0001752724-21-174625.txt : 20210819
0001752724-21-174625.hdr.sgml : 20210819
20210819074509
ACCESSION NUMBER: 0001752724-21-174625
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210819
PERIOD START: 20210630
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: UBS FUNDS
CENTRAL INDEX KEY: 0000886244
IRS NUMBER: 367056204
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06637
FILM NUMBER: 211188425
BUSINESS ADDRESS:
STREET 1: C/O UBS ASSET MANAGEMENT (AMERICAS) INC
STREET 2: ONE NORTH WACKER DR.
CITY: CHICAGO
STATE: IL
ZIP: 60606
BUSINESS PHONE: 312-525-7100
MAIL ADDRESS:
STREET 1: C/O UBS ASSET MANAGEMENT (AMERICAS) INC
STREET 2: ONE NORTH WACKER DR.
CITY: CHICAGO
STATE: IL
ZIP: 60606
FORMER COMPANY:
FORMER CONFORMED NAME: BRINSON FUNDS INC
DATE OF NAME CHANGE: 19920929
0000886244
S000003135
UBS DYNAMIC ALPHA FUND
C000008503
CLASS A
BNAAX
C000008506
CLASS P
BNAYX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000886244
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S000003135
C000008506
C000008503
UBS FUNDS
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312-525-7100
UBS DYNAMIC ALPHA FUND
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2021-06-30
2021-06-30
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
3256595.25000000
AUD
CAD
EUR
GBP
JPY
NZD
USD
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ONCOR ELECTRIC DELIVERY
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Oncor Electric Delivery Co LLC
68233JBH6
25000.00000000
PA
USD
28269.80000000
0.082854513555
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.70000000
N
N
N
N
N
N
CAISSE D'AMORT DETTE SOC
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Caisse d'Amortissement de la Dette Sociale
000000000
100000.00000000
PA
125951.33000000
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Long
DBT
NUSS
FR
N
2
2024-11-25
Fixed
1.37500000
N
N
N
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
Republic of Poland Government International Bond
000000000
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PA
107537.91000000
0.315177370262
Long
DBT
NUSS
PL
N
2
2025-02-10
None
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N
N
N
N
N
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CANAL ISABEL II GESTION
959800T25J8CA6LUCP08
Canal de Isabel II Gestion SA
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PA
125303.77000000
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DBT
CORP
ES
N
2
2025-02-26
Fixed
1.68000000
N
N
N
N
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
780086MV3
85000.00000000
PA
68602.12000000
0.201062451148
Long
DBT
CORP
CA
N
2
2021-07-15
Fixed
1.65000000
N
N
N
N
N
N
Ausgrid Finance Pty Ltd
549300DN8D7YR73BKB57
Ausgrid Finance Pty Ltd
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30000.00000000
PA
24321.20000000
0.071281763404
Long
DBT
CORP
AU
N
2
2024-10-30
Fixed
3.75000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBC6
13000.00000000
PA
USD
14708.75000000
0.043109124445
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
SPI 200 FUTURES SEP21 XSFE 20210916
000000000
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NC
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-0.00269570693
N/A
DE
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
S&P ASX Share Price Index 200
XPU1 Index
2021-09-16
181801.44000000
AUD
-919.77000000
N
N
N
APT Pipelines Ltd
261700SS8OEHDOCOUJ33
APT Pipelines Ltd
Q04578AD4
15000.00000000
PA
USD
16449.41000000
0.048210735973
Long
DBT
CORP
AU
N
2
2025-03-23
Fixed
4.20000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXJ8
90000.00000000
PA
USD
97640.76000000
0.286170318608
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
ENABLE MIDSTREAM PARTNER
549300TLGDBYE711G509
Enable Midstream Partners LP
292480AH3
25000.00000000
PA
USD
26571.37000000
0.077876671779
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.90000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
64420.41000000
0.188806490799
N/A
DFE
US
N
2
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
8000000.00000000
EUR
9555534.40000000
USD
2021-07-28
64420.41000000
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
200000.00000000
PA
157030.56000000
0.460232851388
Long
DBT
CORP
ES
N
2
2023-01-19
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
9127963S6
2300000.00000000
PA
USD
2299998.66000000
6.740948650258
Long
STIV
UST
US
N
2
2021-07-15
None
0.00000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
260000.00000000
PA
314383.86000000
0.921411604965
Long
DBT
NUSS
FR
N
2
2025-03-25
None
0.00000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
100000.00000000
PA
139450.47000000
0.408708263127
Long
DBT
NUSS
CN
N
2
2023-01-21
Fixed
1.25000000
N
N
N
N
N
N
PPL Capital Funding Inc
549300MROK5WY0D2NU17
PPL Capital Funding Inc
69352PAH6
40000.00000000
PA
USD
50928.56000000
0.149263916437
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
4.70000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE SEP21 IFLL 20210928
000000000
-5.00000000
NC
-7197.72000000
-0.02109543008
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Short
United Kingdom Gilt
G U1 Comdty
2021-09-28
-635296.70000000
GBP
-7197.72000000
N
N
N
Illinois Tool Works Inc
76NA4I14SZCFAYMNSV04
Illinois Tool Works Inc
452308AX7
45000.00000000
PA
USD
48267.90000000
0.141465923878
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.65000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017DD8
25000.00000000
PA
USD
27804.59000000
0.081491053317
Long
DBT
CORP
US
N
2
2025-08-16
Fixed
3.95000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
000000000
100000.00000000
PA
124856.17000000
0.365934574343
Long
DBT
CORP
FR
N
2
2026-03-23
Fixed
1.37500000
N
N
N
N
N
N
CANADIAN NATL RESOURCES
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd
136385AW1
35000.00000000
PA
USD
36250.94000000
0.106246029318
Long
DBT
CORP
CA
N
2
2023-01-15
Fixed
2.95000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CP3
20000.00000000
PA
USD
20341.63000000
0.059618244861
Long
DBT
CORP
US
N
2
2022-05-11
Fixed
2.65000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-50384.74000000
-0.14767006216
N/A
DFE
NO
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4027612.86000000
USD
34240000.00000000
NOK
2021-07-28
-50384.74000000
N
N
N
IRISH TSY 1% 2026
549300KXBEJAOJ9OVF93
Ireland Government Bond
000000000
490000.00000000
PA
620613.91000000
1.818925624481
Long
DBT
NUSS
IE
N
2
2026-05-15
Fixed
1.00000000
N
N
N
N
N
N
Redexis Gas Finance BV
724500XI19XTPCL36320
Redexis Gas Finance BV
000000000
100000.00000000
PA
127105.57000000
0.372527225964
Long
DBT
CORP
NL
N
2
2027-04-27
Fixed
1.87500000
N
N
N
N
N
N
CORP ANDINA DE FOMENTO
UKZ46SXGNYCZK0UOZE76
Corp Andina de Fomento
000000000
35000.00000000
PA
28502.15000000
0.083535496308
Long
DBT
NUSS
XX
N
2
2025-06-05
Fixed
4.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD HKD
000000000
1.00000000
NC
-2.37000000
-0.00000694611
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
365000.00000000
HKD
47009.77000000
USD
2021-07-28
-2.37000000
N
N
N
CANADIAN NATL RESOURCES
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd
136385AX9
35000.00000000
PA
USD
38530.60000000
0.112927368428
Long
DBT
CORP
CA
N
2
2027-06-01
Fixed
3.85000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
200000.00000000
PA
165990.77000000
0.486493873429
Long
DBT
NUSS
AU
N
2
2027-11-21
Fixed
2.75000000
N
N
N
N
N
N
State Street Global Advisors
5493008BJIBKQ5KTIF74
State Street Navigator Securities Lending Government Money Market Portfolio
857492706
101525.00000000
NS
USD
101525.00000000
0.297554439321
Long
STIV
RF
US
N
2
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAM6
35000.00000000
PA
USD
38017.42000000
0.111423315366
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
4.30000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAD3
40000.00000000
PA
USD
39709.60000000
0.116382839337
Long
DBT
CORP
NL
N
2
2023-07-21
Fixed
2.80000000
N
N
N
N
N
N
iShares MSCI International Value Factor ETF
549300HD4TSTWEGNNR73
iShares MSCI International Value Factor ETF
46435G409
56055.00000000
NS
USD
1447340.10000000
4.241935207718
Long
EC
RF
US
N
1
N
N
N
EUROPEAN UNION
529900FZRK8FGMPEOM08
European Union
000000000
30000.00000000
PA
41796.62000000
0.122499579706
Long
DBT
NUSS
XX
N
2
2026-09-04
Fixed
3.00000000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT SEP21 XMOD 20210921
000000000
2.00000000
NC
2739.87000000
0.008030145103
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
10 Year Canadian Bond
CNU1 Comdty
2021-09-21
287643.66000000
CAD
2739.87000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE SEP21 XEUR 20210908
000000000
-2.00000000
NC
-144.59000000
-0.00042377144
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bobl (FGBM)
OEU1 Comdty
2021-09-08
-268178.06000000
EUR
-144.59000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
STOXX EUROPE 600 SEP21 XEUR 20210917
000000000
13.00000000
NC
-632.78000000
-0.00185458259
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
STOXX EUROPE 600
SXOU1 Index
2021-09-17
293813.65000000
EUR
-632.78000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BV4
10000.00000000
PA
USD
10992.69000000
0.032217913908
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.45000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO STOXX 50 SEP21 XEUR 20210917
000000000
-13.00000000
NC
4220.56000000
0.012369823830
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EURO STOXX 50 Index
VGU1 Index
2021-09-17
-530774.40000000
EUR
4220.56000000
N
N
N
COSTCO WHOLESALE CORP
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160KAP0
10000.00000000
PA
USD
9869.45000000
0.028925867137
Long
DBT
CORP
US
N
2
2030-04-20
Fixed
1.60000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
9127963S6
1200000.00000000
PA
USD
1199979.00000000
3.516957188309
Long
STIV
UST
US
N
2
2021-07-15
None
0.00000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
100000.00000000
PA
131058.12000000
0.384111552969
Long
DBT
NUSS
RO
N
2
2026-02-26
Fixed
2.75000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
180000.00000000
PA
229633.03000000
0.673019724121
Long
DBT
NUSS
ES
N
2
2025-04-30
Fixed
1.60000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BJ9
200000.00000000
PA
USD
214716.20000000
0.629300748626
Long
DBT
CORP
GB
N
2
2024-06-25
Fixed
4.51900000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBM2
20000.00000000
PA
USD
21306.73000000
0.062446807179
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.65000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AV0
40000.00000000
PA
USD
46517.29000000
0.136335150403
Long
DBT
CORP
US
N
2
2029-03-12
Fixed
4.87500000
N
N
N
N
N
N
NEW ZEALAND GOVERNMENT
549300237GPHG2AI7C34
New Zealand Government Bond
000000000
300000.00000000
PA
203409.02000000
0.596161112032
Long
DBT
NUSS
NZ
N
2
2026-05-15
Fixed
0.50000000
N
N
N
N
N
N
Credit Logement SA
969500FYPDQY3Y12Z881
Credit Logement SA
000000000
100000.00000000
PA
115466.92000000
0.338416100870
Long
DBT
CORP
FR
N
2
2021-09-16
Variable
0.60400000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) SEP21 XCBT 20210930
000000000
25.00000000
NC
USD
-8044.35000000
-0.02357677472
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUU1 Comdty
2021-09-30
5516052.15000000
USD
-8044.35000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S1774640 CDS USD R F 5.00000 11774640_FEE CCPCDX / Short: S1774640 CDS USD P V 03MEVENT 11774640_PRO CCPCDX
000000000
1160000.00000000
OU
Notional Amount
USD
118320.00000000
0.346778047383
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.HY.S36.V1
2I65BRYP9
Y
sell protection
2026-06-20
93959.54000000
USD
0.00000000
USD
1160000.00000000
USD
24360.46000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828SF8
1090000.00000000
PA
USD
1103199.22000000
3.233310272026
Long
DBT
UST
US
N
2
2022-02-15
Fixed
2.00000000
N
N
N
N
N
N
CANADA HOUSING TRUST
549300M44WH89JG50067
Canada Housing Trust No 1
13509PDV2
120000.00000000
PA
100571.44000000
0.294759699000
Long
DBT
NUSS
CA
N
2
2023-09-15
Fixed
2.35000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJH4
220000.00000000
PA
USD
229802.91000000
0.673517616740
Long
DBT
CORP
US
N
2
2023-01-25
Fixed
3.20000000
N
N
N
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
Mastercard Inc
57636QAN4
20000.00000000
PA
USD
20910.23000000
0.061284725572
Long
DBT
CORP
US
N
2
2025-03-03
Fixed
2.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
100000.00000000
PA
122191.55000000
0.358124975623
Long
DBT
CORP
MX
N
2
2024-02-21
Fixed
3.75000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
50000.00000000
PA
USD
53595.07000000
0.157079054462
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
TWDC Enterprises 18 Corp
7260JQNI6SCF9FIV2392
TWDC Enterprises 18 Corp
25468PDM5
10000.00000000
PA
USD
10294.80000000
0.030172503737
Long
DBT
CORP
US
N
2
2026-07-30
Fixed
1.85000000
N
N
N
N
N
N
JPN BANK FOR INT'L COOP
549300TJ3QFYVCTSCJ29
Japan Bank for International Cooperation
471048CH9
200000.00000000
PA
USD
201044.25000000
0.589230328368
Long
DBT
NUSS
JP
N
2
2023-05-22
Fixed
0.62500000
N
N
N
N
N
N
CHEVRON USA INC
VA8TZDWPEZYU430RZ444
Chevron USA Inc
166756AR7
20000.00000000
PA
USD
22778.80000000
0.066761221988
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.85000000
N
N
N
N
N
N
AXA SA
F5WCUMTUM4RKZ1MAIE39
AXA SA
000000000
100000.00000000
PA
135718.97000000
0.397771800282
Long
DBT
CORP
FR
N
2
2049-05-28
Fixed
3.25000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)SEP21 XCBT 20210921
000000000
-13.00000000
NC
USD
-12003.35000000
-0.03518000570
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYU1 Comdty
2021-09-21
-1710496.65000000
USD
-12003.35000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
621.14000000
0.001820467514
N/A
DFE
CO
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2051857.40000000
USD
7712419000.00000000
COP
2021-07-28
621.14000000
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
729630.00000000
PA
713240.78000000
2.090400988864
Long
DBT
NUSS
NZ
N
2
2030-09-20
Fixed
3.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
432.23000000
0.001266800840
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1020000.00000000
BRL
204942.74000000
USD
2021-07-28
432.23000000
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BG0
25000.00000000
PA
USD
27694.40000000
0.081168103071
Long
DBT
CORP
US
N
2
2025-06-12
Fixed
4.45000000
N
N
N
N
N
N
ENLINK MIDSTREAM PARTNER
88CPW63VL7KHJWS0NY83
EnLink Midstream Partners LP
29336UAB3
40000.00000000
PA
USD
42000.00000000
0.123095655764
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.40000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BQ6
50000.00000000
PA
USD
54458.50000000
0.159609637368
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.50000000
N
N
N
N
N
N
AstraZeneca PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353AR9
30000.00000000
PA
USD
31864.24000000
0.093389274243
Long
DBT
CORP
GB
N
2
2023-08-17
Fixed
3.50000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
200000.00000000
PA
USD
201750.00000000
0.591298775013
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
NET4GAS sro
529900ND5BL2CXRIPT15
NET4GAS sro
000000000
100000.00000000
PA
118543.45000000
0.347432945580
Long
DBT
CORP
CZ
N
2
2021-07-28
Fixed
2.50000000
N
N
N
N
N
N
WESTPAC BANKING CORP NZ
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp/New Zealand
96122UAA2
80000.00000000
PA
USD
85826.86000000
0.251545562236
Long
DBT
CORP
AU
N
2
2027-09-21
Fixed
5.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
28992.91000000
0.084973839737
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4480000.00000000
CAD
3643010.65000000
USD
2021-07-28
28992.91000000
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
S+P/TSX 60 IX FUT SEP21 XMOD 20210916
000000000
1.00000000
NC
2567.93000000
0.007526214935
N/A
DE
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
S&P/TSX 60 Index
PTU1 Index
2021-09-16
237356.80000000
CAD
2567.93000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DE7
35000.00000000
PA
USD
36934.23000000
0.108248649095
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.62500000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAC2
15000.00000000
PA
USD
16045.91000000
0.047028138423
Long
DBT
CORP
XX
N
2
2027-05-01
Fixed
3.15000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
35000.00000000
PA
USD
37479.83000000
0.109847720281
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
000000000
40000.00000000
PA
55802.32000000
0.163548170799
Long
DBT
CORP
GB
N
2
2021-08-07
Fixed
9.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFS3
80000.00000000
PA
USD
88884.43000000
0.260506838050
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.87500000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
STOXX 600 BANK SEP21 XEUR 20210917
000000000
90.00000000
NC
-28642.19000000
-0.08394593239
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
STOXX Europe 600 Banks Index
BJU1 Index
2021-09-17
624455.33000000
EUR
-28642.19000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S1764930 CDS EUR R F 5.00000 11764930_FEE CCPITRAXX / Short: S1764930 CDS EUR P V 03MEVENT 11764930_PRO CCPITRAXX
000000000
400000.00000000
OU
Notional Amount
58969.44000000
0.172830521116
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S35.V1
2I667KJN9
Y
sell protection
2026-06-20
42071.12000000
EUR
0.00000000
EUR
400000.00000000
EUR
9316.42000000
N
N
N
PHOENIX GROUP HOLDINGS
21380031B1D56JRCE375
Phoenix Group Holdings PLC
000000000
150000.00000000
PA
214541.12000000
0.628787615593
Long
DBT
CORP
KY
N
2
2022-07-20
Fixed
4.12500000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BD6
30000.00000000
PA
USD
35415.00000000
0.103796015450
Long
DBT
NUSS
CO
N
2
2024-05-21
Fixed
8.12500000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087J96
690000.00000000
PA
570616.53000000
1.672390855966
Long
DBT
NUSS
CA
N
2
2024-09-01
Fixed
1.50000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
100000.00000000
PA
141341.84000000
0.414251582900
Long
DBT
CORP
GB
N
2
2023-10-06
Fixed
2.37500000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KJ9
20000.00000000
PA
USD
22764.01000000
0.066717874733
Long
DBT
CORP
US
N
2
2026-03-09
Fixed
4.60000000
N
N
N
N
N
N
Lincoln National Corp
EFQMQROEDSNBRIP7LE47
Lincoln National Corp
534187BH1
70000.00000000
PA
USD
78245.64000000
0.229326151584
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
3.80000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
90000.00000000
PA
USD
93271.33000000
0.273364179295
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00400000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
2458.95000000
0.007206811017
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
16360000.00000000
THB
512874.21000000
USD
2021-07-29
2458.95000000
N
N
N
Electricite de France SA
549300X3UK4GG3FNMO06
Electricite de France SA
000000000
100000.00000000
PA
USD
107625.00000000
0.315432617897
Long
DBT
CORP
FR
N
2
2024-01-22
Fixed
5.62500000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCS6
25000.00000000
PA
USD
25421.57000000
0.074506781660
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.45000000
N
N
N
N
N
N
TELUS Corp
L2TEUTQ8OSHMJWVLCE40
TELUS Corp
87971MAX1
15000.00000000
PA
12986.44000000
0.038061293996
Long
DBT
CORP
CA
N
2
2025-01-17
Fixed
3.75000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GN7
20000.00000000
PA
USD
21783.96000000
0.063845496222
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.70000000
N
N
N
N
N
N
TRANSPORT ET INFRASTRUCT
969500Y0L922VYT3UI51
Terega SA
000000000
100000.00000000
PA
128563.53000000
0.376800286494
Long
DBT
CORP
FR
N
2
2025-08-05
Fixed
2.20000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
10000.00000000
PA
USD
13861.38000000
0.040625610973
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
Cenovus Energy Inc
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAM1
35000.00000000
PA
USD
39109.03000000
0.114622659385
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
4.25000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HD6
130000.00000000
PA
USD
140284.03000000
0.411151301575
Long
DBT
CORP
US
N
2
2023-10-25
Fixed
3.87500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-9222.45000000
-0.02702960786
N/A
DFE
SE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1024879.52000000
USD
8690000.00000000
SEK
2021-07-28
-9222.45000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT SEP21 XCBT 20210921
000000000
-1.00000000
NC
USD
-6563.96000000
-0.01923797525
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Ultra Long Bond
WNU1 Comdty
2021-09-21
-186123.54000000
USD
-6563.96000000
N
N
N
JAPAN (2 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Two Year Bond
000000000
47000000.00000000
PA
423810.16000000
1.242123561071
Long
DBT
NUSS
JP
N
2
2022-05-01
Fixed
0.10000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAB7
35000.00000000
PA
USD
38555.96000000
0.113001694758
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
5.62500000
N
N
N
N
N
N
SWISS RE TREASURY (US)
549300G1I1ZMYS87KM16
Swiss Re Treasury US Corp
87089HAB9
30000.00000000
PA
USD
36748.41000000
0.107704038744
Long
DBT
CORP
US
N
2
2042-12-06
Fixed
4.25000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAH6
35000.00000000
PA
USD
38105.56000000
0.111681640392
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
4.50000000
N
N
N
N
N
N
Tauron Polska Energia SA
259400NAPDFBOTNCRL54
Tauron Polska Energia SA
000000000
100000.00000000
PA
123821.96000000
0.362903461054
Long
DBT
CORP
PL
N
2
2027-07-05
Fixed
2.37500000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) SEP21 XCBT 20210930
000000000
13.00000000
NC
USD
-6011.17000000
-0.01761783126
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVU1 Comdty
2021-09-30
1610597.11000000
USD
-6011.17000000
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DC9
24000.00000000
PA
USD
26719.14000000
0.078309763327
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.87500000
N
N
N
N
N
N
BUNDESOBLIGATION
529900AQBND3S6YJLY83
Bundesobligation
000000000
910000.00000000
PA
1105786.15000000
3.240892173092
Long
DBT
NUSS
DE
N
2
2025-04-11
None
0.00000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AP9
25000.00000000
PA
USD
25620.69000000
0.075090372302
Long
DBT
CORP
JP
N
2
2022-07-25
Fixed
2.66500000
N
N
N
N
N
N
SCOR SE
96950056ULJ4JI7V3752
SCOR SE
000000000
200000.00000000
PA
USD
211124.80000000
0.618774897719
Long
DBT
CORP
FR
N
2
2029-03-13
Fixed
5.25000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
2752678.82000000
NS
USD
2752678.82000000
8.067685820423
Long
STIV
RF
US
N
2
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCS8
35000.00000000
PA
USD
39216.81000000
0.114938546284
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZL7
560000.00000000
PA
USD
553984.37000000
1.623644507347
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.37500000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCK0
90000.00000000
PA
USD
99449.36000000
0.291471052014
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
4.35000000
N
N
N
N
N
N
IBERDROLA INTL BV
549300ZMLFJKWC63XN87
Iberdrola International BV
000000000
100000.00000000
PA
125394.26000000
0.367511634853
Long
DBT
CORP
NL
N
2
2024-03-26
Fixed
2.62500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
-908.97000000
-0.00266405376
N/A
DFE
MY
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
617831.33000000
USD
2564000.00000000
MYR
2021-07-28
-908.97000000
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
000000000
100000.00000000
PA
124120.77000000
0.363779228028
Long
DBT
CORP
FR
N
2
2025-03-13
Fixed
1.37500000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RHJ4
60000.00000000
PA
USD
69471.42000000
0.203610238138
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.35000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DG7
20000.00000000
PA
USD
20191.16000000
0.059177240020
Long
DBT
CORP
US
N
2
2026-02-04
Fixed
2.19600000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174467Y9
20000.00000000
PA
USD
22645.32000000
0.066370012271
Long
DBT
CORP
US
N
2
2026-09-08
Fixed
4.35000000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587CV7
35000.00000000
PA
USD
37984.25000000
0.111326099106
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
SUNCOR ENERGY INC
549300W70ZOQDVLCHY06
Suncor Energy Inc
867224AD9
15000.00000000
PA
USD
16027.05000000
0.046972862612
Long
DBT
CORP
CA
N
2
2025-05-15
Fixed
3.10000000
N
N
N
N
N
N
Liberty Mutual Group Inc
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBG8
25000.00000000
PA
USD
29203.69000000
0.085591604078
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.56900000
N
N
N
N
N
N
DBS Group Holdings Ltd
5493007FKT78NKPM5V55
DBS Group Holdings Ltd
000000000
200000.00000000
PA
USD
200500.00000000
0.587635213829
Long
DBT
CORP
SG
N
2
2021-09-07
Fixed
3.60000000
N
N
N
N
N
N
iShares MSCI USA Value Factor ETF
549300QCMVXVCAPD3O82
iShares MSCI USA Value Factor ETF
46432F388
9270.00000000
NS
USD
973906.20000000
2.854371960533
Long
EC
RF
US
N
1
N
N
N
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
FTSE 100 IDX FUT SEP21 IFLL 20210917
000000000
11.00000000
NC
-5340.01000000
-0.01565076268
N/A
DE
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Long
FTSE 100 Index
Z U1 Index
2021-09-17
771715.34000000
GBP
-5340.01000000
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
100000.00000000
PA
121818.04000000
0.357030274232
Long
DBT
CORP
NL
N
2
2023-10-02
Fixed
1.12500000
N
N
N
N
N
N
ANGLIAN WATER SERV FIN
213800DL377MH46PDY63
Anglian Water Services Financing PLC
000000000
100000.00000000
PA
158466.96000000
0.464442722815
Long
DBT
CORP
GB
N
2
2026-02-22
Fixed
4.50000000
N
N
N
N
N
N
Italian Derivatives Market
N/A
FTSE/MIB IDX FUT SEP21 XDMI 20210917
000000000
5.00000000
NC
-14718.60000000
-0.04313799330
N/A
DE
IT
N
1
Italian Derivatives Market
N/A
Long
FTSE/MIB Index
STU1 Index
2021-09-17
637512.90000000
EUR
-14718.60000000
N
N
N
AURIZON NETWORK PTY LTD
549300FNL9A7DVZKZ444
Aurizon Network Pty Ltd
000000000
30000.00000000
PA
24126.20000000
0.070710247859
Long
DBT
CORP
AU
N
2
2024-06-21
Fixed
4.00000000
N
N
N
N
N
N
TEVA PHARM FIN IV BV
549300P1YOE2RRPSGG38
Teva Pharmaceutical Finance IV BV
88166JAA1
20000.00000000
PA
USD
20001.00000000
0.058619909784
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796G60
3350000.00000000
PA
USD
3349883.27000000
9.818001853718
Long
STIV
UST
US
N
2
2021-10-21
None
0.00000000
N
N
N
N
N
N
CHEVRON PHILLIPS CHEM CO
N/A
Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co LP
166754AQ4
120000.00000000
PA
USD
125999.78000000
0.369286322507
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
3.30000000
N
N
N
N
N
N
CHEVRON PHILLIPS CHEM CO
N/A
Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co LP
166754AW1
25000.00000000
PA
USD
28618.50000000
0.083876500583
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.12500000
N
N
N
N
N
PACIFICORP
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114CW6
5000.00000000
PA
USD
5251.09000000
0.015390151595
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
2.70000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
607.84000000
0.001781487223
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
14700000.00000000
TWD
528222.16000000
USD
2021-07-28
607.84000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468C6
85000.00000000
PA
USD
94541.74000000
0.277087559105
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.00000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
100000.00000000
PA
143998.58000000
0.422038086530
Long
DBT
CORP
GB
N
2
2024-10-16
Fixed
2.25000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AH6
10000.00000000
PA
USD
10579.24000000
0.031006154411
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
2.40000000
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE SEP21 XEUR 20210908
000000000
-6.00000000
NC
-7904.00000000
-0.02316543007
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bund (FGBL)
RXU1 Comdty
2021-09-08
-1028994.18000000
EUR
-7904.00000000
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432NS0
15000.00000000
PA
USD
16731.43000000
0.049037293993
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.70000000
N
N
N
N
N
N
WPP Finance 2010
549300OJB3S151W7KN44
WPP Finance 2010
92936MAF4
25000.00000000
PA
USD
27190.21000000
0.079690398341
Long
DBT
CORP
GB
N
2
2024-09-19
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
51736.11000000
0.151630723504
N/A
DFE
BR
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2811411.02000000
USD
14280000.00000000
BRL
2021-07-28
51736.11000000
N
N
N
GLOBALWORTH REAL ESTATE
213800R3E823B1UBIA81
Globalworth Real Estate Investments Ltd
000000000
100000.00000000
PA
127171.70000000
0.372721043005
Long
DBT
GG
N
2
2025-03-29
Fixed
3.00000000
N
N
N
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAE2
35000.00000000
PA
USD
47715.54000000
0.139847040154
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.62500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
35000.00000000
PA
46519.17000000
0.136340660399
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
3.37500000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
34540UAC3
100000.00000000
PA
124269.46000000
0.364215015958
Long
DBT
CORP
US
N
2
2024-03-06
Fixed
3.02100000
N
N
N
N
N
N
UNITED AIR 2016-1 B PTT
N/A
United Airlines 2016-1 Class B Pass Through Trust
90933HAA3
37152.78000000
PA
USD
36889.88000000
0.108118665944
Long
DBT
CORP
US
N
2
2026-01-07
Fixed
3.65000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEN0
25000.00000000
PA
USD
27158.85000000
0.079598486918
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.37600000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
37360.98000000
0.109499388883
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4950000.00000000
AUD
3750101.19000000
USD
2021-07-28
37360.98000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
13297.88000000
0.038974077592
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1945000.00000000
CHF
2116885.61000000
USD
2021-07-28
13297.88000000
N
N
N
TEVA PHARM FNC NL II
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
000000000
100000.00000000
PA
111038.09000000
0.325435869129
Long
DBT
CORP
NL
N
2
2024-10-15
Fixed
1.12500000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
420000.00000000
PA
338804.97000000
0.992986189488
Long
DBT
NUSS
AU
N
2
2028-05-21
Fixed
2.25000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
26520.46000000
0.077727462259
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
4125000.00000000
NZD
2909732.51000000
USD
2021-07-28
26520.46000000
N
N
N
JAPAN (10 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Ten Year Bond
000000000
70000000.00000000
PA
642409.65000000
1.882805646104
Long
DBT
NUSS
JP
N
2
2025-03-20
Fixed
0.40000000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAL6
25000.00000000
PA
USD
25813.97000000
0.075656846786
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
1.90000000
N
N
N
N
N
N
JAPAN GOVT CPI LINKED
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
000000000
23045310.00000000
PA
213142.41000000
0.624688207862
Long
DBT
NUSS
JP
N
2
2029-03-10
Fixed
0.10000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAG1
60000.00000000
PA
USD
72397.89000000
0.212187279655
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.30000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBT1
20000.00000000
PA
USD
21008.75000000
0.061573472810
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-2731.99000000
-0.00800705001
N/A
DFE
JP
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1285690.66000000
USD
142500000.00000000
JPY
2021-07-28
-2731.99000000
N
N
N
UNIBAIL-RODAMCO-WESTFLD
969500SHQITWXSIS7N89
Unibail-Rodamco-Westfield SE
000000000
100000.00000000
PA
119464.33000000
0.350131905758
Long
DBT
FR
N
2
2026-01-25
Fixed
2.87500000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR SEP21 XOSE 20210909
000000000
8.00000000
NC
-11548.82000000
-0.03384784693
N/A
DE
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
TOPIX Index
TPU1 Index
2021-09-09
156723016.00000000
JPY
-11548.82000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
3240.13000000
0.009496331597
N/A
DFE
RU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1087359.16000000
USD
80054100.00000000
RUB
2021-07-28
3240.13000000
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KM2
25000.00000000
PA
USD
25816.71000000
0.075664877312
Long
DBT
CORP
US
N
2
2023-07-30
Fixed
2.10000000
N
N
N
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
100000.00000000
PA
126578.83000000
0.370983430590
Long
DBT
CORP
NL
N
2
2024-06-27
Fixed
3.37500000
N
N
N
N
N
N
ORIGIN ENERGY FINANCE LT
5493002W5C9Z753C7Q57
Origin Energy Finance Ltd
Q7162LAA2
45000.00000000
PA
USD
45642.29000000
0.133770657575
Long
DBT
CORP
AU
N
2
2021-10-14
Fixed
5.45000000
N
N
N
N
N
N
NYSE Liffe
N/A
MSCI EMGMKT SEP21 XNLI 20210917
000000000
17.00000000
NC
USD
-7257.30000000
-0.02127005006
N/A
DE
US
N
1
NYSE Liffe
N/A
Long
ICE US MSCI Emerging Markets EM Index
MESU1 Index
2021-09-17
1167337.30000000
USD
-7257.30000000
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAU5
15000.00000000
PA
USD
16332.51000000
0.047868119731
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.40000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
18002.36000000
0.052762197845
N/A
DFE
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
1310000.00000000
GBP
1830268.33000000
USD
2021-07-28
18002.36000000
N
N
N
Albemarle Corp
HDBLS2Q6GV1LSKQPBS54
Albemarle Corp
012725AD9
50000.00000000
PA
USD
63217.22000000
0.185280122655
Long
DBT
CORP
US
N
2
2044-12-01
Fixed
5.45000000
N
N
N
N
N
N
VIRGIN MONEY UK PLC
213800TAU9ZX2WZNCO64
Virgin Money UK PLC
000000000
100000.00000000
PA
147012.63000000
0.430871811798
Long
DBT
CORP
GB
N
2
2026-04-24
Fixed
3.37500000
N
N
N
N
N
N
LNR CDO Ltd
549300FIVXZ33M229N06
LNR CDO IV Ltd
53944MAT6
8000000.00000000
PA
USD
0.00000000
0.000000
Long
ABS-CBDO
CORP
KY
N
3
2043-05-28
Fixed
7.59200000
N
N
N
N
N
N
KFW
549300GDPG70E3MBBU98
Kreditanstalt fuer Wiederaufbau
500769EX8
110000.00000000
PA
USD
111570.05000000
0.326994963534
Long
DBT
CORP
DE
N
2
2022-01-25
Fixed
2.62500000
N
N
N
N
N
N
Apache Corp
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
60000.00000000
PA
USD
58627.20000000
0.171827467372
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
COMMONWEALTH BANK AUST
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
000000000
100000.00000000
PA
124129.07000000
0.363803554074
Long
DBT
CORP
AU
N
2
2029-10-03
Fixed
1.93600000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
100000.00000000
PA
133541.55000000
0.391390111168
Long
DBT
CORP
ES
N
2
2026-04-04
Fixed
3.25000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
-9386.75000000
-0.02751114635
N/A
DFE
PL
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
2101192.54000000
USD
7975000.00000000
PLN
2021-07-28
-9386.75000000
N
N
N
RESA SA BELGIUM
549300Y2TNSX5TN57R56
Resa SA/Belgium
000000000
100000.00000000
PA
123253.47000000
0.361237302736
Long
DBT
CORP
BE
N
2
2026-07-22
Fixed
1.00000000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
000000000
100000.00000000
PA
120562.57000000
0.353350681305
Long
DBT
CORP
GB
N
2
2023-10-13
Fixed
0.87500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828P79
210000.00000000
PA
USD
214519.92000000
0.628725481595
Long
DBT
UST
US
N
2
2023-02-28
Fixed
1.50000000
N
N
N
N
N
N
ADLER GROUP SA
391200OYYFJ3DWAMEC69
ADLER Group SA
000000000
100000.00000000
PA
116193.55000000
0.340545743640
Long
DBT
CORP
LU
N
2
2024-07-26
Fixed
1.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-3295.24000000
-0.00965785068
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
586000000.00000000
KRW
516982.80000000
USD
2021-07-28
-3295.24000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828WE6
100000.00000000
PA
USD
105738.28000000
0.309902926572
Long
DBT
UST
US
N
2
2023-11-15
Fixed
2.75000000
N
N
N
N
N
N
XLIT Ltd
635400XCGXK8NVDIVE95
XLIT Ltd
98420EAB1
20000.00000000
PA
USD
27683.30000000
0.081135570648
Long
DBT
CORP
KY
N
2
2043-12-15
Fixed
5.25000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EJ8
30000.00000000
PA
USD
30783.44000000
0.090221612702
Long
DBT
CORP
AU
N
2
2023-01-13
Fixed
2.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HRX0
60000.00000000
PA
USD
65930.69000000
0.193232893347
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.62500000
N
N
N
N
N
N
ARGENTUM (SWISS LIFE)
724500RPEZI5VVQQWE89
Argentum Netherlands BV for Swiss Life AG
000000000
100000.00000000
PA
133883.05000000
0.392390996084
Long
DBT
CORP
NL
N
2
2025-06-16
Fixed
4.37500000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT SEP21 XCBT 20210921
000000000
-4.00000000
NC
USD
-7630.84000000
-0.02236483937
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYU1 Comdty
2021-09-21
-581181.66000000
USD
-7630.84000000
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579PU6
26050.40000000
PA
USD
332.14000000
0.000973452169
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
2.75400000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-2155.49000000
-0.00631741559
N/A
DFE
NO
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
196138.29000000
USD
1670000.00000000
NOK
2021-07-28
-2155.49000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZT0
1030000.00000000
PA
USD
1012699.21000000
2.968068413034
Long
DBT
UST
US
N
2
2025-05-31
Fixed
0.25000000
N
N
N
N
N
N
Xcel Energy Inc
LGJNMI9GH8XIDG5RCM61
Xcel Energy Inc
98389BAN0
80000.00000000
PA
USD
98025.29000000
0.287297317954
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
4.80000000
N
N
N
N
N
N
TDF Infrastructure SAS
969500BWNQ1B0PI06I59
TDF Infrastructure SASU
000000000
100000.00000000
PA
122146.49000000
0.357992911569
Long
DBT
CORP
FR
N
2
2022-10-19
Fixed
2.87500000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
-284.82000000
-0.00083476439
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
50050000.00000000
PHP
1024292.41000000
USD
2021-07-28
-284.82000000
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAE8
5000.00000000
PA
USD
5273.11000000
0.015454688889
Long
DBT
CORP
XX
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBB6
35000.00000000
PA
USD
37512.31000000
0.109942914254
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.15000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
40000.00000000
PA
50597.86000000
0.148294684690
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
1.62500000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS Inc
92556HAA5
75000.00000000
PA
USD
84869.42000000
0.248739450220
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.75000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBN9
30000.00000000
PA
USD
33995.40000000
0.099635382285
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.25000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT SEP21 XCME 20210917
000000000
5.00000000
NC
USD
19839.25000000
0.058145844967
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
E-mini S&P 500 Index
ESU1 Index
2021-09-17
1052310.75000000
USD
19839.25000000
N
N
N
BK OF ENGLAND EURO NOTE
YUEDD7W89PH0FV8Q2S28
Bank of England Euro Note
000000000
40000.00000000
PA
USD
40176.08000000
0.117750021753
Long
DBT
NUSS
GB
N
2
2023-04-28
Fixed
0.50000000
N
N
N
N
N
N
AIR PRODUCTS & CHEMICALS
7QEON6Y1RL5XR3R1W237
Air Products and Chemicals Inc
009158BC9
20000.00000000
PA
USD
20386.73000000
0.059750426148
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.05000000
N
N
N
N
N
N
AMER AIRLN 14-1 B PTT
N/A
American Airlines 2014-1 Class B Pass Through Trust
02376XAA7
38207.47000000
PA
USD
38381.50000000
0.112490378850
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.37500000
N
N
N
N
N
N
YORKSHIRE WATER SRV BRAD
213800O8BDOGHJMTCP32
Yorkshire Water Finance PLC
000000000
100000.00000000
PA
142801.97000000
0.418531003372
Long
DBT
CORP
KY
N
2
2046-03-22
Fixed
3.75000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804FZ2
20000.00000000
PA
USD
22577.14000000
0.066170186990
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828T26
320000.00000000
PA
USD
327712.50000000
0.960475835471
Long
DBT
UST
US
N
2
2023-09-30
Fixed
1.37500000
N
N
N
N
N
N
2021-07-27
UBS FUNDS
Joanne Kilkeary
Joanne Kilkeary
Vice President and Treasurer