-04-25
Fixed
3.88000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
ESTX BANKS (EUR) PR DEC21 95 CALL
000000000
584.00000000
NC
173119.52000000
0.018708646887
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Call
Purchased
DJ Euro STOXX Banks Index
SX7E Index
50.00000000
95.00000000
EUR
2021-12-17
XXXX
-104680.64000000
N
N
N
TICP CLO Ltd
N/A
TICP CLO XV Ltd
87250RAA2
1750000.00000000
PA
USD
1754309.38000000
0.189584367621
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
1.47000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-7419.44000000
-0.00080180261
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
814000.00000000
USD
89598608.00000000
JPY
2021-07-14
-7419.44000000
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
000000000
200000.00000000
PA
243271.46000000
0.026289813205
Long
DBT
CORP
MX
N
2
2026-03-19
Fixed
3.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK FXVAN PUT USD MXN 19.7500000
000000000
20000000.00000000
OU
Notional Amount
USD
177380.00000000
0.019169067618
N/A
DFE
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
177380.00000000
0.02000000
DFE
US
395000000.00000000
MXN
20000000.00000000
USD
2021-08-25
1.00000000
19.75000000
USD
2021-08-25
XXXX
-112360.00000000
N
N
N
Dryden Senior Loan Fund
549300VCB8LYR1RGV869
Dryden 49 Senior Loan Fund
26244QAN3
750000.00000000
PA
USD
749010.83000000
0.080943957870
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
1.14000000
N
N
N
N
N
N
BXP Trust
N/A
BXP Trust 2017-CC
05607CAL3
110000.00000000
PA
USD
115938.75000000
0.012529246467
Long
ABS-MBS
CORP
US
N
2
2037-08-13
Variable
3.67000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
49409.00000000
0.005339522279
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2000000.00000000
EUR
2424519.00000000
USD
2021-09-15
49409.00000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
23509.68000000
0.002540639562
N/A
DFE
MX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
826000.00000000
USD
16959301.49000000
MXN
2021-07-14
23509.68000000
N
N
N
Olympic Tower Mortgage Trust
N/A
Olympic Tower 2017-OT Mortgage Trust
68162MAL6
130000.00000000
PA
USD
129054.73000000
0.013946661663
Long
ABS-MBS
CORP
US
N
2
2039-05-10
Variable
4.08000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XQM73
2016.96000000
PA
USD
2135.11000000
0.000230736655
Long
ABS-MBS
USGSE
US
N
2
2029-07-01
Fixed
3.00000000
N
N
N
N
N
N
IND & COMM BK OF CHINA
5493002ERZU2K9PZDL40
Industrial & Commercial Bank of China Ltd
000000000
200000.00000000
PA
USD
224100.00000000
0.024217995564
Long
DBT
CORP
CN
N
2
2025-09-21
Fixed
4.88000000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM 26 Ltd
50200FAC3
600000.00000000
PA
USD
599999.16000000
0.064840593465
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
1.26000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Corp
46649XAA5
1200000.00000000
PA
USD
1272835.20000000
0.137552508827
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Fixed
4.13000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
1153.94000000
0.000124703765
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3197000.00000000
CNY
493737.55000000
USD
2021-08-24
1153.94000000
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DIAMONDBACK ENERGY INC DEC21 90 CALL
000000000
47.00000000
NC
USD
66740.00000000
0.007212445443
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
Diamondback Energy Inc
Diamondback Energy Inc
100.00000000
90.00000000
USD
2021-12-17
XXXX
4137.00000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-20020.41000000
-0.00216356180
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4202962.50000000
BRL
825000.00000000
USD
2021-07-02
-20020.41000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZE7
3105.28000000
PA
USD
3365.85000000
0.000363740028
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
200000.00000000
PA
USD
200162.50000000
0.021631122432
Long
DBT
CORP
KY
N
2
2023-07-23
Fixed
10.88000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
200000.00000000
PA
USD
219000.00000000
0.023666849748
Long
DBT
NUSS
UA
N
2
2025-09-01
Fixed
7.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FSWP: KRW 1.417500 21-SEP-2023
000000000
8458747500.00000000
OU
Notional Amount
-19066.49000000
-0.00206047376
N/A
DIR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
N/A
N/A
Y
2023-09-21
0.00000000
KRW
0.00000000
KRW
8458747500.00000000
KRW
-19066.49000000
N
N
N
Carlyle Global Market Strategies
N/A
Carlyle Global Market Strategies CLO 2014-3-R Ltd
14315LAC8
1000000.00000000
PA
USD
997498.40000000
0.107797464645
Long
ABS-CBDO
CORP
KY
N
2
2031-07-27
Floating
1.48000000
N
N
N
N
N
N
OLEODUCTO CENTRAL SA
254900W4CPYCQFVH5E92
Oleoducto Central SA
680617AC1
731000.00000000
PA
USD
754666.13000000
0.081555113740
Long
DBT
CORP
CO
N
2
2027-07-14
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK SWAPTION 0.0230000 PUT USD 202
000000000
-10217016.00000000
OU
Notional Amount
USD
-61124.12000000
-0.00660554960
N/A
DIR
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
10217016.00000000
OU
Notional Amount
N/A
-61124.12000000
-0.01000000
DIR
US
N/A
N/A
2032-04-25
0.00000000
N/A
0.00000000
N/A
10217016.00000000
USD
1.00000000
0.02300000
USD
2022-04-21
XXXX
83718.98000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-MP
61691DAA5
1000000.00000000
PA
USD
1129601.60000000
0.122073567776
Long
ABS-MBS
CORP
US
N
2
2040-07-11
Variable
4.42000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-18972.69000000
-0.00205033700
N/A
DFE
ID
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1014736.48000000
USD
14632500000.00000000
IDR
2021-09-15
-18972.69000000
N
N
N
Quest Diagnostics Inc
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics Inc
74834L100
2573.00000000
NS
USD
339558.81000000
0.036695375968
Long
EC
CORP
US
N
1
N
N
N
UK TSY 1 3/4% 2037
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
60000.00000000
PA
90746.69000000
0.009806795787
Long
DBT
NUSS
GB
N
2
2037-09-07
Fixed
1.75000000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
000000000
100000.00000000
PA
122301.83000000
0.013216890568
Long
DBT
CORP
FR
N
2
2026-04-22
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YKYR8
37946.56000000
PA
USD
39978.25000000
0.004320361808
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
AMER AIRLINE 16-2 B PTT
N/A
American Airlines 2016-2 Class B Pass Through Trust
02376GAA4
59500.00000000
PA
USD
58323.29000000
0.006302870051
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
4.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
FSWP: USD 1.994000 02-JUL-2031
000000000
11674062.00000000
OU
Notional Amount
USD
-23135.46000000
-0.00250019842
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-07-02
0.00000000
USD
-108.63000000
USD
11674062.00000000
USD
-23026.83000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (MEX)
000000000
540000.00000000
OU
Notional Amount
USD
-1823.09000000
-0.00019701733
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-1298.63000000
USD
540000.00000000
USD
-524.46000000
N
N
N
LEG IMMOBILIEN SE
391200SO40AKONBO0Z96
LEG Immobilien SE
000000000
100000.00000000
PA
122372.26000000
0.013224501784
Long
DBT
CORP
DE
N
2
2027-11-28
Fixed
0.88000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
15438.45000000
0.001668399436
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1216509840.00000000
KRW
1092000.00000000
USD
2021-07-12
15438.45000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK SWAPTION 0.0219000 PUT USD 202
000000000
-8345040.00000000
OU
Notional Amount
USD
-30604.35000000
-0.00330734499
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
IRS Swap
N/A
8345040.00000000
OU
Notional Amount
N/A
-30604.35000000
0.00000000
DIR
US
N/A
N/A
2051-09-02
0.00000000
N/A
0.00000000
N/A
8345040.00000000
USD
1.00000000
0.02190000
USD
2021-08-31
XXXX
105336.92000000
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BX0
320000.00000000
PA
USD
350672.00000000
0.037896354041
Long
DBT
CORP
MX
N
2
2030-09-17
Fixed
5.20000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD AUD
000000000
1.00000000
NC
N/A
11051.86000000
0.001194350274
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2903828.20000000
AUD
1843672.00000000
EUR
2021-09-15
11051.86000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050672
289000.00000000
PA
USD
311352.34000000
0.033647164610
Long
ABS-MBS
USGA
US
N
2
2051-07-21
Fixed
5.00000000
N
N
N
N
N
N
WIN Waste Innovations Holdings, Inc.
549300DJBUN7Z75R2S83
WIN Waste Innovations Holdings, Inc. 2021 Term Loan B
38723BAJ0
299000.00000000
PA
USD
298252.50000000
0.032231493628
Long
LON
CORP
US
N
2
2028-03-24
Floating
3.25000000
N
N
N
N
N
N
NBK TIER 1 FNC LTD
5493005X9UY5UCTPFR46
NBK Tier 1 Financing Ltd
62879NAA5
1444000.00000000
PA
USD
1449866.25000000
0.156683866184
Long
DBT
CORP
AE
N
2
2026-08-24
Fixed
3.63000000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBF1
99000.00000000
PA
USD
111776.30000000
0.012079419623
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
4.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617B9SG2
27201.84000000
PA
USD
29415.36000000
0.003178853449
Long
ABS-MBS
USGA
US
N
2
2047-09-15
Fixed
4.00000000
N
N
N
N
N
N
VERISURE HOLDING AB
549300VQQCWGISM3N408
Verisure Holding AB
000000000
100000.00000000
PA
121161.13000000
0.013093617621
Long
DBT
CORP
SE
N
2
2026-07-15
Fixed
3.88000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050676
59000.00000000
PA
USD
64660.31000000
0.006987697906
Long
ABS-MBS
USGSE
US
N
2
2051-07-15
Fixed
5.00000000
N
N
N
N
N
N
ADEVINTA ASA
529900W8V3YLHRSZH763
Adevinta ASA
000000000
200000.00000000
PA
245153.84000000
0.026493237883
Long
DBT
CORP
NO
N
2
2027-11-15
Fixed
3.00000000
N
N
N
N
N
N
Dryden Senior Loan Fund
254900XGNUOV0Y3IBA68
Dryden 77 CLO Ltd
26252VAS0
250000.00000000
PA
USD
250018.38000000
0.027018938054
Long
ABS-CBDO
CORP
KY
N
2
2034-05-20
Variable
1.25000000
N
N
N
N
N
N
AKER BP ASA
549300NFTY73920OYK69
Aker BP ASA
000000000
660000.00000000
PA
783932.02000000
0.084717814294
Long
DBT
CORP
NO
N
2
2029-05-12
Fixed
1.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FMA1
59077.79000000
PA
USD
64634.08000000
0.006984863287
Long
ABS-MBS
USGA
US
N
2
2040-11-20
Fixed
4.00000000
N
N
N
N
N
N
SOLVAY FINANCE
549300850GMPCX5CK282
Solvay Finance SACA
000000000
200000.00000000
PA
261378.70000000
0.028246622924
Long
DBT
CORP
FR
N
2
2023-11-12
Fixed
5.43000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179R4E6
498413.14000000
PA
USD
531051.16000000
0.057389534303
Long
ABS-MBS
USGA
US
N
2
2046-03-20
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.300000 19-NOV-2050
000000000
5221800.00000000
OU
Notional Amount
USD
613508.41000000
0.066300508488
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2050-11-21
0.00000000
USD
-147.93000000
USD
5221800.00000000
USD
613656.34000000
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
600000.00000000
PA
740930.79000000
0.080070765666
Long
DBT
NUSS
EG
N
2
2031-04-11
Fixed
6.38000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
266450.00000000
PA
367045.66000000
0.039665819571
Long
DBT
NUSS
FR
N
2
2050-05-25
Fixed
1.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2118.80000000
-0.00022897406
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
85247.65000000
USD
70000.00000000
EUR
2021-09-15
-2118.80000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKK61
7039.05000000
PA
USD
7410.65000000
0.000800852694
Long
ABS-MBS
USGSE
US
N
2
2032-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6DA2
984.46000000
PA
USD
1033.97000000
0.000111738870
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 1.680000 05-FEB-2051
000000000
2857139.00000000
OU
Notional Amount
USD
60395.12000000
0.006526768176
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2051-02-06
0.00000000
USD
-88.40000000
USD
2857139.00000000
USD
60483.52000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
SWP: USD 1.605000 18-MAR-2031
000000000
770000.00000000
OU
Notional Amount
USD
-16891.67000000
-0.00182544573
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-18
0.00000000
USD
-12.89000000
USD
770000.00000000
USD
-16878.78000000
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135106
102.00000000
NS
USD
350896.32000000
0.037920595811
Long
EC
CORP
US
N
1
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
TE CONNECTIVITY LTD OCT21 145 CALL
000000000
14.00000000
NC
USD
3850.00000000
0.000416061057
N/A
DE
CH
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
TE Connectivity Ltd
TE Connectivity Ltd
100.00000000
145.00000000
USD
2021-10-15
XXXX
-2903.16000000
N
N
N
VOLKSWAGEN FIN SERV NV
529900ZTQC8D1TW6BL41
Volkswagen Financial Services NV
000000000
200000.00000000
PA
280289.77000000
0.030290300788
Long
DBT
CORP
NL
N
2
2022-11-30
Fixed
1.63000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2021-C59
95003CBU3
1010000.00000000
PA
USD
118314.63000000
0.012786002608
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Variable
1.69000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
3225.74000000
0.000348598647
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1019920.85000000
CAD
826000.00000000
USD
2021-07-14
3225.74000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
3092.24000000
0.000334171595
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
4121879.19000000
BRL
829000.00000000
USD
2021-08-03
3092.24000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
571.96000000
0.000061810462
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
204000.00000000
EUR
242555.92000000
USD
2021-07-20
571.96000000
N
N
N
TELEFONICA EUROPE BV
7245007FZS0M65WUGP67
Telefonica Europe BV
000000000
800000.00000000
PA
1029050.88000000
0.111207271966
Long
DBT
CORP
NL
N
2
2024-12-14
Fixed
4.38000000
N
N
N
N
N
N
SASOL FINANCING USA LLC
549300XRB1PFMESFEL85
Sasol Financing USA LLC
80386WAC9
655000.00000000
PA
USD
675468.75000000
0.072996426557
Long
DBT
CORP
US
N
2
2026-09-18
Fixed
4.38000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-17234.25000000
-0.00186246760
N/A
DFE
RU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1102000.00000000
USD
79487260.00000000
RUB
2021-07-14
-17234.25000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
ESTX BANKS (EUR) PR DEC21 105 CALL
000000000
-584.00000000
NC
-66651.01000000
-0.00720282848
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Call
Written
DJ Euro STOXX Banks Index
SX7E Index
50.00000000
105.00000000
EUR
2021-12-17
XXXX
6170.80000000
N
N
N
YANGO JUSTICE INTL
3003007ELD2HAYCXPT77
Yango Justice International Ltd
000000000
200000.00000000
PA
USD
192350.00000000
0.020786842690
Long
DBT
CORP
HK
N
2
2024-04-15
Fixed
7.50000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust
64034QAB4
720000.00000000
PA
USD
719863.78000000
0.077794100094
Long
ABS-O
CORP
US
N
2
2062-04-20
Fixed
1.42000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-3019.47000000
-0.00032630750
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
826000.00000000
USD
91420391.00000000
JPY
2021-07-14
-3019.47000000
N
N
N
Hellenic Republic
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
9506.00000000
PA
17428.30000000
0.001883438161
Long
DBT
NUSS
GR
N
2
2042-01-30
Fixed
4.20000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
89000.00000000
PA
USD
113447.58000000
0.012260031188
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
200000.00000000
PA
240809.25000000
0.026023727569
Long
DBT
CORP
FR
N
2
2028-09-22
Fixed
0.88000000
N
N
N
N
N
N
BRF SA
254900MTXR9LUVQFU480
BRF SA
10552TAH0
495000.00000000
PA
USD
507622.50000000
0.054857650395
Long
DBT
CORP
BR
N
2
2050-09-21
Fixed
5.75000000
N
N
N
N
N
N
EUROPEAN UNION
529900FZRK8FGMPEOM08
European Union
000000000
192000.00000000
PA
230203.39000000
0.024877575537
Long
DBT
NUSS
XX
N
2
2051-07-06
Fixed
0.70000000
N
N
N
N
N
N
BJ ENVIRONMENT BVI
213800G7813Q4L47XQ58
Beijing Environment Bvi Co Ltd
000000000
200000.00000000
PA
USD
201787.50000000
0.021806732619
Long
DBT
CORP
VG
N
2
2021-10-18
Fixed
5.30000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
BLACKROCK FXVAN CALL USD ZAR 14.0000000
000000000
-2730000.00000000
OU
Notional Amount
USD
-82612.53000000
-0.00892775495
N/A
DFE
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CITIBANK NA
E57ODZWZ7FF32TWEFA76
FX Contract
N/A
1.00000000
NC
USD
-82612.53000000
-0.01000000
DFE
ZA
-2730000.00000000
USD
-38220000.00000000
ZAR
2021-08-02
1.00000000
14.00000000
USD
2021-08-02
XXXX
-37072.01000000
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust 2017-C7
46648KAU0
1113000.00000000
PA
USD
1227169.31000000
0.132617496236
Long
ABS-MBS
CORP
US
N
2
2050-10-15
Fixed
3.41000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
26900000.00000000
PA
4101444.73000000
0.443234137795
Long
DBT
NUSS
CN
N
2
2025-06-22
Fixed
2.89000000
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
37443GAM3
1526000.00000000
PA
USD
1571303.13000000
0.169807283503
Long
DBT
NUSS
GH
N
2
2034-04-07
Fixed
8.63000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-767.15000000
-0.00008290421
N/A
DFE
SE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
500638.24000000
USD
4275000.00000000
SEK
2021-09-15
-767.15000000
N
N
N
CITGO HOLDING INC
549300NYHOALWZ2BSL72
Citgo Holding Inc
17302WAB4
602000.00000000
PA
USD
614040.00000000
0.066357956254
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
9.25000000
N
N
N
N
N
N
KKR Industrial Portfolio Trust
N/A
KKR Industrial Portfolio Trust 2021-KDIP
48254CAS4
910000.00000000
PA
USD
908272.46000000
0.098155012975
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
2.12000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
170046.45000000
0.018376546951
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
75965824.00000000
ZAR
5454767.82000000
USD
2021-08-24
170046.45000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
000000000
270000.00000000
PA
376897.23000000
0.040730457137
Long
DBT
CORP
US
N
2
2030-09-19
Fixed
1.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7X91
4384.28000000
PA
USD
4596.24000000
0.000496705577
Long
ABS-MBS
USGSE
US
N
2
2030-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5JU4
20179.14000000
PA
USD
21872.62000000
0.002363726078
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.50000000
N
N
N
N
N
N
SWEDISH GOVERNMENT
ERE94C0BSULG2RM19605
Sweden Government Bond
000000000
250000.00000000
PA
42755.92000000
0.004620538513
Long
DBT
NUSS
SE
N
2
2039-03-30
Fixed
3.50000000
N
N
N
N
N
N
UK TSY 1 1/2% 2047
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
1040000.00000000
PA
1521749.22000000
0.164452101117
Long
DBT
NUSS
GB
N
2
2047-07-22
Fixed
1.50000000
N
N
N
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119BP4
212000.00000000
PA
USD
211247.62000000
0.022829067042
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EW4R3
3043.83000000
PA
USD
3199.98000000
0.000345814821
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Fixed
2.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT SEP21 XCME 20210917
000000000
32.00000000
NC
USD
90336.63000000
0.009762481502
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
E-mini S&P 500 Index
ESU1 Index
2021-09-17
6771423.37000000
USD
90336.63000000
N
N
N
UNITED AIR 2019-2 AA PTT
N/A
United Airlines 2019-2 Class AA Pass Through Trust
90932JAA0
73044.00000000
PA
USD
73206.83000000
0.007911301580
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
2.70000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (BRAZIL)
000000000
780000.00000000
OU
Notional Amount
USD
23826.21000000
0.002574846265
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Brazilian Government International Bond
Brazilian Government International Bond
Y
buy protection
2026-06-23
24889.14000000
USD
0.00000000
USD
780000.00000000
USD
-1062.93000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.870000 08-APR-2026
000000000
22427103.00000000
OU
Notional Amount
USD
-30325.01000000
-0.00327715733
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-04-08
199.30000000
USD
0.00000000
USD
22427103.00000000
USD
-30524.31000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128286N5
8515772.22000000
PA
USD
9178627.50000000
0.991914145849
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-11305.20000000
-0.00122172817
N/A
DFE
XX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1353242.35000000
USD
1130000.00000000
EUR
2021-09-15
-11305.20000000
N
N
N
Henley CLO
6354009HFM8XXW6PPK55
Henley CLO IV DAC
000000000
100000.00000000
PA
118116.36000000
0.012764576004
Long
ABS-CBDO
CORP
IE
N
2
2034-04-25
Floating
1.35000000
N
N
N
N
N
N
Heathrow Funding Ltd
7TI96JO3DYEIQWZ7Z726
Heathrow Funding Ltd
000000000
120000.00000000
PA
146444.88000000
0.015825977038
Long
DBT
CORP
JE
N
2
2030-02-11
Fixed
1.50000000
N
N
N
N
N
N
Trestles CLO LTD
254900QSBDX181YYBH38
TRESTLES CLO 2017-1 Ltd
89531FAL1
250000.00000000
PA
USD
249992.10000000
0.027016098032
Long
ABS-CBDO
CORP
KY
N
2
2032-04-25
Floating
1.93000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: PLN 0.827000 22-JUN-2023
000000000
41366000.00000000
OU
Notional Amount
-4483.80000000
-0.00048455443
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-06-22
0.00000000
PLN
-182.85000000
PLN
41366000.00000000
PLN
-4436.15000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
12073.30000000
0.001304735055
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
826000.00000000
USD
4168409.00000000
BRL
2021-07-02
12073.30000000
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
71568QAG2
200000.00000000
PA
USD
232500.00000000
0.025125765144
Long
DBT
CORP
ID
N
2
2029-01-25
Fixed
5.38000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
1837000.00000000
PA
USD
1999325.16000000
0.216062685663
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45000000
N
N
N
N
N
N
Dryden Senior Loan Fund
254900I0IPNA482LDS44
Dryden 37 Senior Loan Fund
26249MAN7
750000.00000000
PA
USD
749998.88000000
0.081050734267
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
1.28000000
N
N
N
N
N
N
Whitebox CLO I Ltd
549300E4AC0513DYO913
Whitebox Clo I Ltd
96467FAG5
500000.00000000
PA
USD
500470.65000000
0.054084765649
Long
ABS-CBDO
CORP
KY
N
2
2032-07-24
Floating
4.53000000
N
N
N
N
N
N
CDB FINANCIAL LEASING
3003001Y2JXAVQAIZ618
China Development Bank Financial Leasing Co Ltd
000000000
200000.00000000
PA
USD
202708.00000000
0.021906209035
Long
DBT
CORP
CN
N
2
2030-09-28
Fixed
2.88000000
N
N
N
N
N
N
Triton Water Holdings, Inc
N/A
Triton Water Holdings, Inc Term Loan
89678QAB2
858000.00000000
PA
USD
856807.38000000
0.092593294639
Long
LON
CORP
US
N
2
2028-03-31
Floating
4.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 5.520000 11-FEB-2031
000000000
120000000.00000000
OU
Notional Amount
624567.35000000
0.067495623882
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-02-11
0.00000000
MXN
-153891.20000000
MXN
120000000.00000000
MXN
632282.54000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK FXVAN PUT USD MXN 19.4500000
000000000
-2696000.00000000
OU
Notional Amount
USD
-873.50000000
-0.00009439722
N/A
DFE
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
-873.50000000
0.00000000
DFE
MX
-2696000.00000000
USD
-52437200.00000000
MXN
2021-07-09
1.00000000
19.45000000
USD
2021-07-09
XXXX
18351.68000000
N
N
N
MUTHOOT FINANCE LTD
335800HAMJMBFL4RRF02
Muthoot Finance Ltd
62828L2A0
400000.00000000
PA
USD
414200.00000000
0.044761685688
Long
DBT
CORP
IN
N
2
2022-10-31
Fixed
6.13000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-5041.16000000
-0.00054478710
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1387894.94000000
BRL
274000.00000000
USD
2021-07-02
-5041.16000000
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust 2017-C5
46590TAE5
1200000.00000000
PA
USD
1324860.12000000
0.143174727844
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
3.69000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BFTR3
31750.75000000
PA
USD
34517.32000000
0.003730211078
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWAP/CDSWAP/SCDS: (MEX)
000000000
710000.00000000
OU
Notional Amount
USD
-2397.02000000
-0.00025904069
N/A
DCR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-340.83000000
USD
710000.00000000
USD
-2056.19000000
N
N
N
SES SA
5493008JPA4HYMH1HX51
SES SA
000000000
100000.00000000
PA
119416.66000000
0.012905096573
Long
DBT
CORP
LU
N
2
2026-05-27
Fixed
2.88000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWAP/CDSWAP/SCDS: (MEX)
000000000
930000.00000000
OU
Notional Amount
USD
-3139.76000000
-0.00033930697
N/A
DCR
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
United Mexican States
United Mexican States
Y
buy protection
2026-06-23
0.00000000
USD
-893.30000000
USD
930000.00000000
USD
-2246.46000000
N
N
N
Daimler AG
529900R27DL06UVNT076
Daimler AG
000000000
4011.00000000
NS
358417.31000000
0.038733372708
Long
EC
CORP
DE
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-11931.06000000
-0.00128936349
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2799906.50000000
BRL
551000.00000000
USD
2021-07-02
-11931.06000000
N
N
N
Schaeffler AG
549300Q7E782X7GC1P43
Schaeffler AG
000000000
10000.00000000
PA
12264.33000000
0.001325379248
Long
DBT
CORP
DE
N
2
2024-03-26
Fixed
1.88000000
N
N
N
N
N
N
CIFC Funding Ltd
N/A
CIFC Funding 2021-IV Ltd
12547DAA4
100000.00000000
PA
USD
100000.00000000
0.010806780707
Long
ABS-CBDO
CORP
KY
N
2
2033-07-15
Floating
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CSG0
256184.48000000
PA
USD
270563.04000000
0.029239154407
Long
ABS-MBS
USGSE
US
N
2
2032-12-01
Fixed
3.00000000
N
N
N
N
N
N
NEXI SPA
5493000P70CQRQG8SN85
Nexi SpA
000000000
100000.00000000
PA
119728.82000000
0.012938831020
Long
DBT
CORP
IT
N
1
2028-02-24
None
0.00000000
N
N
N
N
N
Nexi SpA
Nexi SpA
EUR
XXXX
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36197MRR1
26016.50000000
PA
USD
29590.89000000
0.003197822591
Long
ABS-MBS
USGA
US
N
2
2047-04-15
Fixed
4.50000000
N
N
N
N
N
N
Options Clearing Corp.
549300CII6SLYGKNHA04
DR HORTON INC JUL21 95 CALL
000000000
56.00000000
NC
USD
3136.00000000
0.000338900642
N/A
DE
US
N
1
Options Clearing Corp.
549300CII6SLYGKNHA04
Call
Purchased
DR Horton Inc
DR Horton Inc
100.00000000
95.00000000
USD
2021-07-16
XXXX
-13457.47000000
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
000000000
100000.00000000
PA
153163.40000000
0.016552032761
Long
DBT
CORP
GB
N
2
2026-09-04
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRH0
302300.63000000
PA
USD
326530.49000000
0.035287433996
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
Hellenic Republic
2138003EKTMKZ5598902
Hellenic Republic Government Bond
000000000
12153.00000000
PA
19207.36000000
0.002075697274
Long
DBT
NUSS
GR
N
2
2033-01-30
Fixed
3.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XWBS9
6215.31000000
PA
USD
6761.41000000
0.000730690751
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
BLACKROCK FXVAN PUT USD MXN 19.7500000
000000000
-4500000.00000000
OU
Notional Amount
USD
-36310.50000000
-0.00392399610
N/A
DFE
US
N
2
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL
4PQUHN3JPFGFNF3BB653
FX Contract
N/A
1.00000000
NC
USD
-36310.50000000
0.00000000
DFE
MX
-4500000.00000000
USD
-88875000.00000000
MXN
2021-08-16
1.00000000
19.75000000
USD
2021-08-16
XXXX
27666.00000000
N
N
N
The Enterprise Development Authority
N/A
The Enterprise Development Authority Term Loan B
000000000
751487.50000000
PA
USD
753366.22000000
0.081414635316
Long
LON
CORP
US
N
3
2028-02-18
Floating
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
122478.60000000
PA
USD
130632.52000000
0.014117169968
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJNC8
59935.03000000
PA
USD
63840.57000000
0.006899110402
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
TIMES CHINA HLDG LTD
2549000KTINB9ZPZP710
Times China Holdings Ltd
000000000
210000.00000000
PA
USD
199500.00000000
0.021559527510
Long
DBT
CORP
KY
N
2
2027-01-14
Fixed
5.75000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BLACKROCK FPPSWAPTION 0.0075000 PUT EUR
000000000
-2485000.00000000
OU
Notional Amount
-13317.37000000
-0.00143917897
N/A
DIR
LU
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS Swap
N/A
2485000.00000000
OU
Notional Amount
N/A
-13317.37000000
0.00000000
DIR
LU
N/A
N/A
2032-06-10
0.00000000
N/A
0.00000000
N/A
2485000.00000000
EUR
1.00000000
0.00750000
EUR
2022-06-08
XXXX
918.89000000
N
N
N
ENGIE SA
LAXUQCHT4FH58LRZDY46
Engie SA
000000000
100000.00000000
PA
137000.38000000
0.014805330634
Long
DBT
CORP
FR
N
2
2032-03-30
Fixed
2.13000000
N
N
N
N
N
N
AIR FRANCE-KLM
969500AQW31GYO8JZD66
Air France-KLM
000000000
100000.00000000
PA
116739.47000000
0.012615778521
Long
DBT
CORP
FR
N
2
2026-07-01
Fixed
3.88000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: USD 0.700000 22-FEB-2026
000000000
3288877.00000000
OU
Notional Amount
USD
24270.79000000
0.002622891051
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-02-23
0.00000000
USD
-28.19000000
USD
3288877.00000000
USD
24298.98000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMRG2
684456.62000000
PA
USD
736754.32000000
0.079619423712
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
SWP: MXN 4.680000 27-FEB-2024
000000000
24394973.00000000
OU
Notional Amount
-47225.72000000
-0.00510357999
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-02-27
96.02000000
MXN
0.00000000
MXN
24394973.00000000
MXN
-47230.50000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
8079.70000000
0.000873155460
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
549000.00000000
USD
2770803.00000000
BRL
2021-07-02
8079.70000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-33633.73000000
-0.00363472344
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2868060.84000000
BRL
543000.00000000
USD
2021-07-02
-33633.73000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAR4
193000.00000000
PA
USD
223072.09000000
0.024106911585
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36196FZF4
3383.22000000
PA
USD
3619.39000000
0.000391139540
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
3.50000000
N
N
N
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
AUG21 MUB US PUT AUG21 113 PUT
000000000
122.00000000
NC
USD
0.00000000
0.000000
N/A
DE
US
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
Put
Purchased
iShares National Muni Bond ETF
iShares National Muni Bond ETF
1.00000000
113.00000000
USD
2021-08-20
XXXX
-195.20000000
N
N
N
ORSTED A/S
W9NG6WMZIYEU8VEDOG48
Orsted AS
000000000
200000.00000000
PA
290844.35000000
0.031430911103
Long
DBT
CORP
DK
N
2
2027-05-17
Fixed
2.13000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD JPY
000000000
1.00000000
NC
N/A
10.92000000
0.000001180100
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
534673.00000000
JPY
31375.05000000
CNY
2021-09-15
10.92000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-390.90000000
-0.00004224370
N/A
DFE
IN
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
23050.13000000
USD
1700000.00000000
INR
2021-09-15
-390.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LSK41
3410.93000000
PA
USD
3750.56000000
0.000405314794
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
4.00000000
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
1500000000.00000000
PA
12589900.54000000
1.360562942603
Long
DBT
NUSS
JP
N
2
2049-09-20
Fixed
0.40000000
N
N
N
N
N
N
GNL Quintero SA
549300JJJIQXE6E1QY27
GNL Quintero SA
000000000
400000.00000000
PA
USD
434500.00000000
0.046955462172
Long
DBT
CORP
CL
N
2
2029-07-31
Fixed
4.63000000
N
N
N
N
N
N
BURGAN BANK
558600NC81HKXMFSTY52
Burgan Bank SAK
000000000
395000.00000000
PA
USD
398900.63000000
0.043108316323
Long
DBT
CORP
KW
N
2
2024-07-09
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXB27
38475.83000000
PA
USD
43745.14000000
0.004727441349
Long
ABS-MBS
USGSE
US
N
2
2039-07-01
Fixed
6.00000000
N
N
N
N
N
N
Venture CDO Ltd
549300VI1BOFEK7C6D74
Venture 39 CLO Ltd
92332TAB8
335000.00000000
PA
USD
335443.47000000
0.036250640199
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.46000000
N
N
N
N
N
N
Kingdom of Denmark
549300PTO6LS1PTM6607
Denmark Government Bond
000000000
500000.00000000
PA
87344.63000000
0.009439142623
Long
DBT
NUSS
DK
N
2
2025-11-15
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132JMFR5
3349.35000000
PA
USD
3682.14000000
0.000397920795
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.50000000
N
N
N
N
N
N
DT MIDSTREAM INC
N/A
DT MIDSTREAM INC TERM LOAN B
23345NAB1
1036000.00000000
PA
USD
1036922.04000000
0.112057890966
Long
LON
CORP
US
N
2
2028-05-25
None
0.00000000
N
N
N
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825C104
10704.00000000
NS
USD
651873.60000000
0.070446550439
Long
EC
CORP
US
N
1
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-115113.03000000
-0.01244001271
N/A
DFE
NO
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3379715.21000000
USD
28100000.00000000
NOK
2021-09-15
-115113.03000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FG5Z8
4378.98000000
PA
USD
4664.12000000
0.000504041220
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJH27
9530.98000000
PA
USD
10139.58000000
0.001095762175
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
3.00000000
N
N
N
N
N
N
2021-07-30
BlackRock Strategic Global Bond Fund, Inc.
Ann Frechette
Ann Frechette
Assistant Treasurer