0001752724-22-037166.txt : 20220222
0001752724-22-037166.hdr.sgml : 20220222
20220222091650
ACCESSION NUMBER: 0001752724-22-037166
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220222
PERIOD START: 20220630
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: 22655473
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
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C000008503
UBS FUNDS
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312-525-7100
UBS DYNAMIC ALPHA FUND
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2022-06-30
2021-12-31
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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
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AUD
CAD
EUR
GBP
JPY
NZD
USD
UST
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
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3350000.00000000
PA
USD
3349738.97000000
10.62467889064
Long
STIV
UST
US
N
2
2022-03-10
None
0.00000000
N
N
N
N
N
N
ONCOR ELECTRIC DELIVERY
549300SP2X2BS1KERD24
Oncor Electric Delivery Co LLC
68233JBH6
25000.00000000
PA
USD
27514.45000000
0.087270142157
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.70000000
N
N
N
N
N
N
CAISSE D'AMORT DETTE SOC
969500P04DQJS4BPM574
Caisse d'Amortissement de la Dette Sociale
000000000
100000.00000000
PA
119413.81000000
0.378755896420
Long
DBT
NUSS
FR
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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
102321.15000000
0.324541515684
Long
DBT
NUSS
PL
N
2
2025-02-10
None
0.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
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N/A
DFE
US
N
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Bank of America, National Association
B4TYDEB6GKMZO031MB27
3555000.00000000
AUD
2566181.73000000
USD
2022-01-12
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N
N
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CANAL ISABEL II GESTION
959800T25J8CA6LUCP08
Canal de Isabel II Gestion SA
000000000
100000.00000000
PA
118494.81000000
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Long
DBT
CORP
ES
N
2
2025-02-26
Fixed
1.68000000
N
N
N
N
N
N
Ausgrid Finance Pty Ltd
549300DN8D7YR73BKB57
Ausgrid Finance Pty Ltd
000000000
30000.00000000
PA
22990.05000000
0.072919681538
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
14319.58000000
0.045418744777
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
APT Pipelines Ltd
261700SS8OEHDOCOUJ33
APT Pipelines Ltd
Q04578AD4
15000.00000000
PA
USD
16041.93000000
0.050881682591
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
95169.05000000
0.301856534384
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
1556.48000000
0.004936832495
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
859464270.60000000
COP
212745.00000000
USD
2022-01-12
1556.48000000
N
N
N
ENABLE MIDSTREAM PARTNER
549300TLGDBYE711G509
Enable Midstream Partners LP
292480AH3
25000.00000000
PA
USD
26104.05000000
0.082796645195
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.90000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
STOXX EUROPE 600 MAR22
000000000
13.00000000
NC
11528.85000000
0.036567126670
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex Stoxx Europe 600 Futures
SXOH2 INDEX
2022-03-18
306098.65000000
EUR
11528.85000000
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
200000.00000000
PA
149997.49000000
0.475761001058
Long
DBT
CORP
ES
N
2
2023-01-19
Fixed
4.00000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
260000.00000000
PA
300534.23000000
0.953232391536
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
135306.27000000
0.429163491100
Long
DBT
NUSS
CN
N
2
2023-01-21
Fixed
1.25000000
N
N
N
N
N
N
Illinois Tool Works Inc
76NA4I14SZCFAYMNSV04
Illinois Tool Works Inc
452308AX7
45000.00000000
PA
USD
47189.62000000
0.149675710245
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.65000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
38435.91000000
0.121910753427
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2546173.68000000
USD
14420000.00000000
BRL
2022-01-12
38435.91000000
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017DD8
25000.00000000
PA
USD
27108.03000000
0.085981062013
Long
DBT
CORP
US
N
2
2025-08-16
Fixed
3.95000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S2154504 CDS EUR R F 5.00000 FIX CCPITRAXX / Short: S2154504 CDS EUR P V 03MEVENT FLO CCPITRAXX
000000000
400000.00000000
OU
Notional Amount
54084.74000000
0.171545604159
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S36.V1
2I667KJO7
Y
sell protection
2026-12-20
47223.96000000
EUR
0.00000000
EUR
400000.00000000
EUR
-1209.36000000
N
N
N
IRISH TSY 1% 2026
549300KXBEJAOJ9OVF93
Ireland Government Bond
000000000
490000.00000000
PA
590656.11000000
1.873438963378
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
120055.70000000
0.380791838682
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
27070.53000000
0.085862119772
Long
DBT
NUSS
XX
N
2
2025-06-05
Fixed
4.50000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
200000.00000000
PA
156415.45000000
0.496117442185
Long
DBT
NUSS
AU
N
2
2027-11-21
Fixed
2.75000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED MYR / SOLD USD
000000000
1.00000000
NC
4173.88000000
0.013238683707
N/A
DFE
MY
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
611058.15000000
USD
2564000.00000000
MYR
2022-01-12
4173.88000000
N
N
N
State Street Global Advisors
5493008BJIBKQ5KTIF74
State Street Navigator Securities Lending Government Money Market Portfolio
857492706
1289086.00000000
NS
USD
1289086.00000000
4.088714056552
Long
STIV
RF
US
N
2
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
54744.34000000
0.173637718875
N/A
DFE
MX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
764400.00000000
USD
16794097.32000000
MXN
2022-01-12
54744.34000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAM6
35000.00000000
PA
USD
36932.88000000
0.117143453272
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
4.30000000
N
N
N
N
N
N
iShares MSCI International Value Factor ETF
549300HD4TSTWEGNNR73
iShares MSCI International Value Factor ETF
46435G409
56055.00000000
NS
USD
1426039.20000000
4.523101268833
Long
EC
RF
US
N
1
N
N
EUROPEAN UNION
529900FZRK8FGMPEOM08
European Union
000000000
30000.00000000
PA
39377.29000000
0.124896615999
Long
DBT
NUSS
XX
N
2
2026-09-04
Fixed
3.00000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
PURCHASED USD / SOLD HKD
000000000
1.00000000
NC
2.99000000
0.000009483661
N/A
DFE
US
N
2
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
365000.00000000
HKD
46813.05000000
USD
2022-01-12
2.99000000
N
N
N
COSTCO WHOLESALE CORP
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160KAP0
10000.00000000
PA
USD
9687.59000000
0.030727030940
Long
DBT
CORP
US
N
2
2030-04-20
Fixed
1.60000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
100000.00000000
PA
122320.40000000
0.387974998474
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
218271.69000000
0.692312636279
Long
DBT
NUSS
ES
N
2
2025-04-30
Fixed
1.60000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-24233.46000000
-0.07686352077
N/A
DFE
CL
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
507234.78000000
USD
411900000.00000000
CLP
2022-01-12
-24233.46000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BJ9
200000.00000000
PA
USD
209225.27000000
0.663619263908
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
20874.90000000
0.066210863401
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
45233.70000000
0.143471936720
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
190906.31000000
0.605515313316
Long
DBT
NUSS
NZ
N
2
2026-05-15
Fixed
0.50000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-10666.24000000
-0.03383110624
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
4925000.00000000
CAD
3882748.41000000
USD
2022-01-12
-10666.24000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828SF8
1090000.00000000
PA
USD
1092470.10000000
3.465089105175
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
96926.74000000
0.307431563366
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
225966.36000000
0.716718537351
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
20504.60000000
0.065036348423
Long
DBT
CORP
US
N
2
2025-03-03
Fixed
2.00000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD PHP
000000000
1.00000000
NC
6143.64000000
0.019486354848
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
76350000.00000000
PHP
1502982.34000000
USD
2022-01-12
6143.64000000
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
000000000
100000.00000000
PA
116878.37000000
0.370714005369
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
52731.22000000
0.167252518787
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
10084.29000000
0.031985281256
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
199552.18000000
0.632938223967
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
22142.75000000
0.070232221260
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
127546.28000000
0.404550408504
Long
DBT
CORP
FR
N
2
2049-05-28
Fixed
3.25000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAU9
300000.00000000
PA
USD
299455.83000000
0.949811929877
Long
DBT
CORP
IE
N
2
2024-10-29
Fixed
1.65000000
N
N
N
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
755634.00000000
PA
724293.71000000
2.297309778517
Long
DBT
NUSS
NZ
N
2
2030-09-20
Fixed
3.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR22
000000000
-4.00000000
NC
USD
-9849.59000000
-0.03124086141
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
Ultra 10-Year US Treasury Note Futures
UXYH2 COMDTY
2022-03-22
-575900.41000000
USD
-9849.59000000
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BG0
25000.00000000
PA
USD
26999.87000000
0.085638000873
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
10000.00000000
PA
USD
10450.00000000
0.033145237704
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
53174.04000000
0.168657052199
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
31306.79000000
0.099298659933
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
199662.50000000
0.633288136180
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
WESTPAC BANKING CORP NZ
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp/New Zealand
96122UAA2
80000.00000000
PA
USD
83285.76000000
0.264165197374
Long
DBT
CORP
AU
N
2
2027-09-21
Fixed
5.00000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
LONG GILT FUTURE MAR22
000000000
-5.00000000
NC
2364.25000000
0.007498911793
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
Short
Long Gilt Future
G H2 COMDTY
2022-03-29
-626246.70000000
GBP
2364.25000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796Q44
3500000.00000000
PA
USD
3498337.50000000
11.09600268005
Long
STIV
UST
US
N
2
2022-06-02
None
0.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DE7
35000.00000000
PA
USD
36239.35000000
0.114943719616
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.62500000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
S+P/TSX 60 IX FUT MAR22
000000000
1.00000000
NC
3460.37000000
0.010975577626
N/A
DE
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Montreal Exchange S&P/TSX 60 Index Future
PTH2 INDEX
2022-03-17
251802.80000000
CAD
3460.37000000
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAC2
15000.00000000
PA
USD
15767.70000000
0.050011881774
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
36708.02000000
0.116430243879
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFS3
80000.00000000
PA
USD
86712.74000000
0.275034868829
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.87500000
N
N
N
N
N
N
PHOENIX GROUP HOLDINGS
21380031B1D56JRCE375
Phoenix Group Holdings PLC
000000000
150000.00000000
PA
206244.87000000
0.654166051807
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
33943.13000000
0.107660584906
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
551681.99000000
1.749821119196
Long
DBT
NUSS
CA
N
2
2024-09-01
Fixed
1.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-1101.55000000
-0.00349388866
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
14700000.00000000
TWD
530207.39000000
USD
2022-01-12
-1101.55000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
1019.72000000
0.003234340841
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
1203000000.00000000
KRW
1012813.82000000
USD
2022-01-12
1019.72000000
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
100000.00000000
PA
136693.66000000
0.433564005104
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
22057.03000000
0.069960335157
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
76797.16000000
0.243584700784
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
91860.26000000
0.291361737153
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00400000
N
N
N
N
N
N
Electricite de France SA
549300X3UK4GG3FNMO06
Electricite de France SA
000000000
100000.00000000
PA
USD
105471.00000000
0.334532188122
Long
DBT
CORP
FR
N
2
2024-01-22
Fixed
5.62500000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT MAR22
000000000
2.00000000
NC
5752.27000000
0.018245010190
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Montreal Exchange 10 Year Canadian Bond Future
CNH2 COMDTY
2022-03-22
277963.66000000
CAD
5752.27000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCS6
25000.00000000
PA
USD
25022.87000000
0.079367365950
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
12452.55000000
0.039496911939
Long
DBT
CORP
CA
N
2
2025-01-17
Fixed
3.75000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
69822.28000000
0.221461824654
N/A
DFE
PL
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1908613.43000000
USD
7975000.00000000
PLN
2022-01-12
69822.28000000
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GN7
20000.00000000
PA
USD
21354.11000000
0.067730818364
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
121332.64000000
0.384842028139
Long
DBT
CORP
FR
N
2
2025-08-05
Fixed
2.20000000
N
N
N
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
SPI 200 FUTURES MAR22
000000000
1.00000000
NC
1690.51000000
0.005361947922
N/A
DE
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
SFE S&P ASX Share Price Index 200 Future
XPH2 INDEX
2022-03-17
181351.44000000
AUD
1690.51000000
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
6000.00000000
PA
USD
8182.52000000
0.025953260327
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HD6
130000.00000000
PA
USD
137010.63000000
0.434569368357
Long
DBT
CORP
US
N
2
2023-10-25
Fixed
3.87500000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
FTSE 100 IDX FUT MAR22
000000000
15.00000000
NC
28405.46000000
0.090096241511
N/A
DE
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Long
FTSE 100 Index Future
Z H2 INDEX
2022-03-18
1077614.10000000
GBP
28405.46000000
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13645RBD5
60000.00000000
PA
USD
60072.11000000
0.190536302902
Long
DBT
CORP
CA
N
2
2024-12-02
Fixed
1.35000000
N
N
N
N
N
N
JAPAN (2 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Two Year Bond
000000000
42000000.00000000
PA
365359.47000000
1.158844639289
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
37398.48000000
0.118620240131
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
36753.99000000
0.116576051207
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
5000.00000000
PA
USD
5299.27000000
0.016808187924
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
116753.14000000
0.370316801722
Long
DBT
CORP
PL
N
2
2027-07-05
Fixed
2.37500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DC9
24000.00000000
PA
USD
25972.24000000
0.082378571148
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
1056156.52000000
3.349909943358
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
25293.19000000
0.080224765056
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
208160.00000000
0.660240447892
Long
DBT
CORP
FR
N
2
2029-03-13
Fixed
5.25000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCS8
35000.00000000
PA
USD
38210.57000000
0.121196021574
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
547575.00000000
1.736794596727
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
96829.35000000
0.307122662438
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
119306.56000000
0.378415721612
Long
DBT
CORP
NL
N
2
2024-03-26
Fixed
2.62500000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
29935.89000000
0.094950448797
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
5640000.00000000
NZD
3892530.60000000
USD
2022-01-12
29935.89000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: S2167630 CDS USD R F 5.00000 FIX CCPCDX / Short: S2167630 CDS USD P V 03MEVENT FLO CCPCDX
000000000
1160000.00000000
OU
Notional Amount
USD
105850.00000000
0.335734297700
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.HY.S37.V1
2I65BRYQ7
Y
sell protection
2026-12-20
103190.47000000
USD
0.00000000
USD
1160000.00000000
USD
2659.53000000
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
000000000
100000.00000000
PA
118329.73000000
0.375317418976
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
67396.57000000
0.213767974458
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.35000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT MAR22
000000000
5.00000000
NC
USD
24889.25000000
0.078943550959
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME E-Mini Standard & Poor's 500 Index Future
ESH2 INDEX
2022-03-18
1164735.75000000
USD
24889.25000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DG7
20000.00000000
PA
USD
19995.23000000
0.063420732181
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
22106.76000000
0.070118068427
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
37025.88000000
0.117438430028
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
Liberty Mutual Group Inc
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBG8
25000.00000000
PA
USD
28727.54000000
0.091117812627
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.56900000
N
N
N
N
N
N
EFSF
222100OW6UHQXNHKN143
European Financial Stability Facility
000000000
100000.00000000
PA
117139.09000000
0.371540955261
Long
DBT
NUSS
LU
N
2
2025-07-11
Fixed
0.50000000
N
N
N
N
N
N
iShares MSCI USA Value Factor ETF
549300QCMVXVCAPD3O82
iShares MSCI USA Value Factor ETF
46432F388
9270.00000000
NS
USD
1014786.90000000
3.218694068848
Long
EC
RF
US
N
1
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
100000.00000000
PA
116129.92000000
0.368340076837
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
151473.95000000
0.480444026672
Long
DBT
CORP
GB
N
2
2026-02-22
Fixed
4.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
8363.86000000
0.026528433284
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
3068076375.00000000
COP
762255.00000000
USD
2022-01-12
8363.86000000
N
N
N
KOMMUNINVEST I SVERIGE
EV2XZWMLLXF2QRX0CD47
Kommuninvest I Sverige AB
000000000
200000.00000000
PA
USD
200052.00000000
0.634523549585
Long
DBT
NUSS
SE
N
2
2022-02-02
Fixed
0.50000000
N
N
N
N
N
N
JAPAN GOVT CPI LINKED
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
000000000
47932480.00000000
PA
428362.94000000
1.358678609560
Long
DBT
NUSS
JP
N
2
2026-03-10
Fixed
0.10000000
N
N
N
N
N
N
AURIZON NETWORK PTY LTD
549300FNL9A7DVZKZ444
Aurizon Network Pty Ltd
000000000
30000.00000000
PA
22861.31000000
0.072511344897
Long
DBT
CORP
AU
N
2
2024-06-21
Fixed
4.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR22
000000000
-6.00000000
NC
20896.23000000
0.066278517748
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex 10 Year Euro BUND Future
RXH2 COMDTY
2022-03-08
-1046574.18000000
EUR
20896.23000000
N
N
N
CHEVRON PHILLIPS CHEM CO
N/A
Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co LP
166754AQ4
120000.00000000
PA
USD
123574.26000000
0.391951982947
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
3.30000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-100420.84000000
-0.31851412557
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
6860000.00000000
EUR
7710907.54000000
USD
2022-01-12
-100420.84000000
N
N
N
CHEVRON PHILLIPS CHEM CO
N/A
Chevron Phillips Chemical Co LLC / Chevron Phillips Chemical Co LP
166754AW1
25000.00000000
PA
USD
27757.57000000
0.088041268491
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.12500000
N
N
N
N
N
N
PACIFICORP
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114CW6
5000.00000000
PA
USD
5147.48000000
0.016326741452
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
2.70000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
14981.96000000
0.047519677078
N/A
DFE
MX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
210600.00000000
USD
4624881.30000000
MXN
2022-01-12
14981.96000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468C6
85000.00000000
PA
USD
92117.91000000
0.292178949641
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
137864.48000000
0.437277603880
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
10352.70000000
0.032836622237
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
2.40000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432NS0
15000.00000000
PA
USD
16505.41000000
0.052351745249
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.70000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO STOXX 50 MAR22
000000000
-27.00000000
NC
-37385.37000000
-0.11857865792
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Eurex EURO STOXX 50 Future
VGH2 INDEX
2022-03-18
-1124787.60000000
EUR
-37385.37000000
N
N
N
WPP Finance 2010
549300OJB3S151W7KN44
WPP Finance 2010
92936MAF4
25000.00000000
PA
USD
26428.46000000
0.083825606588
Long
DBT
CORP
GB
N
2
2024-09-19
Fixed
3.75000000
N
N
N
N
N
N
GLOBALWORTH REAL ESTATE
213800R3E823B1UBIA81
Globalworth Real Estate Investments Ltd
000000000
100000.00000000
PA
119599.38000000
0.379344486063
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
47403.73000000
0.150354822862
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.62500000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR22
000000000
13.00000000
NC
USD
6481.03000000
0.020556486116
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT 5 Year US Treasury Note
FVH2 COMDTY
2022-03-31
1566214.29000000
USD
6481.03000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
35000.00000000
PA
43898.14000000
0.139235816752
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
118708.62000000
0.376519179657
Long
DBT
CORP
US
N
2
2024-03-06
Fixed
3.02100000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CS9
20000.00000000
PA
USD
19977.81000000
0.063365479546
Long
DBT
CORP
US
N
2
2024-10-18
Fixed
1.21500000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-52833.49000000
-0.16757689806
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1945000.00000000
CHF
2082148.41000000
USD
2022-01-12
-52833.49000000
N
N
N
UNITED AIR 2016-1 B PTT
N/A
United Airlines 2016-1 Class B Pass Through Trust
90933HAA3
35011.57000000
PA
USD
34621.92000000
0.109813566332
Long
DBT
CORP
US
N
2
2026-01-07
Fixed
3.65000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-745.64000000
-0.00236501579
N/A
DFE
CL
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
490000.00000000
USD
417232550.00000000
CLP
2022-01-12
-745.64000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEN0
25000.00000000
PA
USD
26608.03000000
0.084395165472
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.37600000
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
420000.00000000
PA
319947.75000000
1.014808059964
Long
DBT
NUSS
AU
N
2
2028-05-21
Fixed
2.25000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
-5856.75000000
-0.01857639913
N/A
DFE
XX
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
366071.04000000
GBP
430000.00000000
EUR
2022-01-12
-5856.75000000
N
N
N
JAPAN (10 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Ten Year Bond
000000000
63000000.00000000
PA
556347.56000000
1.764619341844
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
25357.81000000
0.080429726325
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
23153410.00000000
PA
209030.83000000
0.663002540461
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
70331.64000000
0.223077409178
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.30000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796M97
1000000.00000000
PA
USD
999903.67000000
3.171487542900
Long
STIV
UST
US
N
2
2022-03-10
None
0.00000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBT1
20000.00000000
PA
USD
20468.64000000
0.064922290744
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.50000000
N
N
N
N
N
N
UNIBAIL-RODAMCO-WESTFLD
969500SHQITWXSIS7N89
Unibail-Rodamco-Westfield SE
000000000
100000.00000000
PA
114070.83000000
0.361809069421
Long
DBT
FR
N
2
2026-01-25
Fixed
2.87500000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
STOXX 600 BANK MAR22
000000000
134.00000000
NC
55539.09000000
0.176158501427
N/A
DE
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex STOXX 600 Banks Index Future
BJH2 INDEX
2022-03-18
919367.30000000
EUR
55539.09000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE MAR22
000000000
-2.00000000
NC
2456.95000000
0.007792937012
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
CME 1 Year Mid-Curve 3 Month Eurodollar Option
OEH2 COMDTY
2022-03-08
-268638.06000000
EUR
2456.95000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-19476.91000000
-0.06177672839
N/A
DFE
US
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
10445295.70000000
MXN
490000.00000000
USD
2022-01-12
-19476.91000000
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KM2
25000.00000000
PA
USD
25439.61000000
0.080689178999
Long
DBT
CORP
US
N
2
2023-07-30
Fixed
2.10000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR22
000000000
-1.00000000
NC
USD
-4384.27000000
-0.01390599725
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CME Ultra Long Term US Treasury Bond Future
WNH2 COMDTY
2022-03-22
-192740.73000000
USD
-4384.27000000
N
N
N
VOLKSWAGEN INTL FIN NV
5299004PWNHKYTR23649
Volkswagen International Finance NV
000000000
100000.00000000
PA
119891.75000000
0.380271823206
Long
DBT
CORP
NL
N
2
2024-06-27
Fixed
3.37500000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAU5
15000.00000000
PA
USD
15978.36000000
0.050680051705
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.40000000
N
N
N
N
N
N
Albemarle Corp
HDBLS2Q6GV1LSKQPBS54
Albemarle Corp
012725AD9
50000.00000000
PA
USD
65044.33000000
0.206307155899
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
139713.43000000
0.443142090698
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
110144.10000000
0.349354294373
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
60750.00000000
0.192686429714
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-996.90000000
-0.00316196052
N/A
DFE
JP
N
2
Canadian Imperial Bank of Commerce
2IGI19DL77OX0HC3ZE78
1465031.55000000
USD
168400000.00000000
JPY
2022-01-12
-996.90000000
N
N
N
COMMONWEALTH BANK AUST
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
000000000
100000.00000000
PA
118162.60000000
0.374787317199
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
125410.29000000
0.397775490199
Long
DBT
CORP
ES
N
2
2026-04-04
Fixed
3.25000000
N
N
N
N
N
N
RESA SA BELGIUM
549300Y2TNSX5TN57R56
Resa SA/Belgium
000000000
100000.00000000
PA
117259.77000000
0.371923727251
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
115249.18000000
0.365546551798
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
212485.55000000
0.673960197457
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
99334.09000000
0.315067179441
Long
DBT
CORP
LU
N
2
2024-07-26
Fixed
1.50000000
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828WE6
100000.00000000
PA
USD
103777.34000000
0.329160249052
Long
DBT
UST
US
N
2
2023-11-15
Fixed
2.75000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
38099.51000000
0.120843762235
N/A
DFE
NO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2863840.77000000
USD
25560000.00000000
NOK
2022-01-12
38099.51000000
N
N
N
XLIT Ltd
635400XCGXK8NVDIVE95
XLIT Ltd
98420EAB1
20000.00000000
PA
USD
27499.80000000
0.087223675388
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
30448.60000000
0.096576658828
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
64651.27000000
0.205060450910
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
126231.15000000
0.400379088268
Long
DBT
CORP
NL
N
2
2025-06-16
Fixed
4.37500000
N
N
N
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
MSCI EMGMKT MAR22
000000000
17.00000000
NC
USD
10507.70000000
0.033328250164
N/A
DE
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Long
ICE US MSCI Emerging Markets EM Index Futures
MESH2 INDEX
2022-03-18
1031847.30000000
USD
10507.70000000
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087K60
520000.00000000
PA
411508.09000000
1.305218512937
Long
DBT
NUSS
CA
N
2
2022-02-01
Fixed
1.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-21445.29000000
-0.06802002245
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1310000.00000000
GBP
1751678.95000000
USD
2022-01-12
-21445.29000000
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
863579PU6
46431.34000000
PA
USD
0.46000000
0.000001459024
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Variable
2.66800000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-65348.03000000
-0.20727042945
N/A
DFE
CO
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
1960452.21000000
USD
7712419000.00000000
COP
2022-01-12
-65348.03000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZT0
1030000.00000000
PA
USD
1001916.41000000
3.177871537708
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
97054.87000000
0.307837965214
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
4.80000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAE8
5000.00000000
PA
USD
5161.88000000
0.016372415272
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
36643.13000000
0.116224426226
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.15000000
N
N
N
N
N
N
Italian Derivatives Market
N/A
FTSE/MIB IDX FUT MAR22
000000000
5.00000000
NC
23409.94000000
0.074251485735
N/A
DE
IT
N
1
Italian Derivatives Market
N/A
Long
FTSE/MIB Index Future
STH2 INDEX
2022-03-18
660637.90000000
EUR
23409.94000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
000000000
40000.00000000
PA
48056.16000000
0.152424195822
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
82251.05000000
0.260883311354
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.75000000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR MAR22
000000000
8.00000000
NC
38224.67000000
0.121240743857
N/A
DE
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
TSE TOPIX (Tokyo Price Index) Future
TPH2 INDEX
2022-03-10
154963016.00000000
JPY
38224.67000000
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBN9
30000.00000000
PA
USD
33228.26000000
0.105393165185
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.25000000
N
N
N
N
N
N
BK OF ENGLAND EURO NOTE
YUEDD7W89PH0FV8Q2S28
Bank of England Euro Note
000000000
40000.00000000
PA
USD
39961.44000000
0.126749418927
Long
DBT
NUSS
GB
N
2
2023-04-28
Fixed
0.50000000
N
N
N
N
N
N
QUANTA SERVICES INC
SHVRXXEACT60MMH07S24
Quanta Services Inc
74762EAG7
50000.00000000
PA
USD
49457.45000000
0.156868797749
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
0.95000000
N
N
N
N
N
N
AIR PRODUCTS & CHEMICALS
7QEON6Y1RL5XR3R1W237
Air Products and Chemicals Inc
009158BC9
20000.00000000
PA
USD
20117.32000000
0.063807976398
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
34859.15000000
PA
USD
34746.99000000
0.110210262492
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
4.37500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1226.95000000
0.003891631521
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
186654.86000000
USD
165000.00000000
EUR
2022-01-12
1226.95000000
N
N
N
YORKSHIRE WATER SRV BRAD
213800O8BDOGHJMTCP32
Yorkshire Water Finance PLC
000000000
100000.00000000
PA
137963.14000000
0.437590532985
Long
DBT
CORP
KY
N
2
2046-03-22
Fixed
3.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR22
000000000
-13.00000000
NC
USD
-20128.35000000
-0.06384296127
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 10 Year US Treasury Note
TYH2 COMDTY
2022-03-22
-1675965.40000000
USD
-20128.35000000
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804FZ2
20000.00000000
PA
USD
21889.16000000
0.069427886252
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
323875.00000000
1.027264484344
Long
DBT
UST
US
N
2
2023-09-30
Fixed
1.37500000
N
N
N
N
N
N
2022-02-01
UBS FUNDS
Joanne Kilkeary
Joanne Kilkeary
Vice President and Treasurer