0001752724-20-078052.txt : 20200424
0001752724-20-078052.hdr.sgml : 20200424
20200424115647
ACCESSION NUMBER: 0001752724-20-078052
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200229
FILED AS OF DATE: 20200424
PERIOD START: 20200831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PRINCIPAL FUNDS INC
CENTRAL INDEX KEY: 0000898745
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07572
FILM NUMBER: 20813500
BUSINESS ADDRESS:
STREET 1: 711 HIGH STREET
CITY: DES MOINES
STATE: IA
ZIP: 50392
BUSINESS PHONE: 515-248-4745
MAIL ADDRESS:
STREET 1: PRINCIPAL FINANCIAL GROUP
CITY: DES MOINES
STATE: IA
ZIP: 50392
FORMER COMPANY:
FORMER CONFORMED NAME: PRINCIPAL INVESTORS FUND INC
DATE OF NAME CHANGE: 20001012
FORMER COMPANY:
FORMER CONFORMED NAME: PRINCIPAL SPECIAL MARKETS FUND INC
DATE OF NAME CHANGE: 19930714
0000898745
S000028139
Diversified Real Asset Fund
C000085834
Class A
PRDAX
C000085835
Class C
PRDCX
C000085836
Institutional Class
PDRDX
C000150253
R-6
PDARX
C000167691
R-5
PGDTX
C000167692
R-3
PGDRX
C000167693
R-4
PGDSX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000898745
XXXXXXXX
S000028139
C000085836
C000167692
C000085834
C000150253
C000085835
C000167693
C000167691
Principal Funds, Inc
811-07572
0000898745
549300HZGBXSW6DSXF23
801 Grand Ave
Des Moines
50309
515-248-0156
Diversified Real Asset Fund
S000028139
549300FY1HF8KNDK4G58
2020-08-31
2020-02-29
N
3812028379.57
120904202.80
3691124176.77
0.00000000
323775074.30000100
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
56034703.05000000
0.00000000
0.00000000
23048053.96999999
USD
N
N/A
N/A
Interest Rate Swaptions
N/A
25890000.00000000
OU
Notional Amount
USD
-0.16000000
-0.00000000433
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
25890000.00000000
OU
Notional Amount
USD
-0.16000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
25890000.00000000
USD
25890000.00000000
USD
2.32500000
USD
2020-04-07
XXXX
55986.97000000
N
N
N
Japan Retail Fund Investment Corp
353800QDHNIP60E1LQ93
Japan Retail Fund Investment Corp
N/A
1374.00000000
NS
2604704.83000000
0.070566708277
Long
EC
CORP
JP
N
2
N
N
N
Fieldwood Energy LLC
N/A
Fieldwood Energy LLC
31660T102
12648.00000000
NS
USD
126480.00000000
0.003426598346
Long
EC
CORP
US
Y
2
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
7028807.96700000
PA
USD
9183015.24000000
0.248786407615
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.38000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
780000.00000000
OU
Notional Amount
USD
-216843.98000000
-0.00587474085
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2050-06-15
20.49000000
USD
0.00000000
USD
780000.00000000
USD
-216864.47000000
N
N
N
Calpine Corp
43R4VPJBXTU2O15HEF41
Calpine Corp
N/A
1945216.01000000
PA
USD
1909560.20000000
0.051733837946
Long
LON
CORP
US
N
2
2026-08-12
Floating
3.60330000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3990000.00000000
OU
Notional Amount
USD
101364.63000000
0.002746172308
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2027-02-15
0.00000000
USD
267.86000000
USD
3990000.00000000
USD
101632.49000000
N
N
N
PBF Energy Inc
2549003PBEDCSZMZIY02
PBF Energy Inc
69318G106
150170.00000000
NS
USD
3362306.30000000
0.091091660398
Long
EC
CORP
US
N
1
N
N
N
Entercom Media Corp
549300S5JUSXRHNCHD80
Entercom Media Corp
N/A
1106691.11000000
PA
USD
1091474.11000000
0.029570235454
Long
LON
CORP
US
N
2
2024-11-18
Floating
4.10330000
N
N
N
N
N
N
Bunge Ltd
5493007M0RIN8HY3MM77
Bunge Ltd
G16962105
144911.00000000
NS
USD
6803571.45000000
0.184322475326
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
160000.00000000
OU
Notional Amount
USD
27906.36000000
0.000756039587
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2050-01-10
4.48000000
USD
0.00000000
USD
160000.00000000
USD
27901.88000000
N
N
N
CEOC LLC
N/A
CEOC LLC
N/A
1633374.91000000
PA
USD
1624293.35000000
0.044005383514
Long
LON
CORP
US
N
2
2024-10-06
Floating
3.64520000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
11079.72000000
0.000300171965
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-24
6.28000000
USD
0.00000000
USD
300000.00000000
USD
11073.44000000
N
N
N
Nascar Holdings LLC
N/A
Nascar Holdings LLC
N/A
1651329.79000000
PA
USD
1640596.15000000
0.044447059254
Long
LON
CORP
US
N
2
2026-10-19
Floating
4.38960000
N
N
N
N
N
N
TerraForm Power Inc
549300V0USOOV31S6Z05
TerraForm Power Inc
88104R209
842857.00000000
NS
USD
15837283.03000000
0.429063945604
Long
EC
CORP
US
N
1
N
N
N
Terna Rete Elettrica Nazionale SpA
8156009E94ED54DE7C31
Terna Rete Elettrica Nazionale SpA
N/A
3426559.00000000
NS
22652034.95000000
0.613689322417
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
600000.00000000
OU
Notional Amount
USD
34241.27000000
0.000927665078
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-28
12.48000000
USD
0.00000000
USD
600000.00000000
USD
34228.79000000
N
N
N
Koninklijke Vopak NV
724500UL634GFV1KYF10
Koninklijke Vopak NV
N/A
42118.00000000
NS
2005009.76000000
0.054319759075
Long
EC
CORP
NL
N
2
N
N
N
Kimberly-Clark Corp
MP3J6QPYPGN75NVW2S34
Kimberly-Clark Corp
494368103
25557.00000000
NS
USD
3352822.83000000
0.090834734065
Long
EC
CORP
US
N
1
N
N
N
Apartment Investment & Management Co
549300O8FT5GJ4RU1D57
Apartment Investment & Management Co
03748R754
99663.00000000
NS
USD
4767877.92000000
0.129171431023
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
20537.51000000
0.000556402575
N/A
DFE
N/A
N
2
BMO Capital Markets
N/A
830000.00000000
AUD
561373.95000000
USD
2020-03-18
20537.51000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
30000.00000000
OU
Notional Amount
USD
-12040.59000000
-0.00032620387
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2049-02-15
0.77000000
USD
0.00000000
USD
30000.00000000
USD
-12041.36000000
N
N
N
Benchmark 2019-B12 Mortgage Trust
N/A
Benchmark 2019-B12 Mortgage Trust
08162FAA1
2763400.74000000
PA
USD
2814121.03000000
0.076240215588
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Fixed
2.26000000
N
N
N
N
N
N
Itron Inc
24F6LSZD18II6ICG6S41
Itron Inc
465741106
47318.00000000
NS
USD
3588597.12000000
0.097222335205
Long
EC
CORP
US
N
1
N
N
N
American Water Works Co Inc
549300DXHIJQMD5WFW18
American Water Works Co Inc
030420103
113758.00000000
NS
USD
14067314.28000000
0.381111921634
Long
EC
CORP
US
N
1
N
N
N
Snam SpA
8156002278562044AF79
Snam SpA
N/A
3825888.00000000
NS
18970160.33000000
0.513939911569
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Futures
N/A
53.00000000
NC
-134493.57000000
-0.00364370212
N/A
DIR
N/A
N
1
CME
N/A
Short
N/A
Euro-BTP; March 2020
2020-03-09
8528305.21000000
USD
-134493.57000000
N
N
N
Casella Waste Systems Inc
8EU0XUFVJ48U37IIDH51
Casella Waste Systems Inc
147448104
149484.00000000
NS
USD
7242499.80000000
0.196213929771
Long
EC
CORP
US
N
1
N
N
N
Brightspring Health
N/A
Brightspring Health
N/A
3021541.30000000
PA
USD
2971172.21000000
0.080495048871
Long
LON
CORP
US
N
2
2026-03-05
Floating
4.92100000
N
N
N
N
N
N
Avolon TLB Borrower 1 US LLC
635400O84AGITYFZQB55
Avolon TLB Borrower 1 US LLC
N/A
2459255.20000000
PA
USD
2410070.10000000
0.065293660808
Long
LON
CORP
US
N
2
2027-02-05
Floating
3.14700000
N
N
N
N
N
N
Project Boost Purchaser LLC
N/A
Project Boost Purchaser LLC
N/A
995625.00000000
PA
USD
968245.31000000
0.026231718675
Long
LON
CORP
US
N
2
2026-05-22
Floating
5.10340000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1090000.00000000
OU
Notional Amount
USD
-1363.07000000
-0.00003692831
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1090000.00000000
OU
Notional Amount
USD
-1363.07000000
-0.00003700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1090000.00000000
USD
1090000.00000000
USD
2.00000000
USD
2020-08-04
XXXX
14877.93000000
N
N
N
BX Trust 2019-CALM
N/A
BX Trust 2019-CALM
05608FAA9
2500000.00000000
PA
USD
2500781.75000000
0.067751222398
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
2.53000000
N
N
N
N
N
N
Hydro One Ltd
5493007QZDXTP1W2VL44
Hydro One Ltd
N/A
661258.00000000
NS
13271961.65000000
0.359564214434
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
68315.54000000
0.001850805790
N/A
DFE
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
68315.54000000
0.00185100
DFE
4483600.00000000
GBP
5095000.00000000
EUR
N/A
5095000.00000000
EUR
0.88000000
EUR
2020-08-06
XXXX
33642.87000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
29670.77000000
0.000803841013
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
1815000.00000000
CAD
1381993.76000000
USD
2020-03-18
29670.77000000
N
N
N
California Resources Corp
N/A
California Resources Corp
N/A
764428.42000000
PA
USD
384125.28000000
0.010406728725
Long
LON
CORP
US
N
2
2021-12-31
Floating
11.98810000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
19584.09000000
0.000530572504
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-22
6.23000000
USD
0.00000000
USD
300000.00000000
USD
19577.86000000
N
N
N
Anglo American PLC
549300S9XF92D1X8ME43
Anglo American PLC
N/A
829474.00000000
NS
19515426.83000000
0.528712281012
Long
EC
CORP
GB
N
2
N
N
N
Univar Solutions USA Inc/Washington
5493008FTB9VZW6CVA82
Univar Solutions USA Inc/Washington
N/A
1137691.65000000
PA
USD
1118726.33000000
0.030308553070
Long
LON
CORP
US
N
2
2024-07-01
Floating
3.85350000
N
N
N
N
N
N
Ziggo Financing Partnership
213800TQASLF9JXH5J59
Ziggo Financing Partnership
N/A
2125257.63000000
PA
USD
2057950.72000000
0.055754036478
Long
LON
CORP
US
N
2
2028-04-17
Floating
4.15840000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
34.00000000
NC
USD
263657.89000000
0.007143024113
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
Palladium; September 2020
2020-09-29
8423160.00000000
USD
263657.89000000
N
N
N
CubeSmart
N/A
CubeSmart
229663109
107932.00000000
NS
USD
3267101.64000000
0.088512374104
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2010000.00000000
OU
Notional Amount
USD
16530.73000000
0.000447850822
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
2010000.00000000
OU
Notional Amount
USD
16530.73000000
0.00044800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2010000.00000000
USD
2010000.00000000
USD
2.25000000
USD
2022-08-03
XXXX
-37739.27000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1760000.00000000
OU
Notional Amount
USD
32420.29000000
0.000878331057
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1760000.00000000
OU
Notional Amount
USD
32420.29000000
0.00087800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1760000.00000000
USD
1760000.00000000
USD
1.45750000
USD
2021-08-17
XXXX
-30411.71000000
N
N
N
INEOS US Finance LLC
5493008MHJ4R367SNK31
INEOS US Finance LLC
N/A
235528.27000000
PA
USD
230817.70000000
0.006253317118
Long
LON
CORP
US
N
2
2024-03-31
Floating
3.60260000
N
N
N
N
N
N
US Foods Inc
5493000JOOFAOUY1JZ87
US Foods Inc
N/A
6173605.20000000
PA
USD
6091311.04000000
0.165025903987
Long
LON
CORP
US
N
2
2023-06-27
Floating
3.39520000
N
N
N
N
N
N
N/A
N/A
Total Return Swaps
N/A
442842.01190000
NC
USD
-4939361.83000000
-0.13381727607
N/A
DCO
N/A
N
2
Bank of America NA
N/A
Bloomberg Commodity Index Total Return
N/A
Bloomberg Commodity Index Total Return
Y
Receive positive return on reference instrument
2020-03-25
0.00000000
USD
0.00000000
USD
71926620.69000000
USD
-4939361.83000000
N
N
N
N/A
N/A
Futures
N/A
206.00000000
NC
USD
241978.74000000
0.006555692206
N/A
DIR
N/A
N
1
CME
N/A
Long
N/A
US 5 Year Note; June 2020
2020-07-01
25286500.00000000
USD
241978.74000000
N
N
N
Fortescue Metals Group Ltd
529900VEJFORCO6I4826
Fortescue Metals Group Ltd
N/A
438332.00000000
NS
2927779.29000000
0.079319447132
Long
EC
CORP
AU
N
2
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828WU0
17701117.44000000
PA
USD
18164122.56000000
0.492102722371
Long
DBT
UST
US
N
2
2024-07-15
Fixed
0.13000000
N
N
N
N
N
N
UNITE Group PLC/The
213800BBUUWVDH9YI827
UNITE Group PLC/The
N/A
482505.00000000
NS
7019332.95000000
0.190167889614
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1760000.00000000
OU
Notional Amount
USD
-86709.30000000
-0.00234912985
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Call
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1760000.00000000
OU
Notional Amount
USD
-86709.30000000
-0.00234900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1760000.00000000
USD
1760000.00000000
USD
1.45000000
USD
2022-01-31
XXXX
-45569.30000000
N
N
N
Gazprom PJSC
213800FD9J2IHTA7YX78
Gazprom PJSC
368287207
363146.00000000
NS
USD
2222741.49000000
0.060218550868
Long
EC
CORP
RU
N
2
N
N
N
Citigroup Commercial Mortgage Trust 2020-GC46
N/A
Citigroup Commercial Mortgage Trust 2020-GC46
17328RBE8
6250000.00000000
PA
USD
508715.63000000
0.013782132641
Long
ABS-MBS
CORP
US
N
2
2053-01-15
Variable
0.98000000
N
N
N
N
N
N
Envision Healthcare Corp
549300OL60X0LPKY8N60
Envision Healthcare Corp
N/A
3390134.69000000
PA
USD
2718888.02000000
0.073660161235
Long
LON
CORP
US
N
2
2025-10-10
Floating
5.35340000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3580000.00000000
OU
Notional Amount
USD
-0.04000000
-0.00000000108
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
3580000.00000000
OU
Notional Amount
USD
-0.04000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3580000.00000000
USD
3580000.00000000
USD
3.50000000
USD
2020-06-16
XXXX
13156.46000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
400198.56000000
0.010842186305
N/A
DFE
N/A
N
2
Standard Chartered Bank, Hong Kong
N/A
18837749.04000000
USD
2074872000.00000000
JPY
2020-03-04
400198.56000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2370000.00000000
OU
Notional Amount
-11669.46000000
-0.00031614921
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-12-13
0.00000000
USD
29.93000000
USD
2370000.00000000
EUR
-11639.53000000
N
N
N
Sophia LP
549300RP8NIJ7FY7OS79
Sophia LP
N/A
3061682.67000000
PA
USD
3037954.63000000
0.082304319348
Long
LON
CORP
US
N
2
2022-09-30
Floating
5.19470000
N
N
N
N
N
N
Rexford Industrial Realty Inc
549300MSLO0DF0EMX355
Rexford Industrial Realty Inc
76169C100
329813.00000000
NS
USD
15425354.01000000
0.417903957473
Long
EC
CORP
US
N
1
N
N
N
City Developments Ltd
254900BPLPJS0RJ72373
City Developments Ltd
N/A
610300.00000000
NS
4362086.93000000
0.118177734508
Long
EC
CORP
SG
N
2
N
N
N
CGDB Commercial Mortgage Trust 2019-MOB
N/A
CGDB Commercial Mortgage Trust 2019-MOB
125284AA7
6500000.00000000
PA
USD
6495923.20000000
0.175987663619
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
2.61000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3035000.00000000
OU
Notional Amount
109533.03000000
0.002967470742
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2029-03-15
0.00000000
USD
4669.70000000
USD
3035000.00000000
GBP
114202.73000000
N
N
N
United States Treasury Floating Rate Note
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
912828YN4
63000000.00000000
PA
USD
63236505.78000000
1.713204507666
Long
DBT
UST
US
N
2
2021-10-31
Floating
1.81000000
N
N
N
N
N
N
Mercer International Inc
549300Z5IAG39VRTY874
Mercer International Inc
588056101
80619.00000000
NS
USD
714284.34000000
0.019351403686
Long
EC
CORP
CA
N
1
N
N
N
Weyerhaeuser Co
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co
962166104
409057.00000000
NS
USD
10627300.86000000
0.287915018597
Long
EC
CORP
US
N
1
N
N
N
Frontier Communications Corp
549300ZCZ76HYCS0H445
Frontier Communications Corp
N/A
3766327.52000000
PA
USD
3772617.29000000
0.102207812832
Long
LON
CORP
US
N
2
2024-06-15
Floating
5.40000000
N
N
N
N
N
N
Atlantica Yield PLC
549300ITBBGKJ651R879
Atlantica Yield PLC
G0751N103
539860.00000000
NS
USD
15607352.60000000
0.422834666420
Long
EC
CORP
GB
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
900000.00000000
OU
Notional Amount
USD
70741.01000000
0.001916516665
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2045-11-15
0.00000000
USD
318.25000000
USD
900000.00000000
USD
71059.26000000
N
N
N
Tempo Acquisition LLC
549300VV0B2RPMHQGA61
Tempo Acquisition LLC
N/A
2206897.99000000
PA
USD
2175184.87000000
0.058930146097
Long
LON
CORP
US
N
2
2024-05-01
Floating
4.39520000
N
N
N
N
N
N
Suncor Energy Inc
549300W70ZOQDVLCHY06
Suncor Energy Inc
N/A
92400.00000000
NS
2546378.10000000
0.068986519500
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2650000.00000000
OU
Notional Amount
USD
8188.30000000
0.000221837565
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-09-08
31.54000000
USD
0.00000000
USD
2650000.00000000
USD
8156.76000000
N
N
N
N/A
N/A
Futures
N/A
53.00000000
NC
USD
362459.42000000
0.009819756871
N/A
DCO
N/A
N
1
HKG
N/A
Short
N/A
WTI Crude; May 2020
2020-04-21
2381820.00000000
USD
362459.42000000
N
N
N
Life Time Inc
549300PALKE96VYH4X17
Life Time Inc
N/A
3028653.07000000
PA
USD
2980194.62000000
0.080739484159
Long
LON
CORP
US
N
2
2022-06-10
Floating
4.36320000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1960000.00000000
OU
Notional Amount
USD
-7733.81000000
-0.00020952451
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1960000.00000000
OU
Notional Amount
USD
-7733.81000000
-0.00021000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1960000.00000000
USD
1960000.00000000
USD
3.50000000
USD
2024-06-14
XXXX
25069.67000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1022500.00000000
OU
Notional Amount
-17336.63000000
-0.00046968427
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1022500.00000000
OU
Notional Amount
-17336.63000000
-0.00047000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
1022500.00000000
EUR
1022500.00000000
EUR
0.13800000
EUR
2022-09-13
XXXX
-1949.63000000
N
N
N
N/A
N/A
Total Return Swaps
N/A
123302.18070000
NC
USD
-371461.08000000
-0.01006363000
N/A
DCO
N/A
N
2
M3 Capital Partners
N/A
Macquarie Commodity Product 251E
N/A
Macquarie Commodity Product 251E
Y
Receive positive return on reference instrument
2020-03-02
0.00000000
USD
0.00000000
USD
10924079.94000000
USD
-371461.08000000
N
N
N
Vericast Corp
549300J73P7FL8TVF308
Vericast Corp
N/A
1444228.47000000
PA
USD
1136131.21000000
0.030780086379
Long
LON
CORP
US
N
2
2023-11-03
Floating
0.00000000
N
N
N
N
N
N
BF 2019-NYT Mortgage Trust
N/A
BF 2019-NYT Mortgage Trust
62954PAA8
6950000.00000000
PA
USD
6965276.10000000
0.188703380499
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
2.86000000
N
N
N
N
N
N
Fieldwood Energy Inc
N/A
Fieldwood Energy Inc
31660T201
2556.00000000
NS
USD
25560.00000000
0.000692471961
Long
EC
CORP
US
N
2
N
N
N
Clean Harbors Inc
5493000SJVZVZJKHJF48
Clean Harbors Inc
184496107
71655.00000000
NS
USD
4981455.60000000
0.134957681222
Long
EC
CORP
US
N
1
N
N
N
BX Commercial Mortgage Trust 2018-IND
N/A
BX Commercial Mortgage Trust 2018-IND
056059AA6
6585323.24000000
PA
USD
6583333.81000000
0.178355793376
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
2.41000000
N
N
N
N
N
N
Fitness International LLC
N/A
Fitness International LLC
N/A
1638796.36000000
PA
USD
1632650.87000000
0.044231805591
Long
LON
CORP
US
N
2
2025-01-08
Floating
3.89520000
N
N
N
N
N
N
IAA Inc
549300PZCOPC5178W747
IAA Inc
N/A
209477.63000000
PA
USD
208430.24000000
0.005646795664
Long
LON
CORP
US
N
2
2026-05-22
Floating
3.87540000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128287D6
8428677.90000000
PA
USD
8898785.05000000
0.241086038394
Long
DBT
UST
US
N
2
2029-07-15
Fixed
0.25000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2695000.00000000
OU
Notional Amount
-64160.40000000
-0.00173823466
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Harmonised Indices of Consumer Prices Excluding Food and Energy
Y
2030-02-15
0.00000000
USD
398.04000000
USD
2695000.00000000
EUR
-63762.36000000
N
N
N
Serta Simmons Bedding LLC
549300M4F4V4WFPNI116
Serta Simmons Bedding LLC
N/A
2123878.25000000
PA
USD
1235162.64000000
0.033463047593
Long
LON
CORP
US
N
2
2023-10-20
Floating
5.15200000
N
N
N
N
N
N
BroadStreet Partners Inc
549300BS9N54G8DD0R75
BroadStreet Partners Inc
N/A
1122000.00000000
PA
USD
1109725.32000000
0.030064697551
Long
LON
CORP
US
N
2
2027-01-22
Floating
4.86580000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
N/A
497442.46000000
PA
USD
491010.53000000
0.013302465766
Long
LON
CORP
US
N
2
2025-07-17
Floating
3.90870000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128284H0
18551757.51000000
PA
USD
19081387.74000000
0.516953286483
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.63000000
N
N
N
N
N
N
Energizer Holdings Inc
5493000D6NN0V57UME20
Energizer Holdings Inc
N/A
235125.00000000
PA
USD
233655.47000000
0.006330198032
Long
LON
CORP
US
N
2
2025-12-17
Floating
3.93800000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
3.00000000
NC
USD
-5179.49000000
-0.00014032283
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Wheat; May 2020
2020-05-15
78750.00000000
USD
-5179.49000000
N
N
N
Fortune Brands Home & Security Inc
54930032LHW54PQUJD44
Fortune Brands Home & Security Inc
34964C106
17986.00000000
NS
USD
1110635.50000000
0.030089356163
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
79.00000000
NC
-90046.16000000
-0.00243953212
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
Euro-Bobl 5 Year; March 2020
2020-03-09
11831162.24000000
USD
-90046.16000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
150000.00000000
OU
Notional Amount
USD
6877.90000000
0.000186336185
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-11
3.13000000
USD
0.00000000
USD
150000.00000000
USD
6874.77000000
N
N
N
Zelis Payments Buyer Inc
N/A
Zelis Payments Buyer Inc
N/A
2250000.00000000
PA
USD
2231730.00000000
0.060462067736
Long
LON
CORP
US
N
2
2026-09-25
Floating
6.35390000
N
N
N
N
N
N
Infraestructura Energetica Nova SAB de CV
715K4H1JYF3O6JOK1411
Infraestructura Energetica Nova SAB de CV
N/A
1512444.00000000
NS
6638986.01000000
0.179863523741
Long
EC
CORP
MX
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7480000.00000000
OU
Notional Amount
USD
-0.01000000
-0.00000000027
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
7480000.00000000
OU
Notional Amount
USD
-0.01000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7480000.00000000
USD
7480000.00000000
USD
2.88750000
USD
2020-04-15
XXXX
53949.49000000
N
N
N
Yara International ASA
213800WKOUWXWFJ5Z514
Yara International ASA
N/A
287088.00000000
NS
10540282.69000000
0.285557520831
Long
EC
CORP
NO
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
460000.00000000
OU
Notional Amount
-5075.06000000
-0.00013749361
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2024-11-11
0.00000000
USD
29.55000000
USD
460000.00000000
EUR
-5045.51000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3300000.00000000
OU
Notional Amount
USD
-80057.59000000
-0.00216892161
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3300000.00000000
OU
Notional Amount
USD
-80057.59000000
-0.00216900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3300000.00000000
USD
3300000.00000000
USD
1.24600000
USD
2022-03-01
XXXX
-21400.09000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1450000.00000000
OU
Notional Amount
USD
-18674.02000000
-0.00050591687
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-10-26
22.13000000
USD
0.00000000
USD
1450000.00000000
USD
-18696.15000000
N
N
N
Petco Animal Supplies Inc
EQFF4O0CK09VES3JAH16
Petco Animal Supplies Inc
N/A
570645.11000000
PA
USD
451625.66000000
0.012235450187
Long
LON
CORP
US
N
2
2023-01-26
Floating
5.02670000
N
N
N
N
N
N
Maxar Technologies Ltd
5493007AITUJ9X4UWV14
Maxar Technologies Ltd
N/A
1893803.83000000
PA
USD
1775441.09000000
0.048100280699
Long
LON
CORP
CA
N
2
2024-10-05
Floating
4.36000000
N
N
N
N
N
N
Summit Industrial Income REIT
2549002JNRHTJ9H0MR86
Summit Industrial Income REIT
N/A
204347.00000000
NS
1933475.06000000
0.052381739746
Long
EC
CORP
CA
N
1
N
N
N
Caesars Resort Collection LLC
549300V3UCT773B1KR38
Caesars Resort Collection LLC
N/A
5837254.70000000
PA
USD
5623202.57000000
0.152343901226
Long
LON
CORP
US
N
2
2024-12-22
Floating
4.35340000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PV4
3139436.82200000
PA
USD
3646595.23000000
0.098793621004
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2463500.00000000
OU
Notional Amount
USD
-392556.54000000
-0.01063514856
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2463500.00000000
OU
Notional Amount
USD
-392556.54000000
-0.01063500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2463500.00000000
USD
2463500.00000000
USD
2.78750000
USD
2021-03-09
XXXX
-319113.45000000
N
N
N
NCR Corp
549300YKTY8JX1DV2R67
NCR Corp
N/A
997500.00000000
PA
USD
991894.05000000
0.026872410747
Long
LON
CORP
US
N
2
2026-08-07
Floating
4.11000000
N
N
N
N
N
N
Froneri International
N/A
Froneri International
N/A
500000.00000000
PA
USD
498750.00000000
0.013512143621
Long
LON
CORP
GB
N
2
2028-01-28
Floating
7.39510000
N
N
N
N
N
N
EW Scripps Co/The
549300U1OW41QPKYW028
EW Scripps Co/The
N/A
2481281.25000000
PA
USD
2465773.24000000
0.066802771240
Long
LON
CORP
US
N
2
2026-05-01
Floating
4.10330000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
18.00000000
NC
USD
-112618.76000000
-0.00305106939
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
US Long Bond; June 2020
2020-06-22
3064500.00000000
USD
-112618.76000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2170000.00000000
OU
Notional Amount
USD
-61484.64000000
-0.00166574292
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2170000.00000000
OU
Notional Amount
USD
-61484.64000000
-0.00166600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2170000.00000000
USD
2170000.00000000
USD
1.25000000
USD
2020-08-20
XXXX
-23835.14000000
N
N
N
Clear Channel Outdoor Holdings Inc
N/A
Clear Channel Outdoor Holdings Inc
18453H106
596711.00000000
NS
USD
1235191.77000000
0.033463836783
Long
EC
CORP
US
N
1
N
N
N
Genesee & Wyoming Inc
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
N/A
3000000.00000000
PA
USD
2979990.00000000
0.080733940590
Long
LON
CORP
US
N
2
2026-11-06
Floating
3.96050000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-980.15000000
-0.00002655424
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
490000.00000000
EUR
540435.80000000
USD
2020-03-18
-980.15000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1490000.00000000
OU
Notional Amount
USD
40495.87000000
0.001097114810
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1490000.00000000
OU
Notional Amount
USD
40495.87000000
0.00109700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1490000.00000000
USD
1490000.00000000
USD
3.08800000
USD
2038-12-07
XXXX
-28789.13000000
N
N
N
Segro PLC
213800XC35KGM9NFC641
Segro PLC
N/A
813571.00000000
NS
8625085.57000000
0.233670967351
Long
EC
CORP
GB
N
2
N
N
N
Advantage Sales & Marketing Inc
549300T4O24KQDED1182
Advantage Sales & Marketing Inc
N/A
1262293.44000000
PA
USD
1217721.86000000
0.032990541680
Long
LON
CORP
US
N
2
2021-07-23
Floating
4.85350000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
181.00000000
NC
USD
1193480.80000000
0.032333802463
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
LME Nickel; June 2020
2020-06-16
13329564.00000000
USD
1193480.80000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
310000.00000000
OU
Notional Amount
USD
13039.83000000
0.000353275299
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-12
6.48000000
USD
0.00000000
USD
310000.00000000
USD
13033.35000000
N
N
N
Carestream Health Inc
5493008C1W5RQW9E4I05
Carestream Health Inc
N/A
570412.26000000
PA
USD
503862.26000000
0.013650645057
Long
LON
CORP
US
N
2
2021-06-07
Floating
11.14500000
N
N
N
N
N
N
Altice France SA/France
5493001ZMCICV4N02J21
Altice France SA/France
N/A
3950000.00000000
PA
USD
3861125.00000000
0.104605665241
Long
LON
CORP
FR
N
2
2026-08-14
Floating
5.65860000
N
N
N
N
N
N
Standard Aero
N/A
Standard Aero
N/A
697552.45000000
PA
USD
682729.46000000
0.018496518331
Long
LON
CORP
US
N
2
2026-04-06
Floating
5.21300000
N
N
N
N
N
N
InterRent Real Estate Investment Trust
N/A
InterRent Real Estate Investment Trust
N/A
283160.00000000
NS
3499813.30000000
0.094817002419
Long
EC
CORP
CA
N
1
N
N
N
Canfor Corp
N/A
Canfor Corp
N/A
475483.00000000
NS
3946269.79000000
0.106912409363
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
7245.28000000
0.000196289250
N/A
DFE
N/A
N
2
Bank of America NA
N/A
430000.00000000
EUR
482365.40000000
USD
2020-03-18
7245.28000000
N
N
N
Mexico Government International Bond
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAH3
650000.00000000
PA
USD
668200.00000000
0.018102885950
Long
DBT
NUSS
MX
N
2
2030-04-16
Fixed
3.25000000
N
N
N
N
N
N
Japanese Government CPI Linked Bond
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
N/A
491031975.00000100
PA
4660843.09000000
0.126271641559
Long
DBT
NUSS
JP
N
2
2027-03-10
Fixed
0.10000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
240000.00000000
OU
Notional Amount
USD
-6209.02000000
-0.00016821487
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2049-08-16
4.83000000
USD
0.00000000
USD
240000.00000000
USD
-6213.85000000
N
N
N
VVC Holding Corp
549300Z86PUW4ENZCD61
VVC Holding Corp
N/A
950000.00000000
PA
USD
938125.00000000
0.025415698715
Long
LON
CORP
US
N
2
2026-02-07
Floating
6.15790000
N
N
N
N
N
N
Avaya Inc
J6LB5QIFSP2MFEFG4U76
Avaya Inc
N/A
4342078.97000000
PA
USD
4117723.75000000
0.111557443011
Long
LON
CORP
US
N
2
2024-12-16
Floating
5.90010000
N
N
N
N
N
N
JFE Holdings Inc
N/A
JFE Holdings Inc
N/A
226500.00000000
NS
2075180.72000000
0.056220831936
Long
EC
CORP
JP
N
2
N
N
N
American Express
N/A
American Express
N/A
408185.84000000
PA
USD
399001.66000000
0.010809759869
Long
LON
CORP
US
N
2
2027-02-26
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
9290000.00000000
OU
Notional Amount
USD
-67668.83000000
-0.00183328511
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
9290000.00000000
OU
Notional Amount
USD
-67668.83000000
-0.00183300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
9290000.00000000
USD
9290000.00000000
USD
1.58200000
USD
2020-11-06
XXXX
-45697.98000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2010000.00000000
OU
Notional Amount
USD
-7116.16000000
-0.00019279112
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
2010000.00000000
OU
Notional Amount
USD
-7116.16000000
-0.00019300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2010000.00000000
USD
2010000.00000000
USD
2.75000000
USD
2022-08-03
XXXX
20420.84000000
N
N
N
IRB Holding Corp
549300HVW4WNWYBXN830
IRB Holding Corp
N/A
1243086.93000000
PA
USD
1208902.04000000
0.032751594964
Long
LON
CORP
US
N
2
2025-02-05
Floating
4.37910000
N
N
N
N
N
N
Federal Farm Credit Banks Funding Corp
N/A
Federal Farm Credit Banks Funding Corp
3133EK3C8
11000000.00000000
PA
USD
11013174.92000000
0.298369125300
Long
DBT
USGA
US
N
2
2021-04-21
Floating
1.73000000
N
N
N
N
N
N
Gibson Energy Inc
549300WYW5D9I3FR0643
Gibson Energy Inc
N/A
480327.00000000
NS
9168171.16000000
0.248384251543
Long
EC
CORP
CA
N
1
N
N
N
KAR Auction Services Inc
5493004HKD20LBSG7D03
KAR Auction Services Inc
N/A
279464.31000000
PA
USD
276669.67000000
0.007495539482
Long
LON
CORP
US
N
2
2026-09-11
Floating
3.93670000
N
N
N
N
N
N
Uber Technologies Inc
549300B2FTG34FILDR98
Uber Technologies Inc
N/A
580860.18000000
PA
USD
576817.39000000
0.015627146700
Long
LON
CORP
US
N
2
2025-04-04
Floating
5.63930000
N
N
N
N
N
N
Gymboree Holding Corp
N/A
Gymboree Holding Corp
403777402
48577.00000000
NS
USD
24288.50000000
0.000658024461
Long
EC
CORP
US
N
3
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
11617.80000000
0.000314749638
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
612173.32000000
USD
67217480.00000000
JPY
2020-03-18
11617.80000000
N
N
N
AltaGas Ltd
DR5LKEURSR8SXLM64266
AltaGas Ltd
N/A
560014.00000000
NS
8373612.20000000
0.226858046464
Long
EC
CORP
CA
N
1
N
N
N
Federal Farm Credit Banks Funding Corp
N/A
Federal Farm Credit Banks Funding Corp
3133EJTG4
3800000.00000000
PA
USD
3800608.23000000
0.102966143862
Long
DBT
USGA
US
N
2
2021-06-28
Floating
1.67000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1950000.00000000
OU
Notional Amount
USD
-113929.96000000
-0.00308659244
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1950000.00000000
OU
Notional Amount
USD
-113929.96000000
-0.00308700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1950000.00000000
USD
1950000.00000000
USD
1.60000000
USD
2022-01-07
XXXX
-69201.83000000
N
N
N
N/A
N/A
Futures
N/A
7.00000000
NC
62687.18000000
0.001698322164
N/A
DIR
N/A
N
1
CME
N/A
Long
N/A
Japan 10 Year Bond TSE; March 2020
2020-03-14
9998980.16000000
USD
62687.18000000
N
N
N
Metro-Goldwyn-Mayer Inc
8JA4NT75BITP5LG6P072
Metro-Goldwyn-Mayer Inc
N/A
3077209.60000000
PA
USD
3046437.50000000
0.082534137409
Long
LON
CORP
US
N
2
2025-07-03
Floating
4.10990000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5410000.00000000
OU
Notional Amount
USD
-102532.11000000
-0.00277780169
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-01-31
218.86000000
USD
0.00000000
USD
5410000.00000000
USD
-102750.97000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
11430000.00000000
OU
Notional Amount
USD
100530.29000000
0.002723568354
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
11430000.00000000
OU
Notional Amount
USD
100530.29000000
0.00272400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
11430000.00000000
USD
11430000.00000000
USD
1.25000000
USD
2020-08-11
XXXX
46009.19000000
N
N
N
Royal Bank of Canada; Dow Jones - UBS Commodity Index Linked Note
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada; Dow Jones - UBS Commodity Index Linked Note
78011GBP1
21700000.00000000
PA
USD
12808721.19000000
0.347014095884
Long
SN
CORP
CA
N
2
2020-05-18
Floating
1.58000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
12676.52000000
0.000343432498
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-12
6.27000000
USD
0.00000000
USD
300000.00000000
USD
12670.25000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2630000.00000000
OU
Notional Amount
-1332.08000000
-0.00003608873
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2630000.00000000
OU
Notional Amount
-1332.08000000
-0.00003600
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
2630000.00000000
EUR
2630000.00000000
EUR
0.00010000
EUR
2021-07-20
XXXX
3479.96000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2930000.00000000
OU
Notional Amount
USD
-341.35000000
-0.00000924786
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2930000.00000000
OU
Notional Amount
USD
-341.35000000
-0.00000900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2930000.00000000
USD
2930000.00000000
USD
3.87000000
USD
2021-06-08
XXXX
57059.60000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828V49
15552370.29500000
PA
USD
16314254.79000000
0.441986072770
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.38000000
N
N
N
N
N
N
Mallinckrodt International Finance SA
549300MQQ92LN1A0B514
Mallinckrodt International Finance SA
N/A
1267344.67000000
PA
USD
1110738.89000000
0.030092157207
Long
LON
CORP
LU
N
2
2025-02-24
Floating
4.70370000
N
N
N
N
N
N
Apex Tool Group LLC
549300LWC59TPOM4ZR02
Apex Tool Group LLC
N/A
561446.54000000
PA
USD
532206.40000000
0.014418544988
Long
LON
CORP
US
N
2
2024-08-01
Floating
7.10320000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
190000.00000000
OU
Notional Amount
USD
7354.91000000
0.000199259348
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-05
3.96000000
USD
0.00000000
USD
190000.00000000
USD
7350.95000000
N
N
N
Intrado Corp
5493005Z5DB0O5S30R71
Intrado Corp
N/A
336983.70000000
PA
USD
264532.20000000
0.007166710934
Long
LON
CORP
US
N
2
2024-10-10
Floating
5.10330000
N
N
N
N
N
N
BillerudKorsnas AB
549300A5J49FO7XDGE08
BillerudKorsnas AB
N/A
25809.00000000
NS
313769.85000000
0.008500658199
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
19256.40000000
0.000521694721
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-23
6.23000000
USD
0.00000000
USD
300000.00000000
USD
19250.17000000
N
N
N
N/A
N/A
Futures
N/A
277.00000000
NC
USD
639939.25000000
0.017337245222
N/A
DCO
N/A
N
1
MSE
N/A
Short
N/A
LME PRI Alum; March 2020
2020-03-17
11672087.50000000
USD
639939.25000000
N
N
N
Nutrien Ltd
5493002QQ7GD21OWF963
Nutrien Ltd
N/A
61100.00000000
NS
2469491.53000000
0.066903507217
Long
EC
CORP
CA
N
1
N
N
N
Sabre GLBL Inc
F2TJC7HPPHLHU1AQMP98
Sabre GLBL Inc
N/A
957196.13000000
PA
USD
913327.83000000
0.024743893357
Long
LON
CORP
US
N
2
2024-02-22
Floating
3.60340000
N
N
N
N
N
N
Red Ventures LLC
N/A
Red Ventures LLC
N/A
631378.27000000
PA
USD
618750.70000000
0.016763204659
Long
LON
CORP
US
N
2
2024-11-08
Floating
4.11260000
N
N
N
N
N
N
Agnico Eagle Mines Ltd
YGE0EUBRF7IJOB3QRX76
Agnico Eagle Mines Ltd
N/A
48600.00000000
NS
2306078.60000000
0.062476321292
Long
EC
CORP
CA
N
1
N
N
N
Mission Broadcasting Inc
N/A
Mission Broadcasting Inc
N/A
400627.36000000
PA
USD
397774.89000000
0.010776524195
Long
LON
CORP
US
N
2
2024-01-17
Floating
3.90530000
N
N
N
N
N
N
Lennar Corp - A Shares
529900G61XVRLX5TJX09
Lennar Corp - A Shares
526057104
29330.00000000
NS
USD
1769772.20000000
0.047946699033
Long
EC
CORP
US
N
1
N
N
N
MACOM Technology Solutions Holdings Inc
N/A
MACOM Technology Solutions Holdings Inc
N/A
630000.00000000
PA
USD
604012.50000000
0.016363917090
Long
LON
CORP
US
N
2
2024-05-17
Floating
0.00000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
286.00000000
NC
USD
-2233626.68000000
-0.06051345262
N/A
DCO
N/A
N
1
MSE
N/A
Long
N/A
NY Harb ULSD; May 2020
2020-05-01
17687670.00000000
USD
-2233626.68000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5460000.00000000
OU
Notional Amount
USD
-62031.87000000
-0.00168056849
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2024-08-12
174.91000000
USD
0.00000000
USD
5460000.00000000
USD
-62206.78000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
9320000.00000000
OU
Notional Amount
USD
-113312.36000000
-0.00306986041
N/A
DIR
N/A
N
2
CME
N/A
N/A
US Federal Funds Effective Rate (continuous series)
Y
2021-12-15
139.29000000
USD
0.00000000
USD
9320000.00000000
USD
-113451.65000000
N
N
N
Fly Funding
N/A
Fly Funding
N/A
1457022.28000000
PA
USD
1435166.95000000
0.038881567816
Long
LON
CORP
US
N
2
2025-08-09
Floating
3.47990000
N
N
N
N
N
N
ProQuest LLC
549300HEWVTWR2ZQ4F35
ProQuest LLC
N/A
1200000.00000000
PA
USD
1194000.00000000
0.032347868638
Long
LON
CORP
US
N
2
2026-10-16
Floating
5.10330000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
11783.13000000
0.000319228761
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-20
6.28000000
USD
0.00000000
USD
300000.00000000
USD
11776.85000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128282L3
18861907.05000000
PA
USD
19911617.82000000
0.539445894161
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.38000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1660000.00000000
OU
Notional Amount
-35031.08000000
-0.00094906262
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2029-12-15
365.52000000
USD
0.00000000
USD
1660000.00000000
GBP
-35396.60000000
N
N
N
CommScope Inc
549300Z6K4JXMFE8QY54
CommScope Inc
N/A
2785009.35000000
PA
USD
2736271.69000000
0.074131119923
Long
LON
CORP
US
N
2
2026-02-06
Floating
4.85330000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1390000.00000000
OU
Notional Amount
USD
-2116.97000000
-0.00005735298
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1390000.00000000
OU
Notional Amount
USD
-2116.97000000
-0.00005700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1390000.00000000
USD
1390000.00000000
USD
3.25000000
USD
2022-08-09
XXXX
6153.53000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1010000.00000000
OU
Notional Amount
USD
-54963.51000000
-0.00148907236
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1010000.00000000
OU
Notional Amount
USD
-54963.51000000
-0.00148900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1010000.00000000
USD
1010000.00000000
USD
1.62000000
USD
2020-09-15
XXXX
-29839.76000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2353240.00000000
OU
Notional Amount
-214168.70000000
-0.00580226212
N/A
DIR
N/A
N
2
LCH
N/A
N/A
New Zealand Bank Bill 3 Month FRA
Y
2029-03-20
12290.41000000
USD
0.00000000
USD
2353240.00000000
NZD
-226459.11000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2725000.00000000
OU
Notional Amount
-245817.69000000
-0.00665969710
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2049-10-15
0.00000000
USD
25819.04000000
USD
2725000.00000000
GBP
-219998.65000000
N
N
N
Trans Union LLC
X8NPN6PWJOM1QCTYFV34
Trans Union LLC
N/A
2291167.13000000
PA
USD
2268965.72000000
0.061470858506
Long
LON
CORP
US
N
2
2026-11-13
Floating
3.35340000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
33.00000000
NC
USD
26851.05000000
0.000727449110
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
Corn; May 2020
2020-05-17
607612.50000000
USD
26851.05000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-32850.08000000
-0.00088997493
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
5427000.00000000
EUR
5969276.15000000
USD
2020-04-03
-32850.08000000
N
N
N
International Paper Co
824LMFJDH41EY779Q875
International Paper Co
460146103
126707.00000000
NS
USD
4683090.72000000
0.126874374735
Long
EC
CORP
US
N
1
N
N
N
Aena SME SA
959800R7QMXKF0NFMT29
Aena SME SA
N/A
57506.00000000
NS
9262319.64000000
0.250934923790
Long
EC
CORP
ES
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1120000.00000000
OU
Notional Amount
USD
67512.18000000
0.001829041147
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1120000.00000000
OU
Notional Amount
USD
67512.18000000
0.00182900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1120000.00000000
USD
1120000.00000000
USD
1.49500000
USD
2025-02-26
XXXX
8684.18000000
N
N
N
Avery Dennison Corp
549300PW7VPFCYKLIV37
Avery Dennison Corp
053611109
22130.00000000
NS
USD
2533663.70000000
0.068642060756
Long
EC
CORP
US
N
1
N
N
N
Vistra Operations Co LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
N/A
3229785.13000000
PA
USD
3189412.82000000
0.086407627250
Long
LON
CORP
US
N
2
2025-12-31
Floating
3.39780000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
375.00000000
NC
USD
414665.64000000
0.011234128686
N/A
DCO
N/A
N
1
MSE
N/A
Short
N/A
KC HRW Wheat; May 2020
2020-05-15
8498437.50000000
USD
414665.64000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-11277.80000000
-0.00030553835
N/A
DFE
N/A
N
2
Bank of America NA
N/A
127102998.00000000
JPY
1168262.43000000
USD
2020-03-18
-11277.80000000
N
N
N
Enav SpA
81560048ECF8D2059980
Enav SpA
N/A
1800333.00000000
NS
10720133.96000000
0.290430054547
Long
EC
CORP
IT
N
2
N
N
N
Gates Global LLC
549300XI79MQJV13DW27
Gates Global LLC
N/A
2241967.72000000
PA
USD
2196657.55000000
0.059511884314
Long
LON
CORP
US
N
2
2024-03-31
Floating
4.35330000
N
N
N
N
N
N
Chevron Corp
N/A
Chevron Corp
166764100
24631.00000000
NS
USD
2299057.54000000
0.062286106614
Long
EC
CORP
US
N
1
N
N
N
Affinion Group Inc
N/A
Affinion Group Inc
N/A
741674.95000000
PA
USD
610643.24000000
0.016543557213
Long
LON
CORP
US
N
2
2024-04-10
Variable
5.60000000
N
N
Y
N
N
N
Vinci SA
213800WFQ334R8UXUG83
Vinci SA
N/A
29282.00000000
NS
2958873.79000000
0.080161859864
Long
EC
CORP
FR
N
2
N
N
N
Front Range BidCo Inc
N/A
Front Range BidCo Inc
N/A
1500000.00000000
PA
USD
1463040.00000000
0.039636704969
Long
LON
CORP
US
N
2
2027-02-19
Floating
0.00000000
N
N
N
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441C204
99120.00000000
NS
USD
9089304.00000000
0.246247581081
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
11890000.00000000
OU
Notional Amount
USD
-60746.32000000
-0.00164574035
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-03-27
133.10000000
USD
0.00000000
USD
11890000.00000000
USD
-60879.42000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
180000.00000000
OU
Notional Amount
USD
-4073.43000000
-0.00011035743
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2049-08-17
3.62000000
USD
0.00000000
USD
180000.00000000
USD
-4077.05000000
N
N
N
MA FinanceCo LLC
N/A
MA FinanceCo LLC
N/A
598116.59000000
PA
USD
566715.47000000
0.015353465309
Long
LON
CORP
US
N
2
2024-06-21
Floating
4.10310000
N
N
N
N
N
N
Occidental Petroleum Corp
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599105
74795.00000000
NS
USD
2448788.30000000
0.066342614952
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4560000.00000000
OU
Notional Amount
USD
5.13000000
0.000000138982
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
4560000.00000000
OU
Notional Amount
USD
5.13000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4560000.00000000
USD
4560000.00000000
USD
2.10000000
USD
2020-05-14
XXXX
-1833.87000000
N
N
N
MMM Holdings LLC
N/A
MMM Holdings LLC
N/A
1250000.00000000
PA
USD
1215625.00000000
0.032933733512
Long
LON
CORP
PR
N
2
2026-10-30
Floating
7.69480000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RA8
9327289.95000000
PA
USD
10473201.62000000
0.283740159323
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.63000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1010000.00000000
OU
Notional Amount
USD
-5186.27000000
-0.00014050651
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1010000.00000000
OU
Notional Amount
USD
-5186.27000000
-0.00014100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1010000.00000000
USD
1010000.00000000
USD
1.62000000
USD
2020-09-15
XXXX
19937.48000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
120000.00000000
OU
Notional Amount
-1340.70000000
-0.00003632226
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2025-03-18
0.00000000
USD
6.08000000
USD
120000.00000000
EUR
-1334.62000000
N
N
N
N/A
N/A
Options
N/A
51.00000000
NC
USD
956.25000000
0.000025906741
N/A
DIR
N/A
N
1
CME
N/A
Put
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
51.00000000
NC
USD
956.25000000
0.00002600
DIR
Short
N/A
90 Day Eurodollar Future; June 2022
N/A
127500.00000000
USD
51.00000000
98.25000000
USD
2020-06-15
XXXX
-10601.88000000
N
N
N
Southern Copper Corp
2549007U6NAP46Q9TU15
Southern Copper Corp
84265V105
75857.00000000
NS
USD
2552588.05000000
0.069154759573
Long
EC
CORP
PE
N
1
N
N
N
Terrier Media Buyer Inc
N/A
Terrier Media Buyer Inc
N/A
2000000.00000000
PA
USD
1983340.00000000
0.053732681563
Long
LON
CORP
US
N
2
2026-12-17
Floating
6.14770000
N
N
N
N
N
N
Intrado Corp
5493005Z5DB0O5S30R71
Intrado Corp
N/A
1052537.66000000
PA
USD
834136.10000000
0.022598429639
Long
LON
CORP
US
N
2
2024-10-10
Floating
5.60340000
N
N
N
N
N
N
NN Inc
549300SU3TUM6VH84645
NN Inc
N/A
1015225.37000000
PA
USD
995682.28000000
0.026975041540
Long
LON
CORP
US
N
2
2022-10-19
Floating
6.85340000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
556.00000000
NC
USD
-303855.26000000
-0.00823205195
N/A
DCO
N/A
N
1
EUX
N/A
Long
N/A
LME PRI Alum; June 2020
2020-06-16
23626525.00000000
USD
-303855.26000000
N
N
N
N/A
N/A
Futures
N/A
970.00000000
NC
USD
-4148985.24000000
-0.11240437983
N/A
DCO
N/A
N
1
CME
N/A
Long
N/A
LME Lead; March 2020
2020-03-17
44789750.00000000
USD
-4148985.24000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1360000.00000000
OU
Notional Amount
USD
182170.74000000
0.004935372836
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2029-03-26
25.01000000
USD
0.00000000
USD
1360000.00000000
USD
182145.73000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
6660000.00000000
OU
Notional Amount
USD
662704.20000000
0.017953993641
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2024-11-29
114.73000000
USD
0.00000000
USD
6660000.00000000
USD
662589.47000000
N
N
N
Suez
549300JQIZM6CL7POC81
Suez
N/A
282445.00000000
NS
4484878.57000000
0.121504407741
Long
EC
CORP
FR
N
2
N
N
N
NeuStar Inc
N/A
NeuStar Inc
N/A
798954.77000000
PA
USD
726050.15000000
0.019670163213
Long
LON
CORP
US
N
2
2024-08-08
Floating
5.10340000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
277.00000000
NC
USD
-797056.42000000
-0.02159386630
N/A
DCO
N/A
N
1
MSE
N/A
Long
N/A
LME PRI Alum; March 2020
2020-03-17
11672087.50000000
USD
-797056.42000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
8490000.00000000
OU
Notional Amount
-13804.55000000
-0.00037399310
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
8490000.00000000
OU
Notional Amount
-13804.55000000
-0.00037400
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
8490000.00000000
EUR
8490000.00000000
EUR
0.25000000
EUR
2021-09-07
XXXX
163.86000000
N
N
N
Clearway Energy Inc - Class C
549300LHAZ9HA9G3XC48
Clearway Energy Inc - Class C
18539C204
617987.00000000
NS
USD
13002446.48000000
0.352262504790
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
536.00000000
NC
176871.64000000
0.004791809528
N/A
DIR
N/A
N
1
CME
N/A
Long
N/A
Euro Schatz; March 2020
2020-03-09
66458579.88000000
USD
176871.64000000
N
N
N
Cumulus Media Inc
N/A
Cumulus Media Inc
231082801
61334.00000000
NS
USD
739074.70000000
0.020023024547
Long
EC
CORP
US
N
1
N
N
N
Advanced Drainage Systems Inc
6QQTOZ5MF5DHM7K92I60
Advanced Drainage Systems Inc
00790R104
37341.00000000
NS
USD
1563094.26000000
0.042347376710
Long
EC
CORP
US
N
1
N
N
N
Spark Infrastructure Group
N/A
Spark Infrastructure Group
N/A
11957401.00000000
NS
16521823.19000000
0.447609519451
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1540000.00000000
OU
Notional Amount
USD
-92759.04000000
-0.00251302951
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2049-12-12
87.13000000
USD
0.00000000
USD
1540000.00000000
USD
-92846.17000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2390000.00000000
OU
Notional Amount
USD
20830.84000000
0.000564349477
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2029-08-22
92.36000000
USD
0.00000000
USD
2390000.00000000
USD
20738.48000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8330000.00000000
OU
Notional Amount
-1766.27000000
-0.00004785181
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month JPY LIBOR
Y
2039-08-08
17.89000000
USD
0.00000000
USD
8330000.00000000
JPY
-1784.16000000
N
N
N
Middlesex Water Co
N/A
Middlesex Water Co
596680108
11043.00000000
NS
USD
656727.21000000
0.017792064925
Long
EC
CORP
US
N
1
N
N
N
Microchip Technology Inc
5493007PTFULNYZJ1R12
Microchip Technology Inc
N/A
574891.31000000
PA
USD
570579.63000000
0.015458153198
Long
LON
CORP
US
N
2
2025-05-29
Floating
3.61010000
N
N
N
N
N
N
Atlas Arteria Ltd
N/A
Atlas Arteria Ltd
N/A
1803323.00000000
NS
9503599.38000000
0.257471678677
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7470000.00000000
OU
Notional Amount
USD
-0.01000000
-0.00000000027
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
7470000.00000000
OU
Notional Amount
USD
-0.01000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7470000.00000000
USD
7470000.00000000
USD
2.87750000
USD
2020-04-15
XXXX
54064.12000000
N
N
N
North American Lifting Holdings Inc
5493008KV4SRQC7D1587
North American Lifting Holdings Inc
N/A
2501481.46000000
PA
USD
2197126.21000000
0.059524581259
Long
LON
CORP
US
N
2
2020-11-27
Floating
6.44460000
N
N
N
N
N
N
SSE PLC
549300KI75VYLLMSK856
SSE PLC
N/A
759396.00000000
NS
14929990.78000000
0.404483568284
Long
EC
CORP
GB
N
2
N
N
N
Aguas Andinas SA
N/A
Aguas Andinas SA
N/A
35348340.00000000
NS
12144600.52000000
0.329021727213
Long
EC
CORP
CL
N
2
N
N
N
Japan Hotel REIT Investment Corp
353800L8KG849FP1JI68
Japan Hotel REIT Investment Corp
N/A
7280.00000000
NS
4066156.61000000
0.110160385163
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3555000.00000000
OU
Notional Amount
-187573.40000000
-0.00508174179
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2034-10-15
15185.34000000
USD
0.00000000
USD
3555000.00000000
GBP
-202758.74000000
N
N
N
Wyndham Hotels & Resorts Inc
549300FE3MQ4RVXXC673
Wyndham Hotels & Resorts Inc
N/A
1478768.84000000
PA
USD
1463241.77000000
0.039642171325
Long
LON
CORP
US
N
2
2025-05-30
Floating
3.35350000
N
N
N
N
N
N
N/A
N/A
Total Return Swaps
N/A
173520.23000000
NC
USD
-884466.81000000
-0.02396199010
N/A
DCO
N/A
N
2
Societe Generale
N/A
Societe Generale Commodities Custom Alpha
N/A
Societe Generale Commodities Custom Alpha
Y
Receive positive return on reference instrument
2020-03-02
0.00000000
USD
0.00000000
USD
15148524.30000000
USD
-884466.81000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
7299.83000000
0.000197767120
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
590051.54000000
USD
64368428.00000000
JPY
2020-03-18
7299.83000000
N
N
N
Sinclair Television Group Inc
549300CQGEN0CH65UD62
Sinclair Television Group Inc
N/A
997500.00000000
PA
USD
977550.00000000
0.026483801497
Long
LON
CORP
US
N
2
2026-07-17
Floating
4.15980000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
29666.79000000
0.000803733187
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
860000.00000000
AUD
590051.54000000
USD
2020-03-18
29666.79000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1750000.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1750000.00000000
OU
Notional Amount
USD
0.00000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1750000.00000000
USD
1750000.00000000
USD
2.93750000
USD
2020-04-20
XXXX
12162.50000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5880000.00000000
OU
Notional Amount
-5904.64000000
-0.00015996860
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5880000.00000000
OU
Notional Amount
-5904.64000000
-0.00016000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
5880000.00000000
EUR
5880000.00000000
EUR
0.15000000
EUR
2021-08-10
XXXX
2231.47000000
N
N
N
Covia Holdings Corp
213800IE4YGTGVTQ1806
Covia Holdings Corp
N/A
153311.49000000
PA
USD
114293.72000000
0.003096447437
Long
LON
CORP
US
N
2
2025-04-09
Floating
5.87510000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
560000.00000000
OU
Notional Amount
USD
10093.66000000
0.000273457611
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
560000.00000000
OU
Notional Amount
USD
10093.66000000
0.00027300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
560000.00000000
USD
560000.00000000
USD
3.05200000
USD
2029-01-11
XXXX
-21546.34000000
N
N
N
N/A
N/A
Futures
N/A
157.00000000
NC
USD
-1717520.99000000
-0.04653110834
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
LME Nickel; June 2020
2020-06-16
11562108.00000000
USD
-1717520.99000000
N
N
N
N/A
N/A
Futures
N/A
16.00000000
NC
USD
28773.92000000
0.000779543538
N/A
DIR
N/A
N
1
CME
N/A
Long
N/A
90 Day Eurodollar; June 2022
2022-06-14
3965800.00000000
USD
28773.92000000
N
N
N
Colombia Government International Bond
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DR3
650000.00000000
PA
USD
655856.50000000
0.017768475634
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
Hess Corp
UASVRYNXNK17ULIGK870
Hess Corp
42809H107
153481.00000000
NS
USD
8622562.58000000
0.233602614462
Long
EC
CORP
US
N
1
N
N
N
Checkout Holding Corp
5493000F1R60SFVQY311
Checkout Holding Corp
N/A
244610.37000000
PA
USD
89527.40000000
0.002425477868
Long
LON
CORP
US
N
2
2023-08-15
Variable
2.63000000
N
N
Y
N
N
N
Novatek PJSC
2138008R6GCRVBDFA581
Novatek PJSC
N/A
14572.00000000
NS
USD
2126148.03000000
0.057601639180
Long
EC
CORP
RU
N
2
N
N
N
Camelot Finance SA
N/A
Camelot Finance SA
N/A
1210575.84000000
PA
USD
1202634.46000000
0.032581793578
Long
LON
CORP
LU
N
2
2026-10-28
Floating
4.89520000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
16666.87000000
0.000451539130
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-27
6.24000000
USD
0.00000000
USD
300000.00000000
USD
16660.63000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5810000.00000000
OU
Notional Amount
USD
28473.78000000
0.000771412139
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-01
97.68000000
USD
0.00000000
USD
5810000.00000000
USD
28376.10000000
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158109
157555.00000000
NS
USD
2780845.75000000
0.075338721127
Long
EC
CORP
CO
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3330000.00000000
OU
Notional Amount
-3343.96000000
-0.00009059462
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3330000.00000000
OU
Notional Amount
-3343.96000000
-0.00009100
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
3330000.00000000
EUR
3330000.00000000
EUR
0.15000000
EUR
2021-08-10
XXXX
1170.26000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
9290000.00000000
OU
Notional Amount
USD
-1847.45000000
-0.00005005114
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
9290000.00000000
OU
Notional Amount
USD
-1847.45000000
-0.00005000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
9290000.00000000
USD
9290000.00000000
USD
1.58200000
USD
2020-11-06
XXXX
20123.40000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PZ5
4214883.35000000
PA
USD
5270084.96000000
0.142777232832
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1330000.00000000
OU
Notional Amount
USD
17969.07000000
0.000486818355
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Purchased
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1330000.00000000
OU
Notional Amount
USD
17969.07000000
0.00048700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1330000.00000000
USD
1330000.00000000
USD
2.50000000
USD
2024-06-21
XXXX
-35803.24000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-66107.42000000
-0.00179098336
N/A
DFE
N/A
N
2
Bank of America NA
N/A
2540000.00000000
USD
3320297.79000000
CAD
2020-03-18
-66107.42000000
N
N
N
Syneos Health Inc
549300F1ZGKDS8P6GU13
Syneos Health Inc
N/A
1256067.08000000
PA
USD
1243506.41000000
0.033689097154
Long
LON
CORP
US
N
2
2024-08-01
Floating
3.39520000
N
N
N
N
N
N
NextEra Energy Inc
N/A
NextEra Energy Inc
65339F101
100274.00000000
NS
USD
25345256.24000000
0.686654120159
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
570000.00000000
OU
Notional Amount
USD
-35237.22000000
-0.00095464737
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-11-07
11.49000000
USD
0.00000000
USD
570000.00000000
USD
-35248.71000000
N
N
N
Gorman-Rupp Co/The
N/A
Gorman-Rupp Co/The
383082104
12882.00000000
NS
USD
412095.18000000
0.011164489739
Long
EC
CORP
US
N
1
N
N
N
Wheaton Precious Metals Corp
549300XSFG5ZCGVYD886
Wheaton Precious Metals Corp
N/A
104900.00000000
NS
2983075.43000000
0.080817531113
Long
EC
CORP
CA
N
1
N
N
N
thyssenkrupp AG
549300UDG16DOYUPR330
thyssenkrupp AG
N/A
229911.00000000
NS
2254345.07000000
0.061074755603
Long
EC
CORP
DE
N
2
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
N/A
1676857.77000000
PA
USD
1672313.49000000
0.045306345977
Long
LON
CORP
US
N
2
2025-03-13
Floating
3.35340000
N
N
N
N
N
N
Cia de Saneamento Basico do Estado de Sao Paulo
254900UOXRZRS2TNWP19
Cia de Saneamento Basico do Estado de Sao Paulo
20441A102
227719.00000000
NS
USD
2967178.57000000
0.080386853107
Long
EC
CORP
BR
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
19600000.00000000
OU
Notional Amount
USD
168435.02000000
0.004563244473
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-07-13
241.76000000
USD
0.00000000
USD
19600000.00000000
USD
168193.26000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828VM9
18530304.47600000
PA
USD
19048901.36000000
0.516073164915
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.38000000
N
N
N
N
N
N
Gardner Denver Inc
549300MJL50HVCB7RP74
Gardner Denver Inc
N/A
2366591.28000000
PA
USD
2328134.17000000
0.063073851176
Long
LON
CORP
US
N
2
2027-02-05
Floating
0.00000000
N
N
N
N
N
N
Kronos Inc/MA
5493000E2HBSA8M27B95
Kronos Inc/MA
N/A
1505223.18000000
PA
USD
1491585.86000000
0.040410069901
Long
LON
CORP
US
N
2
2023-11-01
Floating
4.76330000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-14103.00000000
-0.00038207871
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
840000.00000000
USD
1108465.26000000
CAD
2020-03-18
-14103.00000000
N
N
N
Barrick Gold Corp
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
N/A
1015927.00000000
NS
19376219.93000000
0.524940885271
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
Options
N/A
93.00000000
NC
USD
-54637.50000000
-0.00148024009
N/A
DIR
N/A
N
1
CME
N/A
Call
Written
CME
N/A
N/A
N/A
FUTURE
N/A
93.00000000
NC
USD
-54637.50000000
-0.00148000
DIR
Long
N/A
90 Day Eurodollar Future; December 2021
N/A
232500.00000000
USD
93.00000000
99.37500000
USD
2021-12-14
XXXX
-14101.59000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1390000.00000000
OU
Notional Amount
2942.25000000
0.000079711487
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-02-12
58.80000000
USD
0.00000000
USD
1390000.00000000
EUR
2883.45000000
N
N
N
N/A
N/A
Total Return Swaps
N/A
148897.49000000
NC
USD
-918188.22000000
-0.02487557112
N/A
DCO
N/A
N
2
Bank of America NA
N/A
BofA Merrill Lynch Commodity MLBXCS3T Total Return Strategy
N/A
BofA Merrill Lynch Commodity MLBXCS3T Total Return Strategy
Y
Receive positive return on reference instrument
2020-03-02
0.00000000
USD
0.00000000
USD
14292119.14000000
USD
-918188.22000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
8350000.00000000
OU
Notional Amount
USD
-0.38000000
-0.00000001029
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
8350000.00000000
OU
Notional Amount
USD
-0.38000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
8350000.00000000
USD
8350000.00000000
USD
3.50000000
USD
2020-08-25
XXXX
28180.87000000
N
N
N
Pope Resources a Delaware LP
N/A
Pope Resources a Delaware LP
732857107
37260.00000000
NS
USD
4080342.60000000
0.110544712249
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2440000.00000000
OU
Notional Amount
USD
66659.35000000
0.001805936262
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Purchased
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
2440000.00000000
OU
Notional Amount
USD
66659.35000000
0.00180600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2440000.00000000
USD
2440000.00000000
USD
1.23000000
USD
2020-08-28
XXXX
19689.35000000
N
N
N
Panther BF Aggregator 2 LP
549300474L1ZLXZY2P98
Panther BF Aggregator 2 LP
N/A
4389000.00000000
PA
USD
4273788.75000000
0.115785558689
Long
LON
CORP
CA
N
2
2026-04-30
Floating
5.14220000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
210.00000000
NC
USD
-2315344.98000000
-0.06272736622
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Gasoline RBOB; May 2020
2020-05-01
13028022.00000000
USD
-2315344.98000000
N
N
N
Georg Fischer AG
529900CMRQYW4U1W2456
Georg Fischer AG
N/A
3020.00000000
NS
2595566.74000000
0.070319138985
Long
EC
CORP
CH
N
2
N
N
N
Boston Properties Inc
549300OF70FSEUQBT254
Boston Properties Inc
101121101
16100.00000000
NS
USD
2075934.00000000
0.056241239811
Long
EC
CORP
US
N
1
N
N
N
Helmerich & Payne Inc
254900NAOGHJ88RZ4C73
Helmerich & Payne Inc
423452101
103409.00000000
NS
USD
3814758.01000000
0.103349489946
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNWZ9
12098446.69000000
PA
USD
869388.33000000
0.023553483664
Long
ABS-MBS
CORP
US
N
2
2026-07-25
Variable
1.31000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
9290000.00000000
OU
Notional Amount
USD
25873.60000000
0.000700968018
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
9290000.00000000
OU
Notional Amount
USD
25873.60000000
0.00070100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
9290000.00000000
USD
9290000.00000000
USD
1.77200000
USD
2024-11-06
XXXX
-24385.30000000
N
N
N
N/A
N/A
Futures
N/A
377.00000000
NC
USD
304210.08000000
0.008241664745
N/A
DCO
N/A
N
1
EUX
N/A
Short
N/A
LME PRI Alum; June 2020
2020-06-16
16020143.75000000
USD
304210.08000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RW0
7228294.50000000
PA
USD
8724015.99000000
0.236351192000
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.88000000
N
N
N
N
N
N
TC Energy Corp
549300UGKOFV2IWJJG27
TC Energy Corp
N/A
295787.00000000
NS
15416843.75000000
0.417673397362
Long
EC
CORP
CA
N
1
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231G102
42343.00000000
NS
USD
2178123.92000000
0.059009770890
Long
EC
CORP
US
N
1
N
N
N
Informatica LLC
N/A
Informatica LLC
N/A
4027290.87000000
PA
USD
3936676.83000000
0.106652516725
Long
LON
CORP
US
N
2
2027-02-14
None
0.00000000
N
N
N
N
N
N
Windstream Services LLC
549300L3SXBFJVGRCF66
Windstream Services LLC
N/A
1000000.00000000
PA
USD
999380.00000000
0.027075220234
Long
LON
CORP
US
N
2
2021-03-08
Floating
4.11010000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1250000.00000000
OU
Notional Amount
-27336.51000000
-0.00074060120
N/A
DIR
N/A
N
2
LCH
N/A
N/A
New Zealand Bank Bill 3 Month FRA
Y
2029-11-12
458.16000000
USD
0.00000000
USD
1250000.00000000
NZD
-27794.67000000
N
N
N
Veolia Environnement SA
969500LENY69X51OOT31
Veolia Environnement SA
N/A
285578.00000000
NS
8227755.84000000
0.222906503438
Long
EC
CORP
FR
N
2
N
N
N
Traverse Midstream Partners LLC
549300DHTM8B2X5QMJ22
Traverse Midstream Partners LLC
N/A
1465575.15000000
PA
USD
1216427.37000000
0.032955471334
Long
LON
CORP
US
N
2
2024-09-21
Floating
5.61010000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
173.00000000
NC
USD
-2378221.97000000
-0.06443083072
N/A
DCO
N/A
N
1
CME
N/A
Long
N/A
Brent Crude; May 2020
2020-04-01
8592910.00000000
USD
-2378221.97000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1300000.00000000
OU
Notional Amount
USD
-15807.09000000
-0.00042824595
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1300000.00000000
OU
Notional Amount
USD
-15807.09000000
-0.00042800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1300000.00000000
USD
1300000.00000000
USD
1.85000000
USD
2022-02-23
XXXX
7072.91000000
N
N
N
N/A
N/A
Futures
N/A
911.00000000
NC
USD
-430607.19000000
-0.01166601743
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Sugar #11; May 2020
2020-05-01
14427324.80000000
USD
-430607.19000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
326.22000000
0.000008837957
N/A
DFE
N/A
N
2
ANZ Stockbroking
N/A
48453.48000000
NZD
30611.99000000
USD
2020-03-04
326.22000000
N
N
N
MLN US Holdco LLC
549300QKU7NPW6O86862
MLN US Holdco LLC
N/A
748110.83000000
PA
USD
703695.49000000
0.019064530378
Long
LON
CORP
US
N
2
2025-11-30
Floating
6.15520000
N
N
N
N
N
N
Belron Finance
N/A
Belron Finance
N/A
1000000.00000000
PA
USD
994380.00000000
0.026939760148
Long
LON
CORP
US
N
2
2026-10-25
Floating
4.26960000
N
N
N
N
N
N
Pitney Bowes
N/A
Pitney Bowes
N/A
1110000.00000000
PA
USD
1094049.30000000
0.029640002546
Long
LON
CORP
US
N
2
2025-01-17
Floating
7.16000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
535000.00000000
OU
Notional Amount
USD
-16272.44000000
-0.00044085322
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-08-22
10.59000000
USD
0.00000000
USD
535000.00000000
USD
-16283.03000000
N
N
N
STORE Capital Corp
5493004EA6C9IHDZ7N66
STORE Capital Corp
862121100
245120.00000000
NS
USD
8054643.20000000
0.218216532802
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
625.07000000
0.000016934407
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
169000.00000000
EUR
187203.31000000
USD
2020-03-04
625.07000000
N
N
N
Sumitomo Metal Mining Co Ltd
353800CF81IXL9974H84
Sumitomo Metal Mining Co Ltd
N/A
95300.00000000
NS
2347492.06000000
0.063598295467
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5150000.00000000
OU
Notional Amount
USD
70721.80000000
0.001915996228
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-07-02
55.01000000
USD
0.00000000
USD
5150000.00000000
USD
70666.79000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1120000.00000000
OU
Notional Amount
USD
50289.47000000
0.001362443190
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1120000.00000000
OU
Notional Amount
USD
50289.47000000
0.00136200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1120000.00000000
USD
1120000.00000000
USD
1.49500000
USD
2025-02-26
XXXX
-8538.53000000
N
N
N
Gulf Finance LLC
549300GL13V5C6ULWJ40
Gulf Finance LLC
N/A
1836714.53000000
PA
USD
1379372.61000000
0.037369986593
Long
LON
CORP
US
N
2
2023-08-17
Floating
7.01860000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4940000.00000000
OU
Notional Amount
12947.18000000
0.000350765224
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-01-16
221.62000000
USD
0.00000000
USD
4940000.00000000
EUR
12725.56000000
N
N
N
Mallinckrodt International Finance SA
549300MQQ92LN1A0B514
Mallinckrodt International Finance SA
N/A
1862158.08000000
PA
USD
1654210.89000000
0.044815910025
Long
LON
CORP
LU
N
2
2024-09-24
Floating
4.69470000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2725000.00000000
OU
Notional Amount
212331.37000000
0.005752485146
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2044-10-15
2300.43000000
USD
0.00000000
USD
2725000.00000000
GBP
210030.94000000
N
N
N
Tokyo Tatemono Co Ltd
529900RQA4JTW1869J86
Tokyo Tatemono Co Ltd
N/A
184500.00000000
NS
2507522.73000000
0.067933849144
Long
EC
CORP
JP
N
2
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
N/A
5176456.95000000
PA
USD
5103106.56000000
0.138253451133
Long
LON
CORP
LU
N
2
2023-11-27
Floating
5.68200000
N
N
N
N
N
N
Clear Channel Outdoor Holdings Inc
N/A
Clear Channel Outdoor Holdings Inc
N/A
5855257.29000000
PA
USD
5774747.50000000
0.156449559089
Long
LON
CORP
US
N
2
2026-08-07
Floating
5.10340000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-41369.93000000
-0.00112079485
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
601754.68000000
USD
860000.00000000
AUD
2020-03-18
-41369.93000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-155952.17000000
-0.00422505888
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
1933612000.00000000
JPY
17772250.79000000
USD
2020-03-04
-155952.17000000
N
N
N
Avolon TLB Borrower 1 US LLC
635400O84AGITYFZQB55
Avolon TLB Borrower 1 US LLC
N/A
1941846.14000000
PA
USD
1919184.80000000
0.051994587775
Long
LON
CORP
US
N
2
2025-01-15
Floating
3.39690000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
7863394.00000000
PA
USD
9901996.98000000
0.268265073343
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
Refinitiv US Holdings Inc
549300NF240HXJO7N016
Refinitiv US Holdings Inc
N/A
3602814.51000000
PA
USD
3592294.29000000
0.097322498999
Long
LON
CORP
US
N
2
2025-10-01
Floating
4.87980000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
27720000.00000000
OU
Notional Amount
USD
-2178.26000000
-0.00005901345
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
27720000.00000000
OU
Notional Amount
USD
-2178.26000000
-0.00005900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
27720000.00000000
USD
27720000.00000000
USD
2.15000000
USD
2021-05-28
XXXX
75576.34000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828SA9
19861140.94700000
PA
USD
20009080.63000000
0.542086358295
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.13000000
N
N
N
N
N
N
CEVA Logistics Finance BV
724500XL903Q6UKTRJ05
CEVA Logistics Finance BV
N/A
736831.84000000
PA
USD
545255.56000000
0.014772073056
Long
LON
CORP
NL
N
2
2025-08-04
Floating
6.94470000
N
N
N
N
N
N
Merlin Properties Socimi SA
959800L8KD863DP30X04
Merlin Properties Socimi SA
N/A
278456.00000000
NS
3593788.16000000
0.097362970951
Long
EC
CORP
ES
N
2
N
N
N
Benchmark 2019-B15 Mortgage Trust
N/A
Benchmark 2019-B15 Mortgage Trust
08160KAH7
16123796.65000000
PA
USD
1061705.25000000
0.028763736985
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Variable
0.83000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1460000.00000000
OU
Notional Amount
USD
3822.44000000
0.000103557610
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-02
24.60000000
USD
0.00000000
USD
1460000.00000000
USD
3797.84000000
N
N
N
BJ's Wholesale Club Inc
549300H2XDOGOSR9L398
BJ's Wholesale Club Inc
N/A
1084776.06000000
PA
USD
1074438.14000000
0.029108696661
Long
LON
CORP
US
N
2
2024-02-03
Floating
3.90270000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828UH1
18997573.86000000
PA
USD
19246640.60000000
0.521430319823
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.13000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1270000.00000000
OU
Notional Amount
USD
-17222.40000000
-0.00046658955
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-11-01
19.47000000
USD
0.00000000
USD
1270000.00000000
USD
-17241.87000000
N
N
N
Essity AB
549300G8E6YUVJ1DA153
Essity AB
N/A
73912.00000000
NS
2228292.03000000
0.060368926193
Long
EC
CORP
SE
N
2
N
N
N
New World Development Co Ltd
2549008GWMWXTIRL4S48
New World Development Co Ltd
N/A
2048840.00000000
NS
2684344.96000000
0.072724320056
Long
EC
CORP
HK
N
2
N
N
N
Realogy Group LLC
LF6PBYTYG3BDVEF4FI12
Realogy Group LLC
N/A
965639.62000000
PA
USD
924599.94000000
0.025049277556
Long
LON
CORP
US
N
2
2025-02-08
Floating
3.89510000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
365.00000000
NC
USD
-791105.24000000
-0.02143263683
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Cocoa; May 2020
2020-05-14
9752800.00000000
USD
-791105.24000000
N
N
N
United States Treasury Floating Rate Note
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
9128287G9
24600000.00000000
PA
USD
24648945.14000000
0.667789647802
Long
DBT
UST
US
N
2
2021-07-31
Floating
1.73000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-4010.60000000
-0.00010865524
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
545426.55000000
USD
490000.00000000
EUR
2020-03-18
-4010.60000000
N
N
N
Watts Water Technologies Inc
549300REJOO94ERQN318
Watts Water Technologies Inc
942749102
20339.00000000
NS
USD
1910035.49000000
0.051746714511
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
50000.00000000
OU
Notional Amount
USD
7161.34000000
0.000194015147
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2056-12-01
1.35000000
USD
0.00000000
USD
50000.00000000
USD
7159.99000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2420000.00000000
OU
Notional Amount
USD
-12035.75000000
-0.00032607274
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2420000.00000000
OU
Notional Amount
USD
-12035.75000000
-0.00032600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2420000.00000000
USD
2420000.00000000
USD
1.74400000
USD
2020-11-20
XXXX
46286.25000000
N
N
N
Champ Acquisition Corp
N/A
Champ Acquisition Corp
N/A
982500.00000000
PA
USD
977174.85000000
0.026473637927
Long
LON
CORP
US
N
2
2025-12-17
Floating
7.44440000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
12690000.00000000
OU
Notional Amount
USD
-129945.34000000
-0.00352048139
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-06-03
149.05000000
USD
0.00000000
USD
12690000.00000000
USD
-130094.39000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
758545000.00000100
OU
Notional Amount
4181.28000000
0.000113279310
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
758545000.00000100
OU
Notional Amount
4181.28000000
0.00011300
DIR
N/A
6 Month JPY LIBOR
N/A
N/A
N/A
N/A
N/A
758545000.00000100
JPY
758545000.00000100
JPY
1.10000000
JPY
2022-06-30
XXXX
-99003.77000000
N
N
N
Tronox Finance LLC
549300LMZ1DX1PWSP524
Tronox Finance LLC
N/A
32712.38000000
PA
USD
31861.86000000
0.000863202061
Long
LON
CORP
US
N
2
2024-09-13
Floating
4.49000000
N
N
N
N
N
N
MA FinanceCo LLC
N/A
MA FinanceCo LLC
N/A
650000.00000000
PA
USD
641875.00000000
0.017389688595
Long
LON
CORP
US
N
2
2021-11-19
Floating
3.85310000
N
N
N
N
N
N
N/A
N/A
Options
N/A
19.00000000
NC
USD
45125.00000000
0.001222527280
N/A
DIR
N/A
N
1
CBT
N/A
Call
Purchased
CBT
N/A
N/A
N/A
FUTURE
N/A
19.00000000
NC
USD
45125.00000000
0.00122300
DIR
Long
N/A
US 10 Year Note Future; June 2020
N/A
19000.00000000
USD
19.00000000
133.00000000
USD
2020-04-27
XXXX
26689.87000000
N
N
N
Delek US Holdings Inc
5493003O53JMENV1N385
Delek US Holdings Inc
N/A
1488672.92000000
PA
USD
1458899.46000000
0.039524529388
Long
LON
CORP
US
N
2
2025-03-14
Floating
3.85350000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
8435.85000000
0.000228544194
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-25
6.29000000
USD
0.00000000
USD
300000.00000000
USD
8429.56000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2010000.00000000
OU
Notional Amount
USD
-954.83000000
-0.00002586827
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2010000.00000000
OU
Notional Amount
USD
-954.83000000
-0.00002600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2010000.00000000
USD
2010000.00000000
USD
2.30000000
USD
2020-07-27
XXXX
24672.67000000
N
N
N
Westrock Co
549300JEB576INN13W07
Westrock Co
96145D105
159634.00000000
NS
USD
5307830.50000000
0.143799835654
Long
EC
CORP
US
N
1
N
N
N
Newmont Corp
549300VSP3RIX7FGDZ51
Newmont Corp
651639106
363486.00000000
NS
USD
16222380.18000000
0.439497004248
Long
EC
CORP
US
N
1
N
N
N
Jaguar Holding Co II
N/A
Jaguar Holding Co II
N/A
6598183.62000000
PA
USD
6538404.08000000
0.177138556354
Long
LON
CORP
US
N
2
2022-08-18
Floating
4.10340000
N
N
N
N
N
N
Imperial Oil Ltd
549300JZNB745JT5WY51
Imperial Oil Ltd
N/A
115200.00000000
NS
2522427.27000000
0.068337643200
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
11845.27000000
0.000320912259
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-12
6.27000000
USD
0.00000000
USD
300000.00000000
USD
11839.00000000
N
N
N
BX Commercial Mortgage Trust 2019-XL
N/A
BX Commercial Mortgage Trust 2019-XL
056054AA7
4777002.71000000
PA
USD
4798372.15000000
0.129997581230
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.58000000
N
N
N
N
N
N
SS&C Technologies Inc
549300KY09TR3J12JU49
SS&C Technologies Inc
N/A
2303408.83000000
PA
USD
2272888.66000000
0.061577138864
Long
LON
CORP
US
N
2
2025-04-16
Floating
3.35340000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040W108
48558.00000000
NS
USD
4198324.68000000
0.113741084800
Long
EC
CORP
US
N
1
N
N
N
Sealed Air Corp
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211K100
76459.00000000
NS
USD
2317472.29000000
0.062784999339
Long
EC
CORP
US
N
1
N
N
N
New Zealand Government Inflation Linked Bond
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
N/A
3019827.70000000
PA
2489819.09000000
0.067454221824
Long
DBT
NUSS
NZ
N
2
2035-09-20
Fixed
2.50000000
N
N
N
N
N
N
iHeartCommunications Inc
54930076J6KDZL504O62
iHeartCommunications Inc
N/A
6884677.55000000
PA
USD
6746984.00000000
0.182789407153
Long
LON
CORP
US
N
2
2026-05-01
Floating
4.65500000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
331.00000000
NC
USD
360849.35000000
0.009776136827
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
US 2 Year Note; June 2020
2020-07-01
72266609.71000000
USD
360849.35000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1950000.00000000
OU
Notional Amount
USD
-120407.46000000
-0.00326208098
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1950000.00000000
OU
Notional Amount
USD
-120407.46000000
-0.00326200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1950000.00000000
USD
1950000.00000000
USD
1.65000000
USD
2022-01-11
XXXX
-75069.96000000
N
N
N
Metro-Goldwyn-Mayer Inc
8JA4NT75BITP5LG6P072
Metro-Goldwyn-Mayer Inc
N/A
1500000.00000000
PA
USD
1462500.00000000
0.039622075280
Long
LON
CORP
US
N
2
2026-07-03
Floating
6.10990000
N
N
N
N
N
N
Riverbed Technology Inc
XWT9B0BASIY6FJ5R7M02
Riverbed Technology Inc
N/A
1980000.00000000
PA
USD
1791900.00000000
0.048546185773
Long
LON
CORP
US
N
2
2022-04-24
Floating
0.00000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
23649482.57500000
PA
USD
25020417.54000000
0.677853584484
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.63000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1955500.00000000
OU
Notional Amount
USD
318386.44000000
0.008625730935
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1955500.00000000
OU
Notional Amount
USD
318386.44000000
0.00862600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1955500.00000000
USD
1955500.00000000
USD
2.97750000
USD
2024-03-08
XXXX
228482.33000000
N
N
N
China Water Affairs Group Ltd
529900XTSVH0DH4CEX74
China Water Affairs Group Ltd
N/A
568000.00000000
NS
456204.56000000
0.012359501825
Long
EC
CORP
HK
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7790000.00000000
OU
Notional Amount
-1214.96000000
-0.00003291571
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
7790000.00000000
OU
Notional Amount
-1214.96000000
-0.00003300
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
7790000.00000000
EUR
7790000.00000000
EUR
0.15000000
EUR
2021-04-20
XXXX
26779.25000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
600000.00000000
OU
Notional Amount
USD
12777.35000000
0.000346164187
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-26
12.58000000
USD
0.00000000
USD
600000.00000000
USD
12764.77000000
N
N
N
Kurita Water Industries Ltd
52990086GS2ON69UMX34
Kurita Water Industries Ltd
N/A
78700.00000000
NS
2029797.88000000
0.054991319251
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1335000.00000000
OU
Notional Amount
-9791.56000000
-0.00026527311
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2024-01-03
23.55000000
USD
0.00000000
USD
1335000.00000000
EUR
-9815.11000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
4779.71000000
0.000129491985
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-27
6.29000000
USD
0.00000000
USD
300000.00000000
USD
4773.42000000
N
N
N
DBCG 2017-BBG Mortgage Trust
N/A
DBCG 2017-BBG Mortgage Trust
233062AA6
3840000.00000000
PA
USD
3832771.97000000
0.103837524462
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
2.36000000
N
N
N
N
N
N
BX Trust 2018-EXCL
N/A
BX Trust 2018-EXCL
12433WAA9
5761909.09000000
PA
USD
5754980.97000000
0.155914043916
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Floating
2.75000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3870000.00000000
OU
Notional Amount
USD
66144.24000000
0.001791980893
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-06-16
49.22000000
USD
0.00000000
USD
3870000.00000000
USD
66095.02000000
N
N
N
McGraw-Hill Global Education Holdings LLC
549300GFUEPUHPGB8P06
McGraw-Hill Global Education Holdings LLC
N/A
2754834.64000000
PA
USD
2586101.02000000
0.070062693535
Long
LON
CORP
US
N
2
2022-05-04
Floating
5.60340000
N
N
N
N
N
N
Geberit AG
52990093Z5OHD6T7BS47
Geberit AG
N/A
15359.00000000
NS
7664159.12000000
0.207637531357
Long
EC
CORP
CH
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
17915000.00000000
OU
Notional Amount
USD
-185261.77000000
-0.00501911507
N/A
DIR
N/A
N
2
CME
N/A
N/A
US Federal Funds Effective Rate (continuous series)
Y
2021-12-15
0.00000000
USD
686.29000000
USD
17915000.00000000
USD
-184575.48000000
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746U109
286570.00000000
NS
USD
22404042.60000000
0.606970709384
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4285000.00000000
OU
Notional Amount
-195612.01000000
-0.00529952395
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Harmonised Indices of Consumer Prices Excluding Food and Energy
Y
2029-03-15
661.96000000
USD
0.00000000
USD
4285000.00000000
EUR
-196273.97000000
N
N
N
Organo Corp
N/A
Organo Corp
N/A
4500.00000000
NS
265267.55000000
0.007186633049
Long
EC
CORP
JP
N
2
N
N
N
COMM 2018-HCLV Mortgage Trust
N/A
COMM 2018-HCLV Mortgage Trust
20048KAA5
10120000.00000000
PA
USD
10097708.68000000
0.273567298102
Long
ABS-MBS
CORP
US
N
2
2033-09-15
Floating
2.66000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-406339.35000000
-0.01100855269
N/A
DFE
N/A
N
2
Standard Chartered Bank, Hong Kong
N/A
2074872000.00000000
JPY
18868435.15000000
USD
2020-04-03
-406339.35000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
485000.00000000
OU
Notional Amount
USD
30255.16000000
0.000819673317
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-23
10.08000000
USD
0.00000000
USD
485000.00000000
USD
30245.08000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PS1
7341394.13800000
PA
USD
8721941.18000000
0.236294981211
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.38000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1020000.00000000
OU
Notional Amount
-42426.12000000
-0.00114940917
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2030-01-16
55.23000000
USD
0.00000000
USD
1020000.00000000
EUR
-42481.35000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
650000.00000000
OU
Notional Amount
USD
30064.56000000
0.000814509579
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-30
13.53000000
USD
0.00000000
USD
650000.00000000
USD
30051.03000000
N
N
N
Saipem SpA
549300PHV8MBDHWB8X12
Saipem SpA
N/A
696980.00000000
NS
2663193.94000000
0.072151296257
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
6176250.00000000
OU
Notional Amount
USD
75671.48000000
0.002050093044
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
6176250.00000000
OU
Notional Amount
USD
75671.48000000
0.00205000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
6176250.00000000
USD
6176250.00000000
USD
1.50000000
USD
2020-06-02
XXXX
57115.46000000
N
N
N
Acadian Timber Corp
N/A
Acadian Timber Corp
N/A
137178.00000000
NS
1696520.62000000
0.045962165962
Long
EC
CORP
CA
N
1
N
N
N
Evraz PLC
5493005B7DAN39RXLK23
Evraz PLC
N/A
602118.00000000
NS
2571254.78000000
0.069660478945
Long
EC
CORP
RU
N
2
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828X39
25081938.42000000
PA
USD
25272064.53000000
0.684671209087
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.13000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
600000.00000000
OU
Notional Amount
USD
27800.11000000
0.000753161060
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-29
12.49000000
USD
0.00000000
USD
600000.00000000
USD
27787.62000000
N
N
N
Novolipetsk Steel PJSC
213800913TPW32I84456
Novolipetsk Steel PJSC
N/A
143237.00000000
NS
USD
2750298.36000000
0.074511130709
Long
EC
CORP
RU
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
390000.00000000
OU
Notional Amount
USD
-12928.19000000
-0.00035025074
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-02-07
4.76000000
USD
0.00000000
USD
390000.00000000
USD
-12932.95000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
35701.23000000
0.000967218340
N/A
DFE
N/A
N
2
Westpac Banking Corporation
N/A
2039940.12000000
AUD
1364946.96000000
USD
2020-03-18
35701.23000000
N
N
N
SIG Combibloc Group AG
5493004Z6P7TSVB1L042
SIG Combibloc Group AG
N/A
83129.00000000
NS
1238209.56000000
0.033545594802
Long
EC
CORP
CH
N
2
N
N
N
ASP Unifrax Holdings Inc
549300RRU6BWJLD0YT71
ASP Unifrax Holdings Inc
N/A
1585994.96000000
PA
USD
1443255.41000000
0.039100700515
Long
LON
CORP
US
N
2
2025-12-12
Floating
5.69460000
N
N
N
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851109
112418.00000000
NS
USD
15713788.04000000
0.425718217200
Long
EC
CORP
US
N
1
N
N
N
Alterra Mountain Co
549300C5O4FSVNUEI843
Alterra Mountain Co
N/A
4041707.43000000
PA
USD
3960873.28000000
0.107308047367
Long
LON
CORP
US
N
2
2024-07-31
Floating
4.35340000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
32250000.00000000
OU
Notional Amount
USD
-107250.18000000
-0.00290562373
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
32250000.00000000
OU
Notional Amount
USD
-107250.18000000
-0.00290600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
32250000.00000000
USD
32250000.00000000
USD
0.70000000
USD
2020-09-24
XXXX
-71775.18000000
N
N
N
Millennium Health LLC
N/A
Millennium Health LLC
N/A
19318.00000000
NS
USD
19467.33000000
0.000527409240
Long
EC
CORP
US
Y
3
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Y38
18082142.99000000
PA
USD
19772207.66000000
0.535668991697
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
Fieldwood Energy LLC
549300KTQCELOBO6BF21
Fieldwood Energy LLC
N/A
6028205.91000000
PA
USD
4671859.58000000
0.126570100496
Long
LON
CORP
US
N
2
2022-04-11
Floating
7.02720000
N
N
N
N
N
N
Halliburton Co
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216101
137438.00000000
NS
USD
2330948.48000000
0.063150096511
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3135G0V83
14700000.00000000
PA
USD
14697920.24000000
0.398196309203
Long
DBT
USGA
US
N
2
2021-01-29
Floating
1.62000000
N
N
N
N
N
N
Boyd Gaming Corp
254900787YGRYS2A1Z35
Boyd Gaming Corp
N/A
4225440.95000000
PA
USD
4163834.02000000
0.112806663243
Long
LON
CORP
US
N
2
2023-09-15
Floating
3.82920000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
148.00000000
NC
USD
-209470.69000000
-0.00567498355
N/A
DCO
N/A
N
1
SGX
N/A
Long
N/A
Copper; May 2020
2020-05-28
9398000.00000000
USD
-209470.69000000
N
N
N
Federal Home Loan Mortgage Corp
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3134GVEK0
42000000.00000000
PA
USD
41987489.46000000
1.137525790225
Long
DBT
USGA
US
N
2
2021-08-27
Floating
1.63000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
133.00000000
NC
USD
-882746.87000000
-0.02391539346
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Low Sulphur Gasoline; May 2020
2020-05-13
5848675.00000000
USD
-882746.87000000
N
N
N
Jacobs Douwe Egberts International BV
724500LEDYB2X5NCX785
Jacobs Douwe Egberts International BV
N/A
1400261.97000000
PA
USD
1389760.01000000
0.037651402213
Long
LON
CORP
NL
N
2
2025-10-23
Floating
3.68750000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-21293.49000000
-0.00057688359
N/A
DFE
N/A
N
2
Westpac Banking Corporation
N/A
2204946.96000000
USD
2930757.72000000
CAD
2020-03-18
-21293.49000000
N
N
N
Viant Medical Holdings Inc
549300E68YOWU15QSF58
Viant Medical Holdings Inc
N/A
2202909.05000000
PA
USD
2116621.10000000
0.057343535428
Long
LON
CORP
US
N
2
2025-07-02
Floating
5.69470000
N
N
N
N
N
N
New Millennium Holdco Inc
N/A
New Millennium Holdco Inc
N/A
649523.87000000
PA
USD
290661.93000000
0.007874618031
Long
LON
CORP
US
N
2
2020-12-21
Floating
8.10320000
N
N
N
N
N
N
Lee & Man Paper Manufacturing Ltd
30030066PNKQVCCC5G24
Lee & Man Paper Manufacturing Ltd
N/A
1156000.00000000
NS
920467.56000000
0.024937323046
Long
EC
CORP
HK
N
2
N
N
N
Elanco Animal Health
N/A
Elanco Animal Health
N/A
1800000.00000000
PA
USD
1778994.00000000
0.048196536198
Long
LON
CORP
US
N
2
2027-02-04
None
0.00000000
N
N
N
N
N
N
Mondi PLC
213800LOZA69QFDC9N34
Mondi PLC
N/A
375383.00000000
NS
7623885.59000000
0.206546440186
Long
EC
CORP
GB
N
2
N
N
N
Empresas CMPC SA
N/A
Empresas CMPC SA
N/A
757605.00000000
NS
1545667.01000000
0.041875237352
Long
EC
CORP
CL
N
2
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
N/A
1481250.00000000
PA
USD
1462734.38000000
0.039628425107
Long
LON
CORP
US
N
2
2027-04-27
Floating
4.15840000
N
N
N
N
N
N
Uber Technologies Inc
549300B2FTG34FILDR98
Uber Technologies Inc
N/A
1901706.77000000
PA
USD
1881263.42000000
0.050967221093
Long
LON
CORP
US
N
2
2023-07-13
Floating
5.10870000
N
N
N
N
N
N
Alexandria Real Estate Equities Inc
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271109
102909.00000000
NS
USD
15629818.92000000
0.423443324349
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828XL9
24612911.23200000
PA
USD
25717238.41000000
0.696731867539
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.38000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2195000.00000000
OU
Notional Amount
USD
-145242.66000000
-0.00393491665
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2028-10-30
77.57000000
USD
0.00000000
USD
2195000.00000000
USD
-145320.23000000
N
N
N
Phillips 66
5493005JBO5YSIGK1814
Phillips 66
718546104
25148.00000000
NS
USD
1882579.28000000
0.051002870395
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
5741.32000000
0.000155543940
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-26
6.29000000
USD
0.00000000
USD
300000.00000000
USD
5735.03000000
N
N
N
Reynolds Group Holdings Inc
5493002QNV81KCX40V06
Reynolds Group Holdings Inc
N/A
5818730.93000000
PA
USD
5754492.14000000
0.155900800526
Long
LON
CORP
US
N
2
2023-02-05
Floating
4.35340000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
600000.00000000
OU
Notional Amount
USD
19230.30000000
0.000520987620
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-25
12.58000000
USD
0.00000000
USD
600000.00000000
USD
19217.72000000
N
N
N
Scientific Games International Inc
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
N/A
5284061.53000000
PA
USD
5115658.49000000
0.138593508237
Long
LON
CORP
US
N
2
2024-08-14
Floating
4.36590000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
560000.00000000
OU
Notional Amount
USD
89749.72000000
0.002431500965
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
560000.00000000
OU
Notional Amount
USD
89749.72000000
0.00243200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
560000.00000000
USD
560000.00000000
USD
3.05200000
USD
2029-01-11
XXXX
58109.72000000
N
N
N
AquaVenture Holdings Ltd
N/A
AquaVenture Holdings Ltd
G0443N107
13314.00000000
NS
USD
360010.56000000
0.009753412314
Long
EC
CORP
US
N
1
N
N
N
Japanese Government CPI Linked Bond
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
N/A
914760964.00000100
PA
8688787.39000000
0.235396778159
Long
DBT
NUSS
JP
N
2
2029-03-10
Fixed
0.10000000
N
N
N
N
N
N
Kao Corp
353800HM38HFCB8RGL63
Kao Corp
N/A
20100.00000000
NS
1462786.20000000
0.039629829015
Long
EC
CORP
JP
N
2
N
N
N
Quikrete Holdings Inc
5493007KIN86DIZWZT22
Quikrete Holdings Inc
N/A
3812370.76000000
PA
USD
3734217.16000000
0.101167475846
Long
LON
CORP
US
N
2
2027-02-01
Floating
4.10340000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1760000.00000000
OU
Notional Amount
USD
-14484.42000000
-0.00039241215
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1760000.00000000
OU
Notional Amount
USD
-14484.42000000
-0.00039200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1760000.00000000
USD
1760000.00000000
USD
1.41700000
USD
2020-08-18
XXXX
31275.58000000
N
N
N
PCI Gaming Authority
549300KPXAJ1LRW5LP59
PCI Gaming Authority
N/A
1756538.47000000
PA
USD
1741168.76000000
0.047171774142
Long
LON
CORP
US
N
2
2026-05-29
Floating
4.10350000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
600000.00000000
OU
Notional Amount
USD
29209.11000000
0.000791333713
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-30
12.49000000
USD
0.00000000
USD
600000.00000000
USD
29196.62000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1330000.00000000
OU
Notional Amount
USD
213372.18000000
0.005780682788
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1330000.00000000
OU
Notional Amount
USD
213372.18000000
0.00578100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1330000.00000000
USD
1330000.00000000
USD
2.95000000
USD
2024-03-13
XXXX
153422.43000000
N
N
N
Nexstar Broadcasting Inc
5493006PK6I4I2OOT688
Nexstar Broadcasting Inc
N/A
1895250.00000000
PA
USD
1876297.50000000
0.050832684302
Long
LON
CORP
US
N
2
2026-09-21
Floating
4.40520000
N
N
N
N
N
N
EPR Properties
549300YSSXFHMPOWZ492
EPR Properties
26884U109
48957.00000000
NS
USD
2900212.68000000
0.078572612058
Long
EC
CORP
US
N
1
N
N
N
Kinder Morgan Inc/DE
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456B101
368020.00000000
NS
USD
7054943.40000000
0.191132648541
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FR4
2335434.96800000
PA
USD
2652181.00000000
0.071852933496
Long
DBT
UST
US
N
2
2025-01-15
Fixed
2.38000000
N
N
N
N
N
N
Atmos Energy Corp
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560105
33219.00000000
NS
USD
3429861.75000000
0.092921873817
Long
EC
CORP
US
N
1
N
N
N
Sappi Ltd
549300SSI7XQH8ESJG95
Sappi Ltd
N/A
301545.00000000
NS
567258.55000000
0.015368178441
Long
EC
CORP
ZA
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
560000.00000000
OU
Notional Amount
USD
-199.76000000
-0.00000541190
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
560000.00000000
OU
Notional Amount
USD
-199.76000000
-0.00000500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
560000.00000000
USD
560000.00000000
USD
2.35000000
USD
2020-07-13
XXXX
5736.24000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1730000.00000000
OU
Notional Amount
USD
-32656.67000000
-0.00088473506
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1730000.00000000
OU
Notional Amount
USD
-32656.67000000
-0.00088500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1730000.00000000
USD
1730000.00000000
USD
2.25000000
USD
2024-08-21
XXXX
18632.09000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
760000.00000000
OU
Notional Amount
USD
2616.88000000
0.000070896558
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2049-08-22
42.56000000
USD
0.00000000
USD
760000.00000000
USD
2574.32000000
N
N
N
N/A
N/A
Futures
N/A
46.00000000
NC
-225086.18000000
-0.00609803867
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
Euro Bond 10 Year Bond; March 2020
2020-03-09
9011701.85000000
USD
-225086.18000000
N
N
N
Gecina SA
9695003E4MMA10IBTR26
Gecina SA
N/A
44913.00000000
NS
7996126.59000000
0.216631199793
Long
EC
CORP
FR
N
2
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
7229260.07400000
PA
USD
8897256.91000000
0.241044637999
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
830000.00000000
OU
Notional Amount
-925.46000000
-0.00002507257
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-08-11
41.07000000
USD
0.00000000
USD
830000.00000000
EUR
-966.53000000
N
N
N
Serta Simmons Bedding LLC
549300M4F4V4WFPNI116
Serta Simmons Bedding LLC
N/A
469681.00000000
PA
USD
127518.39000000
0.003454730426
Long
LON
CORP
US
N
2
2024-11-08
Floating
9.62930000
N
N
N
N
N
N
Merlin Entertainment
N/A
Merlin Entertainment
N/A
1414141.41000000
PA
USD
1357575.75000000
0.036779465685
Long
LON
CORP
US
N
2
2026-10-16
Floating
0.00000000
N
N
N
N
N
N
Amneal Pharmaceuticals LLC
54930037VIXE7LRZ1M66
Amneal Pharmaceuticals LLC
N/A
947594.37000000
PA
USD
835465.53000000
0.022634446580
Long
LON
CORP
US
N
2
2025-03-21
Floating
5.12500000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4810000.00000000
OU
Notional Amount
USD
-13539.85000000
-0.00036682185
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
4810000.00000000
OU
Notional Amount
USD
-13539.85000000
-0.00036700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4810000.00000000
USD
4810000.00000000
USD
2.75000000
USD
2022-05-10
XXXX
125997.02000000
N
N
N
Equinix Inc
549300EVUN2BTLJ3GT74
Equinix Inc
29444U700
12931.00000000
NS
USD
7406876.80000000
0.200667234297
Long
EC
CORP
US
N
1
N
N
N
Unicharm Corp
353800UQ4BZIJTAQEG85
Unicharm Corp
N/A
75600.00000000
NS
2449002.08000000
0.066348406683
Long
EC
CORP
JP
N
2
N
N
N
BW NHHC Holdco Inc
549300Y5ZHAEE7MHCH51
BW NHHC Holdco Inc
N/A
749253.38000000
PA
USD
633119.11000000
0.017152473871
Long
LON
CORP
US
N
2
2025-05-15
Floating
6.61520000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4970000.00000000
OU
Notional Amount
USD
10774.49000000
0.000291902669
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2020-11-22
45.19000000
USD
0.00000000
USD
4970000.00000000
USD
10729.30000000
N
N
N
Cumulus Media New Holdings Inc
5493001D9VBAVY1OKJ46
Cumulus Media New Holdings Inc
N/A
1330764.01000000
PA
USD
1300821.82000000
0.035241887232
Long
LON
CORP
US
N
2
2026-03-18
Floating
5.35330000
N
N
N
N
N
N
Syniverse Holdings Inc
549300CYZBHMZC8VLL59
Syniverse Holdings Inc
N/A
2350000.00000000
PA
USD
1637174.50000000
0.044354359853
Long
LON
CORP
US
N
2
2024-02-09
Floating
10.87250000
N
N
N
N
N
N
Plantronics Inc
5493006O3W5M472F6668
Plantronics Inc
N/A
1544230.76000000
PA
USD
1411689.43000000
0.038245514439
Long
LON
CORP
US
N
2
2025-06-02
Floating
4.10350000
N
N
N
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
3382.40000000
0.000091636039
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
Call
Purchased
Citigroup Inc
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
3382.40000000
0.00009200
DFE
5116500.00000000
USD
3790000.00000000
GBP
N/A
3790000.00000000
GBP
1.35000000
GBP
2020-05-04
XXXX
-80411.67000000
N
N
N
PetSmart Inc
N/A
PetSmart Inc
N/A
6985977.55000000
PA
USD
6894740.68000000
0.186792433681
Long
LON
CORP
US
N
2
2022-03-11
Floating
5.66000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
8792.04000000
0.000238194099
N/A
DFE
N/A
N
2
BNP Paribas
N/A
795765.00000000
CAD
601654.43000000
USD
2020-03-04
8792.04000000
N
N
N
N/A
N/A
Futures
N/A
176.00000000
NC
USD
86243.52000000
0.002336510934
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
Natural Gas; May 2020
2020-04-29
3048320.00000000
USD
86243.52000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
4230.06000000
0.000114600858
N/A
DFE
N/A
N
2
Bank of America NA
N/A
742478.16000000
CAD
557436.83000000
USD
2020-03-18
4230.06000000
N
N
N
Regency Centers Corp
529900053A7X7FJ97S58
Regency Centers Corp
758849103
112452.00000000
NS
USD
6459242.88000000
0.174993919756
Long
EC
CORP
US
N
1
N
N
N
Bellring Brands LLC
5493001E28R2L3L44631
Bellring Brands LLC
N/A
1000000.00000000
PA
USD
1005000.00000000
0.027227477371
Long
LON
CORP
US
N
2
2024-10-10
Floating
6.60350000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
410000.00000000
OU
Notional Amount
USD
11770.87000000
0.000318896613
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
410000.00000000
OU
Notional Amount
USD
11770.87000000
0.00031900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
410000.00000000
USD
410000.00000000
USD
2.98500000
USD
2038-04-28
XXXX
-7499.13000000
N
N
N
Kestrel Bidco Inc
5493004LHNGMD0JHE251
Kestrel Bidco Inc
N/A
2750000.00000000
PA
USD
2644125.00000000
0.071634680205
Long
LON
CORP
CA
N
2
2026-12-11
Floating
4.65260000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1960000.00000000
OU
Notional Amount
USD
-14368.25000000
-0.00038926487
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1960000.00000000
OU
Notional Amount
USD
-14368.25000000
-0.00038900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1960000.00000000
USD
1960000.00000000
USD
3.00000000
USD
2024-06-14
XXXX
39455.04000000
N
N
N
Whatabrands LLC
254900HMMX4HTWIP0085
Whatabrands LLC
N/A
2047125.00000000
PA
USD
2006182.50000000
0.054351530967
Long
LON
CORP
US
N
2
2026-08-02
Floating
4.41630000
N
N
N
N
N
N
CHG PPC Parent LLC
54930019XJQNJAGXQ664
CHG PPC Parent LLC
N/A
242528.35000000
PA
USD
236465.14000000
0.006406317660
Long
LON
CORP
US
N
2
2025-03-30
Floating
4.35360000
N
N
N
N
N
N
Berry Global Inc
549300AP2Q7ERHX6RI89
Berry Global Inc
N/A
1443338.06000000
PA
USD
1420793.12000000
0.038492151766
Long
LON
CORP
US
N
2
2024-01-19
Floating
3.67100000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
9380000.00000000
OU
Notional Amount
USD
-160858.66000000
-0.00435798559
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-07-14
123.93000000
USD
0.00000000
USD
9380000.00000000
USD
-160982.59000000
N
N
N
N/A
N/A
Capped Options
N/A
8300000.00000000
OU
Notional Amount
USD
1780.34000000
0.000048233002
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Purchased
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
8300000.00000000
OU
Notional Amount
USD
1780.34000000
0.00004800
DIR
N/A
Max (0, 5Y CMS-0.35%)
N/A
N/A
N/A
N/A
N/A
8300000.00000000
USD
8300000.00000000
USD
0.35000000
USD
2020-07-09
XXXX
-5067.16000000
N
N
N
Allegiant Travel Co
549300JM9OZXOHWL2K18
Allegiant Travel Co
N/A
594000.00000000
PA
USD
558360.00000000
0.015127098771
Long
LON
CORP
US
N
2
2024-02-05
Floating
4.70730000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1020000.00000000
OU
Notional Amount
-20953.53000000
-0.00056767339
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1020000.00000000
OU
Notional Amount
-20953.53000000
-0.00056800
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
1020000.00000000
EUR
1020000.00000000
EUR
0.03500000
EUR
2022-09-14
XXXX
-5079.76000000
N
N
N
China Longyuan Power Group Corp Ltd
5299008UYLF3O6V9T464
China Longyuan Power Group Corp Ltd
N/A
4339000.00000000
NS
2279924.35000000
0.061767749899
Long
EC
CORP
CN
N
2
N
N
N
Nine Dragons Paper Holdings Ltd
529900TBMYEYJ2LEV906
Nine Dragons Paper Holdings Ltd
N/A
4057000.00000000
NS
4873600.97000000
0.132035681721
Long
EC
CORP
HK
N
2
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FD5
3585785.28900000
PA
USD
4728901.08000000
0.128115469800
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.63000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
11888.78000000
0.000322091033
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-03
6.25000000
USD
0.00000000
USD
300000.00000000
USD
11882.53000000
N
N
N
Berry Global Inc
549300AP2Q7ERHX6RI89
Berry Global Inc
N/A
2559000.00000000
PA
USD
2513142.72000000
0.068086106011
Long
LON
CORP
US
N
2
2026-07-01
Floating
3.67090000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
459.00000000
NC
USD
863375.58000000
0.023390586137
N/A
DCO
N/A
N
1
MSE
N/A
Long
N/A
Coffee 'C'; May 2020
2020-05-19
19166118.75000000
USD
863375.58000000
N
N
N
Penn National Gaming Inc
N/A
Penn National Gaming Inc
N/A
1483759.39000000
PA
USD
1461503.00000000
0.039595064538
Long
LON
CORP
US
N
2
2025-08-14
Floating
3.85340000
N
N
N
N
N
N
Kadant Inc
549300K06LNJYBMPYP15
Kadant Inc
48282T104
12207.00000000
NS
USD
1108639.74000000
0.030035286999
Long
EC
CORP
US
N
1
N
N
N
Evoqua Water Technologies Corp
529900YQAOMEZRGRRP43
Evoqua Water Technologies Corp
30057T105
53000.00000000
NS
USD
1111410.00000000
0.030110338931
Long
EC
CORP
US
N
1
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
N/A
982500.00000000
PA
USD
958556.48000000
0.025969228725
Long
LON
CORP
US
N
2
2025-05-30
Floating
3.85360000
N
N
N
N
N
N
iHeartMedia Inc
N/A
iHeartMedia Inc
45174J509
253758.00000000
NS
USD
3834283.38000000
0.103878471608
Long
EC
CORP
US
N
1
N
N
N
DaVita Inc
M2XHYMU3TZNEZURC6H66
DaVita Inc
N/A
1995000.00000000
PA
USD
1970421.60000000
0.053382696046
Long
LON
CORP
US
N
2
2026-08-12
Floating
3.35330000
N
N
N
N
N
N
Petroleo Brasileiro SA
5493000J801JZRCMFE49
Petroleo Brasileiro SA
71654V101
810071.00000000
NS
USD
9121399.46000000
0.247117111838
Long
EC
CORP
BR
N
1
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Z37
10891914.00000000
PA
USD
11386262.19000000
0.308476812068
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.13000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5220000.00000000
OU
Notional Amount
USD
-407164.19000000
-0.01103089927
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2025-02-07
5018.43000000
USD
0.00000000
USD
5220000.00000000
USD
-412182.62000000
N
N
N
N/A
N/A
Futures
N/A
292.00000000
NC
USD
-1892672.59000000
-0.05127631852
N/A
DCO
N/A
N
1
CME
N/A
Long
N/A
Live Cattle; April 2020
2020-05-01
12564760.00000000
USD
-1892672.59000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QP6
5000070.45000000
PA
USD
7195279.23000000
0.194934629273
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.13000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SB5
7539448.80000000
PA
USD
9416450.90000000
0.255110650550
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-21218.64000000
-0.00057485576
N/A
DFE
N/A
N
2
CIBC World Markets
N/A
143862000.00000000
JPY
1312651.41000000
USD
2020-03-04
-21218.64000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
16130000.00000000
OU
Notional Amount
USD
137237.67000000
0.003718045327
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
16130000.00000000
OU
Notional Amount
USD
137237.67000000
0.00371800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
16130000.00000000
USD
16130000.00000000
USD
1.20000000
USD
2020-09-24
XXXX
86428.17000000
N
N
N
Consolidated Communications Inc
549300WW675Y48HDVX34
Consolidated Communications Inc
N/A
337729.13000000
PA
USD
318731.87000000
0.008635089331
Long
LON
CORP
US
N
2
2023-10-05
Floating
4.61020000
N
N
N
N
N
N
Aalberts NV
549300EMP9DT6Q35HZ31
Aalberts NV
N/A
70780.00000000
NS
2639790.36000000
0.071517246063
Long
EC
CORP
NL
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
25890000.00000000
OU
Notional Amount
USD
-0.18000000
-0.00000000487
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
25890000.00000000
OU
Notional Amount
USD
-0.18000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
25890000.00000000
USD
25890000.00000000
USD
2.31000000
USD
2020-04-07
XXXX
55016.07000000
N
N
N
Greenway Health LLC
549300U56GIYUK0LTY73
Greenway Health LLC
N/A
267704.08000000
PA
USD
216840.30000000
0.005874641155
Long
LON
CORP
US
N
2
2024-02-16
Floating
5.69060000
N
N
N
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
N/A
2424828.62000000
PA
USD
2436952.76000000
0.066021966297
Long
LON
CORP
LU
N
2
2024-01-15
Fixed
6.63
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5640000.00000000
OU
Notional Amount
USD
-0.05000000
-0.00000000135
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
5640000.00000000
OU
Notional Amount
USD
-0.05000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5640000.00000000
USD
5640000.00000000
USD
3.45000000
USD
2020-06-09
XXXX
23546.95000000
N
N
N
Essential Utilities Inc
549300ILTEOF3E3QY357
Essential Utilities Inc
29670G102
143777.00000000
NS
USD
6183848.77000000
0.167532937767
Long
EC
CORP
US
N
1
N
N
N
Greeneden US Holdings II LLC
549300CVRD4OUCPHWQ42
Greeneden US Holdings II LLC
N/A
3069116.61000000
PA
USD
3028205.29000000
0.082040190060
Long
LON
CORP
US
N
2
2023-12-01
Floating
4.88270000
N
N
N
N
N
N
Severn Trent PLC
213800RPBXRETY4A4C59
Severn Trent PLC
N/A
730287.00000000
NS
23182027.94000000
0.628047901663
Long
EC
CORP
GB
N
2
N
N
N
Packaging Corp of America
549300XZP8MFZFY8TJ84
Packaging Corp of America
695156109
46314.00000000
NS
USD
4196974.68000000
0.113704510577
Long
EC
CORP
US
N
1
N
N
N
Essential Properties Realty Trust Inc
N/A
Essential Properties Realty Trust Inc
29670E107
178875.00000000
NS
USD
4098026.25000000
0.111023798001
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1700000.00000000
OU
Notional Amount
-54564.18000000
-0.00147825370
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2035-01-15
581.70000000
USD
0.00000000
USD
1700000.00000000
GBP
-55145.88000000
N
N
N
PAREXEL International Corp
549300GCZVUYB6P2OA17
PAREXEL International Corp
N/A
2380216.82000000
PA
USD
2304835.35000000
0.062442639142
Long
LON
CORP
US
N
2
2024-08-09
Floating
4.35330000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-8079.37000000
-0.00021888643
N/A
DFE
N/A
N
2
Bank of America NA
N/A
610894.72000000
USD
470000.00000000
GBP
2020-03-18
-8079.37000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
560000.00000000
OU
Notional Amount
USD
9898.83000000
0.000268179273
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
560000.00000000
OU
Notional Amount
USD
9898.83000000
0.00026800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
560000.00000000
USD
560000.00000000
USD
3.08250000
USD
2029-01-30
XXXX
-21909.17000000
N
N
N
Bright Bidco BV
549300IL6Q1JWU688H15
Bright Bidco BV
N/A
2080854.10000000
PA
USD
976961.00000000
0.026467844299
Long
LON
CORP
NL
N
2
2024-06-30
Floating
5.33290000
N
N
N
N
N
N
American Airlines Inc
IWUQB36BXD6OWD6X4T14
American Airlines Inc
N/A
1629502.02000000
PA
USD
1577227.60000000
0.042730277402
Long
LON
CORP
US
N
2
2023-12-14
Floating
3.65850000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust 2012-C3
N/A
UBS-Barclays Commercial Mortgage Trust 2012-C3
90349DAD4
2994390.34000000
PA
USD
3092309.30000000
0.083776897007
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
3.09000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1300000.00000000
OU
Notional Amount
43809.41000000
0.001186885292
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2045-01-15
14.14000000
USD
0.00000000
USD
1300000.00000000
GBP
43795.27000000
N
N
N
Ultimate Software Group Inc/The
529900FKHWSTQ1GXK240
Ultimate Software Group Inc/The
N/A
2244375.00000000
PA
USD
2234409.98000000
0.060534673801
Long
LON
CORP
US
N
2
2026-05-03
Floating
5.35340000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1300000.00000000
OU
Notional Amount
-48665.44000000
-0.00131844494
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2050-01-15
85.18000000
USD
0.00000000
USD
1300000.00000000
GBP
-48750.62000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
10110000.00000000
OU
Notional Amount
-1645.77000000
-0.00004458722
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
10110000.00000000
OU
Notional Amount
-1645.77000000
-0.00004500
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
10110000.00000000
EUR
10110000.00000000
EUR
0.10000000
EUR
2021-03-30
XXXX
33523.39000000
N
N
N
Mallinckrodt International Finance SA
N/A
Mallinckrodt International Finance SA
N/A
1350899.62000000
PA
USD
1350899.62000000
0.036598595856
Long
LON
CORP
US
N
2
2024-03-24
None
0.00000000
N
N
N
N
N
N
Physicians Realty Trust
549300ITOVH0OY7PZC34
Physicians Realty Trust
71943U104
197907.00000000
NS
USD
3732526.02000000
0.101121659452
Long
EC
CORP
US
N
1
N
N
N
Finastra USA Inc
549300ZB2RO6QC7YTK71
Finastra USA Inc
N/A
199551.26000000
PA
USD
189699.41000000
0.005139339694
Long
LON
CORP
US
N
2
2025-04-28
Floating
9.02750000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1390000.00000000
OU
Notional Amount
USD
572.22000000
0.000015502594
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1390000.00000000
OU
Notional Amount
USD
572.22000000
0.00001600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1390000.00000000
USD
1390000.00000000
USD
3.80000000
USD
2021-06-08
XXXX
-53654.11000000
N
N
N
DR Horton Inc
529900ZIUEYVSB8QDD25
DR Horton Inc
23331A109
28451.00000000
NS
USD
1515584.77000000
0.041060248786
Long
EC
CORP
US
N
1
N
N
N
Hengan International Group Co Ltd
N/A
Hengan International Group Co Ltd
N/A
260500.00000000
NS
1963541.83000000
0.053196309199
Long
EC
CORP
CN
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1200000.00000000
OU
Notional Amount
USD
-24817.02000000
-0.00067234313
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-27
25.17000000
USD
0.00000000
USD
1200000.00000000
USD
-24842.19000000
N
N
N
Royal Dutch Shell PLC - A Shares
21380068P1DRHMJ8KU70
Royal Dutch Shell PLC - A Shares
N/A
100871.00000000
NS
2177450.19000000
0.058991518185
Long
EC
CORP
NL
N
2
N
N
N
Peabody Energy Corp
EJCO258LNNVSKAR2JX59
Peabody Energy Corp
N/A
954183.01000000
PA
USD
639302.62000000
0.017319997631
Long
LON
CORP
US
N
2
2025-03-31
Floating
4.35350000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1700000.00000000
OU
Notional Amount
54486.08000000
0.001476137821
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2040-01-15
0.00000000
USD
256.33000000
USD
1700000.00000000
GBP
54742.41000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-12646.72000000
-0.00034262515
N/A
DFE
N/A
N
2
Bank of America NA
N/A
1095478.62000000
USD
980000.00000000
EUR
2020-03-18
-12646.72000000
N
N
N
N/A
N/A
Futures
N/A
970.00000000
NC
USD
3279218.90000000
0.088840655121
N/A
DCO
N/A
N
1
CME
N/A
Short
N/A
LME Lead; March 2020
2020-03-17
44789750.00000000
USD
3279218.90000000
N
N
N
Aegion Corp
549300AG3DVJURRIT691
Aegion Corp
00770F104
20586.00000000
NS
USD
370753.86000000
0.010044469983
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
240000.00000000
OU
Notional Amount
USD
33109.36000000
0.000896999353
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2050-02-10
6.74000000
USD
0.00000000
USD
240000.00000000
USD
33102.62000000
N
N
N
ANDRITZ AG
549300VZKC61IR5U8G96
ANDRITZ AG
N/A
73093.00000000
NS
2586586.13000000
0.070075836144
Long
EC
CORP
AT
N
2
N
N
N
Mediacom Illinois LLC
549300C5ZH26WTW5DM15
Mediacom Illinois LLC
N/A
476595.39000000
PA
USD
472425.18000000
0.012798951142
Long
LON
CORP
US
N
2
2024-02-15
Floating
3.34020000
N
N
N
N
N
N
Alliant Holdings Intermediate LLC
5493006Q26653NF8SI73
Alliant Holdings Intermediate LLC
N/A
2181394.90000000
PA
USD
2134124.07000000
0.057817726193
Long
LON
CORP
US
N
2
2025-05-09
Floating
4.60340000
N
N
N
N
N
N
Brand Industrial Services Inc
549300B658W2BPDQMW42
Brand Industrial Services Inc
N/A
380113.55000000
PA
USD
371370.94000000
0.010061187925
Long
LON
CORP
US
N
2
2024-06-21
Floating
6.08810000
N
N
N
N
N
N
Cheniere Energy Inc
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411R208
337856.00000000
NS
USD
17328634.24000000
0.469467658364
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
13842.89000000
0.000375031815
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-29
6.24000000
USD
0.00000000
USD
300000.00000000
USD
13836.65000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
9550000.00000000
OU
Notional Amount
USD
-94283.48000000
-0.00255432966
N/A
DIR
N/A
N
2
CME
N/A
N/A
US Federal Funds Effective Rate (continuous series)
Y
2021-12-15
157.31000000
USD
0.00000000
USD
9550000.00000000
USD
-94440.79000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
39560000.00000000
OU
Notional Amount
51228.22000000
0.001387875821
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
39560000.00000000
OU
Notional Amount
51228.22000000
0.00138800
DIR
N/A
6 Month JPY LIBOR
N/A
N/A
N/A
N/A
N/A
39560000.00000000
JPY
39560000.00000000
JPY
0.78000000
JPY
2021-04-19
XXXX
38844.35000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
660000.00000000
OU
Notional Amount
USD
39562.96000000
0.001071840396
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-08
13.66000000
USD
0.00000000
USD
660000.00000000
USD
39549.30000000
N
N
N
Reynolds Consumer Products LLC
549300DWNZYMOSR1X343
Reynolds Consumer Products LLC
N/A
1101881.84000000
PA
USD
1088108.32000000
0.029479049413
Long
LON
CORP
US
N
2
2027-01-29
Floating
3.50120000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3555000.00000000
OU
Notional Amount
238830.17000000
0.006470391093
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2039-10-15
0.00000000
USD
11455.13000000
USD
3555000.00000000
GBP
250285.30000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7870000.00000000
OU
Notional Amount
-20519.69000000
-0.00055591979
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-07-26
205.11000000
USD
0.00000000
USD
7870000.00000000
EUR
-20724.80000000
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
N/A
2599897.28000000
PA
USD
2590147.67000000
0.070172325447
Long
LON
CORP
US
N
2
2026-03-17
Floating
3.35340000
N
N
N
N
N
N
iQor US Inc
549300LKMK4MMQCMDH78
iQor US Inc
N/A
918055.66000000
PA
USD
768302.42000000
0.020814862443
Long
LON
CORP
US
N
2
2021-04-01
Floating
6.90920000
N
N
N
N
N
N
Hilton Worldwide Finance LLC
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC
N/A
1829030.72000000
PA
USD
1807192.09000000
0.048960479340
Long
LON
CORP
US
N
2
2026-06-18
Floating
3.37670000
N
N
N
N
N
N
Klabin SA
N/A
Klabin SA
N/A
344100.00000000
NS
1483541.22000000
0.040192124375
Long
EC
CORP
BR
N
1
N
N
N
Newcrest Mining Ltd
5299006MN50OZJUJI655
Newcrest Mining Ltd
N/A
138652.00000000
NS
2274442.16000000
0.061619226313
Long
EC
CORP
AU
N
2
N
N
N
Brookfield Retail Holdings VII Sub 3 LLC
N/A
Brookfield Retail Holdings VII Sub 3 LLC
N/A
4016310.21000000
PA
USD
4001249.05000000
0.108401908426
Long
LON
CORP
US
N
2
2023-08-28
Floating
3.85340000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4870000.00000000
OU
Notional Amount
-1634.90000000
-0.00004429273
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
4870000.00000000
OU
Notional Amount
-1634.90000000
-0.00004400
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
4870000.00000000
EUR
4870000.00000000
EUR
0.05000000
EUR
2021-06-11
XXXX
10628.98000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
-3382.40000000
-0.00009163603
N/A
DFE
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
-3382.40000000
-0.00009200
DFE
5116500.00000000
USD
3790000.00000000
GBP
N/A
3790000.00000000
GBP
1.35000000
GBP
2020-05-04
XXXX
44993.31000000
N
N
N
Inmobiliaria Colonial Socimi SA
95980020140005007414
Inmobiliaria Colonial Socimi SA
N/A
870742.00000000
NS
11121994.94000000
0.301317279163
Long
EC
CORP
ES
N
2
N
N
N
Epicor Software Corp
JGNXVGGGXR4O1L5I7S73
Epicor Software Corp
N/A
4496511.99000000
PA
USD
4457976.88000000
0.120775586691
Long
LON
CORP
US
N
2
2022-05-12
Floating
4.86000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1760000.00000000
OU
Notional Amount
USD
-17295.99000000
-0.00046858326
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1760000.00000000
OU
Notional Amount
USD
-17295.99000000
-0.00046900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1760000.00000000
USD
1760000.00000000
USD
1.95000000
USD
2022-01-31
XXXX
23844.01000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
24700000.00000000
OU
Notional Amount
USD
-206930.69000000
-0.00560616983
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-06-15
248.52000000
USD
0.00000000
USD
24700000.00000000
USD
-207179.21000000
N
N
N
DS Smith PLC
39RSBE4RCI4M15BLWH36
DS Smith PLC
N/A
926122.00000000
NS
3784716.52000000
0.102535605380
Long
EC
CORP
GB
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1840000.00000000
OU
Notional Amount
USD
-21956.62000000
-0.00059484912
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-12-01
28.16000000
USD
0.00000000
USD
1840000.00000000
USD
-21984.78000000
N
N
N
Federal Home Loan Banks
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AJ2X6
22500000.00000000
PA
USD
22501584.23000000
0.609613308910
Long
DBT
USGA
US
N
2
2021-04-05
Floating
1.65000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-20322.65000000
-0.00055058158
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
122655372.00000000
JPY
1117942.76000000
USD
2020-03-18
-20322.65000000
N
N
N
CPI Holdco LLC
N/A
CPI Holdco LLC
N/A
1705000.00000000
PA
USD
1709262.50000000
0.046307369195
Long
LON
CORP
US
N
2
2026-10-28
Floating
6.19450000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5450000.00000000
OU
Notional Amount
-12978.55000000
-0.00035161510
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-07-25
129.85000000
USD
0.00000000
USD
5450000.00000000
EUR
-13108.40000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1270000.00000000
OU
Notional Amount
USD
-17807.06000000
-0.00048242917
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-11-01
19.47000000
USD
0.00000000
USD
1270000.00000000
USD
-17826.53000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1120000.00000000
OU
Notional Amount
USD
1605.30000000
0.000043490815
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1120000.00000000
OU
Notional Amount
USD
1605.30000000
0.00004300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1120000.00000000
USD
1120000.00000000
USD
1.72200000
USD
2020-05-20
XXXX
-17406.70000000
N
N
N
Tatneft PJSC
253400PAT768SVJMV121
Tatneft PJSC
876629205
41834.00000000
NS
USD
2515560.21000000
0.068151600692
Long
EC
CORP
RU
N
2
N
N
N
Outfront Media Capital LLC
5493005WC7J0FDMW0610
Outfront Media Capital LLC
N/A
1156716.42000000
PA
USD
1146595.15000000
0.031063575623
Long
LON
CORP
US
N
2
2026-11-18
Floating
3.40260000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
12274.92000000
0.000332552344
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-03
6.25000000
USD
0.00000000
USD
300000.00000000
USD
12268.67000000
N
N
N
N/A
N/A
Futures
N/A
482.00000000
NC
USD
1456895.05000000
0.039470225877
N/A
DCO
N/A
N
1
HKG
N/A
Short
N/A
Cotton No.2; May 2020
2020-05-07
14819090.00000000
USD
1456895.05000000
N
N
N
Empresas COPEC SA
549300Q3IDJYG6Z7PA50
Empresas COPEC SA
N/A
196034.00000000
NS
1532048.23000000
0.041506277129
Long
EC
CORP
CL
N
2
N
N
N
Equinor ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
N/A
807611.00000000
NS
12439048.92000000
0.336998928355
Long
EC
CORP
NO
N
2
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128283R9
20680677.46900000
PA
USD
22008835.45000000
0.596263750445
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
N
N
N
N
N
N
Federal Farm Credit Banks Funding Corp
N/A
Federal Farm Credit Banks Funding Corp
3133EK5T9
35000000.00000000
PA
USD
35061097.05000000
0.949875847327
Long
DBT
USGA
US
N
2
2021-11-05
Floating
1.80000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2020-BXLP
N/A
BX Commercial Mortgage Trust 2020-BXLP
05607QAA6
9000000.00000000
PA
USD
9004159.80000000
0.243940852943
Long
ABS-MBS
CORP
US
N
2
2029-12-15
Floating
2.46000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5215000.00000000
OU
Notional Amount
-16075.09000000
-0.00043550661
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
5215000.00000000
OU
Notional Amount
-16075.09000000
-0.00043600
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
5215000.00000000
EUR
5215000.00000000
EUR
0.18000000
EUR
2020-07-17
XXXX
55075.24000000
N
N
N
Travelport Finance Luxembourg Sarl
2221005SGFWYZHL40F77
Travelport Finance Luxembourg Sarl
N/A
2239512.71000000
PA
USD
1699230.27000000
0.046035575846
Long
LON
CORP
LU
N
2
2026-03-18
Floating
6.94470000
N
N
N
N
N
N
IDEX Corp
549300U5Y5EL6PHYLF13
IDEX Corp
45167R104
46161.00000000
NS
USD
6831828.00000000
0.185088002267
Long
EC
CORP
US
N
1
N
N
N
United States Treasury Floating Rate Note
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
912828Z45
5000000.00000000
PA
USD
4998934.45000000
0.135431218528
Long
DBT
UST
US
N
2
2022-01-31
Floating
1.66000000
N
N
N
N
N
N
InterXion Holding NV
724500JX3LUPNMOBTY38
InterXion Holding NV
N47279109
48917.00000000
NS
USD
4152564.13000000
0.112501339189
Long
EC
CORP
NL
N
1
N
N
N
TRI Pointe Group Inc
N/A
TRI Pointe Group Inc
87265H109
50888.00000000
NS
USD
780113.04000000
0.021134835964
Long
EC
CORP
US
N
1
N
N
N
Change Healthcare Holdings LLC
N/A
Change Healthcare Holdings LLC
N/A
7241410.34000000
PA
USD
7087530.37000000
0.192015495295
Long
LON
CORP
US
N
2
2024-03-01
Floating
4.12810000
N
N
N
N
N
N
Halma PLC
2138007FRGLUR9KGBT40
Halma PLC
N/A
278016.00000000
NS
6986777.26000000
0.189285890297
Long
EC
CORP
GB
N
2
N
N
N
AMC Entertainment Holdings Inc
549300ZO77UNR6NRBR11
AMC Entertainment Holdings Inc
N/A
4391947.33000000
PA
USD
4240996.10000000
0.114897139648
Long
LON
CORP
US
N
2
2026-03-20
Floating
4.61000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
560000.00000000
OU
Notional Amount
USD
89137.12000000
0.002414904395
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Call
Purchased
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
560000.00000000
OU
Notional Amount
USD
89137.12000000
0.00241500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
560000.00000000
USD
560000.00000000
USD
3.03660000
USD
2029-01-12
XXXX
57259.12000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-113504.22000000
-0.00307505829
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
5937384.80000000
USD
7816433.90000000
CAD
2020-03-18
-113504.22000000
N
N
N
SS&C Technologies Inc
549300KY09TR3J12JU49
SS&C Technologies Inc
N/A
929718.71000000
PA
USD
916544.60000000
0.024831042146
Long
LON
CORP
LU
N
2
2025-04-16
Floating
3.75060000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
410000.00000000
OU
Notional Amount
USD
63735.31000000
0.001726718120
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
410000.00000000
OU
Notional Amount
USD
63735.31000000
0.00172700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
410000.00000000
USD
410000.00000000
USD
2.98500000
USD
2038-04-28
XXXX
44465.31000000
N
N
N
Brandywine Realty Trust
5UZ46ZCYUFYYAC0DS831
Brandywine Realty Trust
105368203
163800.00000000
NS
USD
2224404.00000000
0.060263591617
Long
EC
CORP
US
N
1
N
N
N
Vantage Drilling International
549300T9QN1134QR7185
Vantage Drilling International
G9325C105
4456.00000000
NS
USD
98032.00000000
0.002655884638
Long
EC
CORP
US
N
2
N
N
N
N/A
N/A
Futures
N/A
122.00000000
NC
USD
-572532.02000000
-0.01551104738
N/A
DCO
N/A
N
1
OSE
N/A
Long
N/A
Gold 100 oz; April 2020
2020-04-29
19113740.00000000
USD
-572532.02000000
N
N
N
DiscoverOrg LLC
549300XF0FRWD2286I33
DiscoverOrg LLC
N/A
1644213.35000000
PA
USD
1639083.40000000
0.044406075805
Long
LON
CORP
US
N
2
2026-02-02
Floating
5.60340000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2610000.00000000
OU
Notional Amount
USD
-925.80000000
-0.00002508178
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2610000.00000000
OU
Notional Amount
USD
-925.80000000
-0.00002500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2610000.00000000
USD
2610000.00000000
USD
2.20300000
USD
2020-06-12
XXXX
56004.83000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QF8
3366455.29500000
PA
USD
4791355.77000000
0.129807493341
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.13000000
N
N
N
N
N
N
Rayonier Inc
HGV8VDVNL0W6SF2U9C50
Rayonier Inc
754907103
405575.00000000
NS
USD
10759904.75000000
0.291507525477
Long
EC
CORP
US
N
1
N
N
N
American Airlines Inc
IWUQB36BXD6OWD6X4T14
American Airlines Inc
N/A
303042.05000000
PA
USD
287435.38000000
0.007787204283
Long
LON
CORP
US
N
2
2025-06-27
Floating
3.36190000
N
N
N
N
N
N
Pinnacle Renewable Energy Inc
N/A
Pinnacle Renewable Energy Inc
N/A
94847.00000000
NS
639497.37000000
0.017325273802
Long
EC
CORP
CA
N
1
N
N
N
TIBCO Sorftware, Inc
N/A
TIBCO Sorftware, Inc
N/A
5133171.56000000
PA
USD
5069006.92000000
0.137329623096
Long
LON
CORP
US
N
2
2026-06-30
None
0.00000000
N
N
N
N
N
N
Enterprise Products Partners LP
K4CDIF4M54DJZ6TB4Q48
Enterprise Products Partners LP
293792107
189084.00000000
NS
USD
4413220.56000000
0.119563047696
Long
EC
CORP
US
N
1
N
N
N
Williams Cos Inc/The
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457100
965512.00000000
NS
USD
18393003.60000000
0.498303571463
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-5724.06000000
-0.00015507633
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
60421601.00000000
JPY
555000.00000000
USD
2020-03-18
-5724.06000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
410000.00000000
OU
Notional Amount
USD
-33782.70000000
-0.00091524149
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
410000.00000000
OU
Notional Amount
USD
-33782.70000000
-0.00091500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
410000.00000000
USD
410000.00000000
USD
1.91000000
USD
2026-11-30
XXXX
19414.80000000
N
N
N
GFL Environmental Inc
549300FYK4MBXWIVZU26
GFL Environmental Inc
N/A
6091266.12000000
PA
USD
5967247.94000000
0.161664784337
Long
LON
CORP
CA
N
2
2025-05-09
Floating
5.26830000
N
N
N
N
N
N
HGIM Corp
549300W0Q0ZDXP0FKI37
HGIM Corp
N/A
1281608.03000000
PA
USD
936855.47000000
0.025381304587
Long
LON
CORP
US
N
2
2023-07-02
Floating
7.71290000
N
N
N
N
N
N
California Water Service Group
529900QABDOBU6UVRQ36
California Water Service Group
130788102
32080.00000000
NS
USD
1538556.80000000
0.041682607420
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
650760.00000000
OU
Notional Amount
-51697.00000000
-0.00140057601
N/A
DIR
N/A
N
2
LCH
N/A
N/A
New Zealand Bank Bill 3 Month FRA
Y
2029-03-20
2761.98000000
USD
0.00000000
USD
650760.00000000
NZD
-54458.98000000
N
N
N
Sonoco Products Co
GKOMIK4RDJGHEF0VNP11
Sonoco Products Co
835495102
36209.00000000
NS
USD
1745635.89000000
0.047292797706
Long
EC
CORP
US
N
1
N
N
N
Amcor PLC
549300GSODGFCDQ3DI89
Amcor PLC
G0250X107
281173.00000000
NS
USD
2620532.36000000
0.070995507994
Long
EC
CORP
GB
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-11097.65000000
-0.00030065772
N/A
DFE
N/A
N
2
BMO Capital Markets
N/A
1121373.95000000
USD
1490140.67000000
CAD
2020-03-18
-11097.65000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
33152.12000000
0.000898157808
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
5958327.72000000
USD
5427000.00000000
EUR
2020-03-04
33152.12000000
N
N
N
Simon Property Group Inc
529900GQL5X8H7AO3T64
Simon Property Group Inc
828806109
57601.00000000
NS
USD
7089531.08000000
0.192069698565
Long
EC
CORP
US
N
1
N
N
N
METAWATER Co Ltd
N/A
METAWATER Co Ltd
N/A
8000.00000000
NS
282942.17000000
0.007665474160
Long
EC
CORP
JP
N
2
N
N
N
Sprint Communications Inc
549300JKU50UT08ZWD77
Sprint Communications Inc
N/A
2475000.00000000
PA
USD
2453343.75000000
0.066466031282
Long
LON
CORP
US
N
2
2024-02-02
Floating
4.62500000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
805000.00000000
OU
Notional Amount
USD
81813.63000000
0.002216496278
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2024-10-31
13.63000000
USD
0.00000000
USD
805000.00000000
USD
81800.00000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
12232.02000000
0.000331390097
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-03
6.25000000
USD
0.00000000
USD
300000.00000000
USD
12225.77000000
N
N
N
1011778 BC ULC
549300RHSHNRWI5LLA86
1011778 BC ULC
N/A
9335961.38000000
PA
USD
9172582.06000000
0.248503751722
Long
LON
CORP
CA
N
2
2026-11-14
Floating
3.35340000
N
N
N
N
N
N
Smurfit Kappa Group PLC
635400CPLP8H5ITDVT56
Smurfit Kappa Group PLC
N/A
150915.00000000
NS
5084301.59000000
0.137743986561
Long
EC
CORP
IE
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1700000.00000000
OU
Notional Amount
-40027.76000000
-0.00108443276
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2035-01-15
364.10000000
USD
0.00000000
USD
1700000.00000000
GBP
-40391.86000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
210000.00000000
OU
Notional Amount
USD
19151.54000000
0.000518853852
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2031-06-22
4.04000000
USD
0.00000000
USD
210000.00000000
USD
19147.50000000
N
N
N
N/A
N/A
Options
N/A
122.00000000
NC
USD
271450.00000000
0.007354128092
N/A
DIR
N/A
N
1
CME
N/A
Call
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
122.00000000
NC
USD
271450.00000000
0.00735400
DIR
Long
N/A
90 Day Eurodollar Future; March 2020
N/A
305000.00000000
USD
122.00000000
97.75000000
USD
2020-03-17
XXXX
250675.84000000
N
N
N
Forterra Inc
549300M8CB93DI1JD480
Forterra Inc
34960W106
13721.00000000
NS
USD
185782.34000000
0.005033218366
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2190000.00000000
OU
Notional Amount
-919.83000000
-0.00002492005
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2190000.00000000
OU
Notional Amount
-919.83000000
-0.00002500
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
2190000.00000000
EUR
2190000.00000000
EUR
0.00010000
EUR
2021-06-15
XXXX
5129.48000000
N
N
N
UPM-Kymmene Oyj
213800EC6PW5VU4J9U64
UPM-Kymmene Oyj
N/A
203309.00000000
NS
6256254.52000000
0.169494555598
Long
EC
CORP
FI
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1490000.00000000
OU
Notional Amount
USD
241083.67000000
0.006531442954
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1490000.00000000
OU
Notional Amount
USD
241083.67000000
0.00653100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1490000.00000000
USD
1490000.00000000
USD
3.08800000
USD
2038-12-07
XXXX
171798.67000000
N
N
N
Ingevity Corp
5493009UTFC4B5IMGF87
Ingevity Corp
45688C107
18106.00000000
NS
USD
815494.24000000
0.022093384046
Long
EC
CORP
US
N
1
N
N
N
Warehouses De Pauw CVA
549300HWDYC5JXC85138
Warehouses De Pauw CVA
N/A
91800.00000000
NS
2460006.91000000
0.066646549728
Long
EC
CORP
BE
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
19920000.00000000
OU
Notional Amount
USD
-170871.01000000
-0.00462924035
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-07-12
262.34000000
USD
0.00000000
USD
19920000.00000000
USD
-171133.35000000
N
N
N
N/A
N/A
Futures
N/A
328.00000000
NC
USD
264514.68000000
0.007166236282
N/A
DCO
N/A
N
1
EUX
N/A
Short
N/A
Soybean Oil; May 2020
2020-05-15
5644224.00000000
USD
264514.68000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1960000.00000000
OU
Notional Amount
USD
-549.74000000
-0.00001489356
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1960000.00000000
OU
Notional Amount
USD
-549.74000000
-0.00001500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1960000.00000000
USD
1960000.00000000
USD
2.30000000
USD
2020-06-16
XXXX
27478.26000000
N
N
N
Wand NewCo 3 Inc
549300Y3VZEWMSQW8494
Wand NewCo 3 Inc
N/A
2000924.99000000
PA
USD
1959245.72000000
0.053079918912
Long
LON
CORP
US
N
2
2026-02-05
Floating
4.64530000
N
N
N
N
N
N
NextEra Energy Partners LP
5493008F4ZOQFNG3WN54
NextEra Energy Partners LP
65341B106
251841.00000000
NS
USD
14523670.47000000
0.393475531422
Long
EC
CORP
US
N
1
N
N
Norbord Inc
549300VL705RQ5PHI407
Norbord Inc
N/A
243170.00000000
NS
6458566.22000000
0.174975587671
Long
EC
CORP
CA
N
1
N
N
N
8th Avenue Food & Provisions Inc
549300PBCACU45IZ2V05
8th Avenue Food & Provisions Inc
N/A
891000.00000000
PA
USD
886170.78000000
0.024008154089
Long
LON
CORP
US
N
2
2025-09-19
Floating
5.40280000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
17266.58000000
0.000467786483
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-27
6.24000000
USD
0.00000000
USD
300000.00000000
USD
17260.34000000
N
N
N
N/A
N/A
Options
N/A
6.00000000
NC
USD
93.75000000
0.000002539876
N/A
DIR
N/A
N
1
CBT
N/A
Put
Purchased
CBT
N/A
N/A
N/A
FUTURE
N/A
6.00000000
NC
USD
93.75000000
0.00000300
DIR
Short
N/A
US 10 Year Note Future; June 2020
N/A
6000.00000000
USD
6.00000000
128.00000000
USD
2020-03-30
XXXX
-1790.37000000
N
N
N
CenturyLink Inc
8M3THTGWLTYZVE6BBY25
CenturyLink Inc
N/A
1350000.00000000
PA
USD
1344600.00000000
0.036427926442
Long
LON
CORP
US
N
2
2025-01-31
Floating
3.60350000
N
N
N
N
N
N
Vestas Wind Systems A/S
549300DYMC8BGZZC8844
Vestas Wind Systems A/S
N/A
84458.00000000
NS
8148537.22000000
0.220760311215
Long
EC
CORP
DK
N
2
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828VA5
2000000.00000000
PA
USD
1998963.52000000
0.054155954236
Long
DBT
UST
US
N
2
2020-04-30
Fixed
1.13000000
N
N
N
N
N
N
American Electric Power Co Inc
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537101
89294.00000000
NS
USD
7970382.44000000
0.215933738836
Long
EC
CORP
US
N
1
N
N
N
Antofagasta PLC
213800MY6QVH4FVLD628
Antofagasta PLC
N/A
256941.00000000
NS
2539679.64000000
0.068805044706
Long
EC
CORP
CL
N
2
N
N
N
Energy Transfer LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273V100
268068.00000000
NS
USD
2970193.44000000
0.080468532017
Long
EC
CORP
US
N
1
N
N
N
Welltower Inc
T6IZ0MBEG5ACZDTR7D06
Welltower Inc
95040Q104
131212.00000000
NS
USD
9817281.84000000
0.265969969305
Long
EC
CORP
US
N
1
N
N
N
Air Methods Corp
54930081QGNZXVDOZF63
Air Methods Corp
N/A
1410683.34000000
PA
USD
1160879.53000000
0.031450568293
Long
LON
CORP
US
N
2
2024-04-12
Floating
5.44460000
N
N
N
N
N
N
Oji Holdings Corp
529900LVC9GIIYUGE243
Oji Holdings Corp
N/A
1088600.00000000
NS
5155933.81000000
0.139684647903
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
530000.00000000
OU
Notional Amount
-396.78000000
-0.00001074957
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-09-14
37.74000000
USD
0.00000000
USD
530000.00000000
EUR
-434.52000000
N
N
N
Seattle SpinCo Inc
213800AAQDP1DDU8BK05
Seattle SpinCo Inc
N/A
4039228.83000000
PA
USD
3827169.32000000
0.103685737371
Long
LON
CORP
US
N
2
2024-06-21
Floating
4.10340000
N
N
N
N
N
N
Eutelsat Communications SA
549300EFWH9UR17YSK05
Eutelsat Communications SA
N/A
139602.00000000
NS
1887658.25000000
0.051140469938
Long
EC
CORP
FR
N
2
N
N
N
Rio Tinto Ltd
529900X2VMAQT2PE0V24
Rio Tinto Ltd
N/A
44015.00000000
NS
2529308.54000000
0.068524070686
Long
EC
CORP
GB
N
2
N
N
N
Dynatrace LLC
N/A
Dynatrace LLC
N/A
606414.76000000
PA
USD
600732.65000000
0.016275059337
Long
LON
CORP
US
N
2
2025-08-08
Floating
3.85340000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
350000.00000000
OU
Notional Amount
USD
4925.88000000
0.000133452026
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-03-02
7.35000000
USD
0.00000000
USD
350000.00000000
USD
4918.53000000
N
N
N
Lundin Mining Corp
549300FQDIM6C8HTN269
Lundin Mining Corp
N/A
1092226.00000000
NS
5574034.72000000
0.151011844984
Long
EC
CORP
CA
N
1
N
N
N
Interfor Corp
549300P4G5UZ3AMJE056
Interfor Corp
N/A
427286.00000000
NS
3797744.07000000
0.102888547990
Long
EC
CORP
CA
N
1
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828N48
7000000.00000000
PA
USD
7035000.00000000
0.190592341603
Long
DBT
UST
US
N
2
2020-12-31
Fixed
1.75000000
N
N
N
N
N
N
Meredith Corp
549300YC8BC386CCTS24
Meredith Corp
N/A
2090622.00000000
PA
USD
2068419.59000000
0.056037659285
Long
LON
CORP
US
N
2
2025-01-31
Floating
4.10340000
N
N
N
N
N
N
Crown Castle International Corp
54930012H97VSM0I2R19
Crown Castle International Corp
22822V101
109749.00000000
NS
USD
15725934.21000000
0.426047281448
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
95.00000000
NC
USD
-181842.35000000
-0.00492647608
N/A
DIR
N/A
N
1
CME
N/A
Short
N/A
90 Day Eurodollar; March 2020
2020-03-16
23427000.00000000
USD
-181842.35000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
9550000.00000000
OU
Notional Amount
USD
-95409.45000000
-0.00258483446
N/A
DIR
N/A
N
2
CME
N/A
N/A
US Federal Funds Effective Rate (continuous series)
Y
2021-12-15
157.31000000
USD
0.00000000
USD
9550000.00000000
USD
-95566.76000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
540000.00000000
OU
Notional Amount
-480.16000000
-0.00001300850
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-10-06
33.68000000
USD
0.00000000
USD
540000.00000000
EUR
-513.84000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2210000.00000000
OU
Notional Amount
USD
13737.59000000
0.000372179025
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2210000.00000000
OU
Notional Amount
USD
13737.59000000
0.00037200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2210000.00000000
USD
2210000.00000000
USD
2.85000000
USD
2022-05-10
XXXX
-114583.13000000
N
N
N
Ingredion Inc
PKSTQ48QDN0XSVS7YK88
Ingredion Inc
457187102
34688.00000000
NS
USD
2889510.40000000
0.078282665703
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
600000.00000000
OU
Notional Amount
USD
-30632.76000000
-0.00082990326
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-10
12.52000000
USD
0.00000000
USD
600000.00000000
USD
-30645.28000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2010000.00000000
OU
Notional Amount
USD
-3004.49000000
-0.00008139769
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
2010000.00000000
OU
Notional Amount
USD
-3004.49000000
-0.00008100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2010000.00000000
USD
2010000.00000000
USD
3.25000000
USD
2022-08-03
XXXX
10161.01000000
N
N
N
LifePoint Health Inc
549300G8ZVHRTBBBSZ90
LifePoint Health Inc
N/A
8236262.34000000
PA
USD
8153899.72000000
0.220905592158
Long
LON
CORP
US
N
2
2025-11-14
Floating
5.39520000
N
N
N
N
N
N
POSCO
988400E5HRVX81AYLM04
POSCO
N/A
14785.00000000
NS
2374781.68000000
0.064337626323
Long
EC
CORP
KR
N
2
N
N
N
Iberdrola SA
5QK37QC7NWOJ8D7WVQ45
Iberdrola SA
N/A
921686.00000000
NS
10551620.75000000
0.285864691749
Long
EC
CORP
ES
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4100000.00000000
OU
Notional Amount
USD
-0.01000000
-0.00000000027
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
4100000.00000000
OU
Notional Amount
USD
-0.01000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4100000.00000000
USD
4100000.00000000
USD
3.15000000
USD
2020-05-06
XXXX
22549.99000000
N
N
N
Petroleo Brasileiro SA
5493000J801JZRCMFE49
Petroleo Brasileiro SA
71654V408
195846.00000000
NS
USD
2369736.60000000
0.064200944929
Long
EC
CORP
BR
N
1
N
N
N
Exgen Renewables IV LLC
5493004JBPWTPTK8LB51
Exgen Renewables IV LLC
N/A
988111.07000000
PA
USD
981935.38000000
0.026602610288
Long
LON
CORP
US
N
2
2024-11-28
Floating
4.62010000
N
N
N
N
N
N
Safestore Holdings PLC
213800WGA3YSJC1YOH73
Safestore Holdings PLC
N/A
404643.00000000
NS
4069952.46000000
0.110263222397
Long
EC
CORP
GB
N
2
N
N
N
Sabert Corp
54930029JPYBTHDWT603
Sabert Corp
N/A
1000000.00000000
PA
USD
995000.00000000
0.026956557199
Long
LON
CORP
US
N
2
2026-11-26
Floating
6.18730000
N
N
N
N
N
N
American States Water Co
529900L26LIS2V8PWM23
American States Water Co
029899101
24544.00000000
NS
USD
1879824.96000000
0.050928250310
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1300000.00000000
OU
Notional Amount
-70897.16000000
-0.00192074708
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2050-01-15
417.95000000
USD
0.00000000
USD
1300000.00000000
GBP
-71315.11000000
N
N
N
N/A
N/A
Futures
N/A
114.00000000
NC
USD
221260.83000000
0.005994402230
N/A
DCO
N/A
N
1
OSE
N/A
Short
N/A
Feeder Cattle; May 2020
2020-05-22
7610925.00000000
USD
221260.83000000
N
N
N
N/A
N/A
Futures
N/A
101.00000000
NC
USD
-872646.57000000
-0.02364175595
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Silver; May 2020
2020-05-28
8310785.00000000
USD
-872646.57000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
13714.28000000
0.000371547510
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-29
6.24000000
USD
0.00000000
USD
300000.00000000
USD
13708.04000000
N
N
N
BCP Renaissance Parent LLC
549300GVXMQFQZDSJR97
BCP Renaissance Parent LLC
N/A
1432726.82000000
PA
USD
1253635.97000000
0.033963527368
Long
LON
CORP
US
N
2
2024-10-31
Floating
5.44450000
N
N
N
N
N
N
Sacyr SA
959800XKAB9VNAVN9425
Sacyr SA
N/A
593337.00000000
NS
1583319.11000000
0.042895308696
Long
EC
CORP
ES
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2440000.00000000
OU
Notional Amount
USD
35085.90000000
0.000950547809
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Purchased
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
2440000.00000000
OU
Notional Amount
USD
35085.90000000
0.00095100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2440000.00000000
USD
2440000.00000000
USD
1.23000000
USD
2020-08-28
XXXX
-11884.10000000
N
N
N
Prologis Inc
529900DFH19P073LZ636
Prologis Inc
74340W103
198893.00000000
NS
USD
16762702.04000000
0.454135413419
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
20360000.00000000
OU
Notional Amount
USD
-734.37000000
-0.00001989556
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
20360000.00000000
OU
Notional Amount
USD
-734.37000000
-0.00002000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
20360000.00000000
USD
20360000.00000000
USD
2.35000000
USD
2021-05-18
XXXX
40749.13000000
N
N
N
Concho Resources Inc
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605P101
100231.00000000
NS
USD
6817712.62000000
0.184705588148
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2340000.00000000
OU
Notional Amount
614.47000000
0.000016647231
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-03-02
44.50000000
USD
0.00000000
USD
2340000.00000000
EUR
569.97000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1330000.00000000
OU
Notional Amount
USD
9357.28000000
0.000253507591
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1330000.00000000
OU
Notional Amount
USD
9357.28000000
0.00025400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1330000.00000000
USD
1330000.00000000
USD
2.95000000
USD
2024-03-13
XXXX
-50592.47000000
N
N
N
Frasers Logistics & Industrial Trust
N/A
Frasers Logistics & Industrial Trust
N/A
2977251.00000000
NS
2658388.68000000
0.072021112070
Long
EC
CORP
SG
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2180000.00000000
OU
Notional Amount
USD
-55497.99000000
-0.00150355250
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
2180000.00000000
OU
Notional Amount
USD
-55497.99000000
-0.00150400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2180000.00000000
USD
2180000.00000000
USD
1.20000000
USD
2020-08-18
XXXX
-14949.99000000
N
N
N
Finastra USA Inc
549300ZB2RO6QC7YTK71
Finastra USA Inc
N/A
4336540.08000000
PA
USD
4126955.10000000
0.111807538905
Long
LON
CORP
US
N
2
2024-06-13
Floating
4.87820000
N
N
N
N
N
N
TOTAL SA
529900S21EQ1BO4ESM68
TOTAL SA
N/A
54922.00000000
NS
2373854.06000000
0.064312495226
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
31548.36000000
0.000854708714
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
830000.00000000
AUD
572384.80000000
USD
2020-03-18
31548.36000000
N
N
N
ALEATICA SAB de CV
529900YI9E9NDAYEDU63
ALEATICA SAB de CV
N/A
6408936.00000000
NS
9312379.70000000
0.252291151801
Long
EC
CORP
MX
N
1
N
N
N
Americold Realty Trust
549300R7N1V5YV8MWH02
Americold Realty Trust
03064D108
241539.00000000
NS
USD
7408001.13000000
0.200697694665
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1335000.00000000
OU
Notional Amount
-9986.96000000
-0.00027056689
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2024-01-03
26.65000000
USD
0.00000000
USD
1335000.00000000
EUR
-10013.61000000
N
N
N
Emera Inc
NQZVQT2P5IUF2PGA1Q48
Emera Inc
N/A
386449.00000000
NS
16284265.55000000
0.441173603762
Long
EC
CORP
CA
N
1
N
N
N
EDP - Energias de Portugal SA
529900CLC3WDMGI9VH80
EDP - Energias de Portugal SA
N/A
3230936.00000000
NS
15084234.49000000
0.408662341541
Long
EC
CORP
PT
N
2
N
N
N
Italy Buoni Poliennali Del Tesoro
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
N/A
1510000.00000000
PA
2304640.33000000
0.062437355657
Long
DBT
NUSS
IT
N
2
2049-09-01
Fixed
3.85000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1760000.00000000
OU
Notional Amount
USD
-68886.90000000
-0.00186628508
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1760000.00000000
OU
Notional Amount
USD
-68886.90000000
-0.00186600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1760000.00000000
USD
1760000.00000000
USD
1.41700000
USD
2020-08-18
XXXX
-23126.90000000
N
N
N
Perforce Software Inc
N/A
Perforce Software Inc
N/A
997500.00000000
PA
USD
980043.75000000
0.026551362215
Long
LON
CORP
US
N
2
2026-07-01
Floating
5.35330000
N
N
N
N
N
N
Mitsui Fudosan Co Ltd
353800ND4ZKNZDYKMF33
Mitsui Fudosan Co Ltd
N/A
183870.00000000
NS
4219938.45000000
0.114326645431
Long
EC
CORP
JP
N
2
N
N
N
Xylem Inc/NY
549300DF5MV96DRYLQ48
Xylem Inc/NY
98419M100
132456.00000000
NS
USD
10244147.04000000
0.277534608682
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
337.00000000
NC
USD
-66096.43000000
-0.00179068562
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Soybean; May 2020
2020-05-15
15042837.50000000
USD
-66096.43000000
N
N
N
LCPR Loan Financing LLC
N/A
LCPR Loan Financing LLC
N/A
1815000.00000000
PA
USD
1821043.95000000
0.049335754171
Long
LON
CORP
US
N
2
2026-10-22
Floating
6.65850000
N
N
N
N
N
N
Park Hotels & Resorts Inc
5493005UZ5TQN0H6HS73
Park Hotels & Resorts Inc
700517105
134500.00000000
NS
USD
2455970.00000000
0.066537181692
Long
EC
CORP
US
N
1
N
N
N
Concordia International Corp
N/A
Concordia International Corp
N/A
6573198.47000000
PA
USD
6145940.57000000
0.166505928158
Long
LON
CORP
CA
N
2
2024-09-06
Floating
7.44660000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
12970000.00000000
OU
Notional Amount
USD
-379206.72000000
-0.01027347501
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-02-28
218.27000000
USD
0.00000000
USD
12970000.00000000
USD
-379424.99000000
N
N
N
Sembcorp Industries Ltd
254900J0FF14U6TPQM96
Sembcorp Industries Ltd
N/A
606500.00000000
NS
807968.68000000
0.021889501444
Long
EC
CORP
SG
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2610000.00000000
OU
Notional Amount
USD
136819.90000000
0.003706727095
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2036-02-15
0.00000000
USD
475.44000000
USD
2610000.00000000
USD
137295.34000000
N
N
N
Nexstar Broadcasting Inc
5493006PK6I4I2OOT688
Nexstar Broadcasting Inc
N/A
1790506.40000000
PA
USD
1777757.99000000
0.048163050194
Long
LON
CORP
US
N
2
2024-01-17
Floating
3.85330000
N
N
N
N
N
N
Nippon Steel Corp
35380065QWQ4U2V3PA33
Nippon Steel Corp
N/A
196900.00000000
NS
2204027.87000000
0.059711561151
Long
EC
CORP
JP
N
2
N
N
N
Allied Properties Real Estate Investment Trust
549300AMZMPKVHA0MY77
Allied Properties Real Estate Investment Trust
N/A
100400.00000000
NS
4074343.83000000
0.110382193469
Long
EC
CORP
CA
N
1
N
N
N
Grifols Worldwide Operations USA Inc
N/A
Grifols Worldwide Operations USA Inc
N/A
3233079.08000000
PA
USD
3202979.11000000
0.086775165413
Long
LON
CORP
US
N
2
2027-11-08
Floating
3.57920000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
27.00000000
NC
USD
490786.56000000
0.013296397967
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Palladium; June 2020
2020-06-27
6725970.00000000
USD
490786.56000000
N
N
N
Garda World Security
N/A
Garda World Security
N/A
605991.66000000
PA
USD
602392.07000000
0.016320016373
Long
LON
CORP
CA
N
2
2026-10-23
Floating
6.39040000
N
N
N
N
N
N
American Airlines Inc
IWUQB36BXD6OWD6X4T14
American Airlines Inc
N/A
750000.00000000
PA
USD
725940.00000000
0.019667179028
Long
LON
CORP
US
N
2
2023-04-28
Floating
3.60340000
N
N
N
N
N
N
Compuware Corp
549300P6GJJ3KGIE0O54
Compuware Corp
N/A
991707.17000000
PA
USD
991707.17000000
0.026867347791
Long
LON
CORP
US
N
2
2025-08-08
Floating
5.60340000
N
N
N
N
N
N
PotlatchDeltic Corp
54930084YA8UJOTXDM59
PotlatchDeltic Corp
737630103
206978.00000000
NS
USD
7604371.72000000
0.206017770083
Long
EC
CORP
US
N
1
N
N
N
Aeroports de Paris
969500PJMBSFHYC37989
Aeroports de Paris
N/A
30827.00000000
NS
4582457.44000000
0.124148016174
Long
EC
CORP
FR
N
2
N
N
N
HUB International Ltd
549300JQT6ATTUNS5E06
HUB International Ltd
N/A
575000.00000000
PA
USD
572947.25000000
0.015522296800
Long
LON
CORP
US
N
2
2025-04-25
Floating
5.69180000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7830000.00000000
OU
Notional Amount
-1107.29000000
-0.00002999871
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7830000.00000000
OU
Notional Amount
-1107.29000000
-0.00003000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
7830000.00000000
EUR
7830000.00000000
EUR
0.16000000
EUR
2021-04-13
XXXX
25652.94000000
N
N
N
SRS Distribution Inc
549300ZQ3XP75BCYM468
SRS Distribution Inc
N/A
1152421.17000000
PA
USD
1116892.03000000
0.030258858182
Long
LON
CORP
US
N
2
2025-05-19
Floating
4.60330000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
660000.00000000
OU
Notional Amount
USD
44027.15000000
0.001192784308
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-07
13.65000000
USD
0.00000000
USD
660000.00000000
USD
44013.50000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
385000.00000000
OU
Notional Amount
USD
11384.68000000
0.000308433947
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-03-23
4.39000000
USD
0.00000000
USD
385000.00000000
USD
11380.29000000
N
N
N
CAMB Commercial Mortgage Trust 2019-LIFE
N/A
CAMB Commercial Mortgage Trust 2019-LIFE
12482HAA2
4562000.00000000
PA
USD
4572269.97000000
0.123872017061
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
2.73000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1640000.00000000
OU
Notional Amount
USD
-34079.81000000
-0.00092329080
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-08-27
34.40000000
USD
0.00000000
USD
1640000.00000000
USD
-34114.21000000
N
N
N
ACEA SpA
549300Q3448N041CTH56
ACEA SpA
N/A
29801.00000000
NS
627633.13000000
0.017003847606
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2045000.00000000
OU
Notional Amount
998.15000000
0.000027041897
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2021-12-16
0.00000000
USD
33.10000000
USD
2045000.00000000
EUR
1031.25000000
N
N
N
Goodman Group
N/A
Goodman Group
N/A
1367107.00000000
NS
13422594.31000000
0.363645157062
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
220000.00000000
OU
Notional Amount
USD
4628.00000000
0.000125381855
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-28
4.62000000
USD
0.00000000
USD
220000.00000000
USD
4623.38000000
N
N
N
Altra Industrial Motion Corp
NQ0NIXPGW4YKG4MWM571
Altra Industrial Motion Corp
N/A
429942.26000000
PA
USD
425462.26000000
0.011526630902
Long
LON
CORP
US
N
2
2025-09-26
Floating
3.60300000
N
N
N
N
N
N
Formula One Management Ltd
N/A
Formula One Management Ltd
N/A
8451555.47000000
PA
USD
8155751.03000000
0.220955747881
Long
LON
CORP
GB
N
2
2024-02-01
Floating
4.10340000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1330000.00000000
OU
Notional Amount
USD
-5294.01000000
-0.00014342541
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1330000.00000000
OU
Notional Amount
USD
-5294.01000000
-0.00014300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1330000.00000000
USD
1330000.00000000
USD
3.50000000
USD
2024-06-21
XXXX
14198.72000000
N
N
N
GS Mortgage Securities Corp Trust 2019-SOHO
N/A
GS Mortgage Securities Corp Trust 2019-SOHO
36257XAA9
3000000.00000000
PA
USD
3000932.40000000
0.081301312453
Long
ABS-MBS
CORP
US
N
2
2036-06-15
Floating
2.56000000
N
N
N
N
N
N
Sequa Mezzanine Holdings LLC
N/A
Sequa Mezzanine Holdings LLC
N/A
1304137.69000000
PA
USD
1301698.95000000
0.035265650453
Long
LON
CORP
US
N
2
2022-04-28
Floating
10.76930000
N
N
N
N
N
N
APA Group
549300T9RBSX164T8H40
APA Group
N/A
1850899.00000000
NS
13044412.79000000
0.353399456785
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1300000.00000000
OU
Notional Amount
58598.60000000
0.001587554284
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2045-01-15
0.00000000
USD
236.65000000
USD
1300000.00000000
GBP
58835.25000000
N
N
N
Advanced Disposal Services Inc
549300ML1GEF4BKIM713
Advanced Disposal Services Inc
N/A
3198357.62000000
PA
USD
3189018.42000000
0.086396942158
Long
LON
CORP
US
N
2
2023-11-10
Floating
3.83250000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
464.00000000
NC
USD
1055598.15000000
0.028598283326
N/A
DCO
N/A
N
1
CME
N/A
Short
N/A
Lean Hogs; April 2020
2020-04-16
11558240.00000000
USD
1055598.15000000
N
N
N
BBCMS 2018-TALL Mortgage Trust
N/A
BBCMS 2018-TALL Mortgage Trust
05548WAA5
15000000.00000000
PA
USD
14977980.00000000
0.405783693061
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
2.38000000
N
N
N
N
N
N
Dexus
N/A
Dexus
N/A
730092.00000000
NS
5816049.07000000
0.157568501937
Long
EC
CORP
AU
N
2
N
N
N
Transmissora Alianca de Energia Eletrica SA
N/A
Transmissora Alianca de Energia Eletrica SA
N/A
927300.00000000
NS
6156563.65000000
0.166793728825
Long
EC
CORP
BR
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2420000.00000000
OU
Notional Amount
USD
-159736.38000000
-0.00432758076
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2420000.00000000
OU
Notional Amount
USD
-159736.38000000
-0.00432800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2420000.00000000
USD
2420000.00000000
USD
1.74400000
USD
2020-11-20
XXXX
-101414.38000000
N
N
N
Nielsen Finance LLC
UJ76Y189LDMPCOCW7204
Nielsen Finance LLC
N/A
1930164.93000000
PA
USD
1909666.58000000
0.051736719994
Long
LON
CORP
NL
N
2
2023-10-04
Floating
3.67090000
N
N
N
N
N
N
EOG Resources Inc
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875P101
40688.00000000
NS
USD
2573922.88000000
0.069732763156
Long
EC
CORP
US
N
1
N
N
N
Badger Meter Inc
5493002JENE20OGTUG20
Badger Meter Inc
056525108
21422.00000000
NS
USD
1289818.62000000
0.034943788348
Long
EC
CORP
US
N
1
N
N
N
Vizient Inc
5493007V6T3HZ7777P70
Vizient Inc
N/A
220940.70000000
PA
USD
221148.38000000
0.005991355733
Long
LON
CORP
US
N
2
2026-05-17
Floating
4.39450000
N
N
N
N
N
N
Holmen AB
52990080SH3454F0QE68
Holmen AB
N/A
110818.00000000
NS
3121527.85000000
0.084568486469
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5285000.00000000
OU
Notional Amount
165719.04000000
0.004489663096
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2028-08-15
0.00000000
USD
13169.71000000
USD
5285000.00000000
GBP
178888.75000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
5691.11000000
0.000154183650
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
797642.76000000
CAD
600000.00000000
USD
2020-03-18
5691.11000000
N
N
N
Italgas SpA
815600F25FF44EF1FA76
Italgas SpA
N/A
1107528.00000000
NS
6768192.57000000
0.183363990098
Long
EC
CORP
IT
N
2
N
N
N
Federal Farm Credit Banks Funding Corp
N/A
Federal Farm Credit Banks Funding Corp
3133ELFP4
3000000.00000000
PA
USD
3003518.46000000
0.081371374035
Long
DBT
USGA
US
N
2
2021-12-23
Floating
1.73000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FQ6
3251768.81400000
PA
USD
4680796.60000000
0.126812222397
Long
DBT
UST
US
N
2
2032-04-15
Fixed
3.38000000
N
N
N
N
N
N
Nippon Prologis REIT Inc
353800PHBMSDLAFURY41
Nippon Prologis REIT Inc
N/A
1800.00000000
NS
4874908.68000000
0.132071110223
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4510000.00000000
OU
Notional Amount
USD
343547.12000000
0.009307384513
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2025-02-28
82.78000000
USD
0.00000000
USD
4510000.00000000
USD
343464.34000000
N
N
N
Hilton Worldwide Holdings Inc
549300HVGPK36ICB0B89
Hilton Worldwide Holdings Inc
43300A203
54114.00000000
NS
USD
5259880.80000000
0.142500781553
Long
EC
CORP
US
N
1
N
N
N
Sociedad Quimica y Minera de Chile SA
TJ88LXZZW5PWIN93ZC81
Sociedad Quimica y Minera de Chile SA
833635105
121058.00000000
NS
USD
3314568.04000000
0.089798334633
Long
EC
CORP
CL
N
1
N
N
N
Citigroup Commercial Mortgage Trust 2019-GC41
N/A
Citigroup Commercial Mortgage Trust 2019-GC41
17328FBB0
71434616.71000000
PA
USD
5697167.85000000
0.154347769870
Long
ABS-MBS
CORP
US
N
2
2056-08-10
Variable
1.19000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-39283.90000000
-0.00106428009
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
3130773.49000000
USD
4946000.00000000
NZD
2020-03-04
-39283.90000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
10415000.00000000
OU
Notional Amount
-42392.42000000
-0.00114849617
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
10415000.00000000
OU
Notional Amount
-42392.42000000
-0.00114800
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
10415000.00000000
EUR
10415000.00000000
EUR
0.29300000
EUR
2020-08-21
XXXX
7892.01000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4950400.00000000
OU
Notional Amount
-1118.30000000
-0.00003029700
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
4950400.00000000
OU
Notional Amount
-1118.30000000
-0.00003000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
4950400.00000000
EUR
4950400.00000000
EUR
0.11000000
EUR
2021-05-18
XXXX
15258.91000000
N
N
N
Savage Enterprises LLC
N/A
Savage Enterprises LLC
N/A
1407954.54000000
PA
USD
1402674.71000000
0.038001287489
Long
LON
CORP
US
N
2
2025-08-01
Floating
0.00000000
N
N
N
N
N
N
LEG Immobilien AG
391200SO40AKONBO0Z96
LEG Immobilien AG
N/A
20700.00000000
NS
2485746.45000000
0.067343885790
Long
EC
CORP
DE
N
2
N
N
N
Italy Buoni Poliennali Del Tesoro
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
N/A
2924633.08000000
PA
3458179.08000000
0.093689047411
Long
DBT
NUSS
IT
N
2
2028-05-15
Fixed
1.30000000
N
N
N
N
N
N
Beijing Enterprises Water Group Ltd
529900TWUN2ALJKWRR11
Beijing Enterprises Water Group Ltd
N/A
4004000.00000000
NS
1885796.68000000
0.051090036251
Long
EC
CORP
HK
N
2
N
N
N
Huadian Fuxin Energy Corp Ltd
3003004HVC7K0KXPES85
Huadian Fuxin Energy Corp Ltd
N/A
17732000.00000000
NS
3033327.59000000
0.082178963500
Long
EC
CORP
CN
N
2
N
N
N
Gymboree Corp/The
N/A
Gymboree Corp/The
403777303
17842.00000000
NS
USD
8921.00000000
0.000241687886
Long
EC
CORP
US
Y
3
N
N
N
N/A
N/A
Capped Options
N/A
38200000.00000000
OU
Notional Amount
USD
71077.51000000
0.001925633129
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
38200000.00000000
OU
Notional Amount
USD
71077.51000000
0.00192600
DIR
N/A
Max (0, 5Y CMS-0.30%)
N/A
N/A
N/A
N/A
N/A
38200000.00000000
USD
38200000.00000000
USD
0.30000000
USD
2022-02-15
XXXX
3317.82000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5375000.00000000
OU
Notional Amount
USD
-92401.44000000
-0.00250334140
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-02-03
217.50000000
USD
0.00000000
USD
5375000.00000000
USD
-92618.94000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
12110000.00000000
OU
Notional Amount
USD
322331.89000000
0.008732621135
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-04-27
144.96000000
USD
0.00000000
USD
12110000.00000000
USD
322186.93000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
150000.00000000
OU
Notional Amount
USD
-14057.44000000
-0.00038084440
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-06-24
2.93000000
USD
0.00000000
USD
150000.00000000
USD
-14060.37000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1750000.00000000
OU
Notional Amount
USD
-69455.29000000
-0.00188168391
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1750000.00000000
OU
Notional Amount
USD
-69455.29000000
-0.00188200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1750000.00000000
USD
1750000.00000000
USD
2.93750000
USD
2020-04-20
XXXX
-57292.79000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1715000.00000000
OU
Notional Amount
USD
96362.65000000
0.002610658579
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2050-02-10
97.55000000
USD
0.00000000
USD
1715000.00000000
USD
96265.10000000
N
N
N
Dun & Bradstreet Corp/The
RI37BMPWE56BCJ747E14
Dun & Bradstreet Corp/The
N/A
1000000.00000000
PA
USD
1002080.00000000
0.027148368681
Long
LON
CORP
US
N
2
2026-02-06
Floating
5.60780000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5405000.00000000
OU
Notional Amount
USD
-110464.46000000
-0.00299270505
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-02-10
219.13000000
USD
0.00000000
USD
5405000.00000000
USD
-110683.59000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1390000.00000000
OU
Notional Amount
USD
11555.85000000
0.000313071287
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1390000.00000000
OU
Notional Amount
USD
11555.85000000
0.00031300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1390000.00000000
USD
1390000.00000000
USD
2.25000000
USD
2022-08-09
XXXX
-21352.40000000
N
N
N
N/A
N/A
Options
N/A
19.00000000
NC
USD
-33546.88000000
-0.00090885265
N/A
DIR
N/A
N
1
CBT
N/A
Call
Written
CBT
N/A
N/A
N/A
FUTURE
N/A
19.00000000
NC
USD
-33546.88000000
-0.00090900
DIR
Long
N/A
US 10 Year Note Future; June 2020
N/A
19000.00000000
USD
19.00000000
134.00000000
USD
2020-04-27
XXXX
-21700.76000000
N
N
N
Repsol SA
BSYCX13Y0NOTV14V9N85
Repsol SA
N/A
183092.00000000
NS
2068996.19000000
0.056053280543
Long
EC
CORP
ES
N
2
N
N
N
Grupo Aeroportuario del Pacifico SAB de CV
4469000001BZ368XFI90
Grupo Aeroportuario del Pacifico SAB de CV
N/A
675200.00000000
NS
7306691.05000000
0.197953000226
Long
EC
CORP
MX
N
1
N
N
N
Suzano SA
391200AW174YQSDMGG41
Suzano SA
N/A
359300.00000000
NS
3029853.75000000
0.082084850167
Long
EC
CORP
BR
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
-23062.93000000
-0.00062482129
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2049-07-05
5.99000000
USD
0.00000000
USD
300000.00000000
USD
-23068.92000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1800000.00000000
OU
Notional Amount
-4078.74000000
-0.00011050129
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-09-14
137.26000000
USD
0.00000000
USD
1800000.00000000
EUR
-4216.00000000
N
N
N
Japanese Government CPI Linked Bond
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
N/A
628020120.00000100
PA
5965201.31000000
0.161609337002
Long
DBT
NUSS
JP
N
2
2028-03-10
Fixed
0.10000000
N
N
N
N
N
N
Cengage Learning Holdings II Inc
5493003VGPEJMW28UG24
Cengage Learning Holdings II Inc
15136X102
2772.00000000
NS
USD
35343.00000000
0.000957513166
Long
EC
CORP
US
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1950000.00000000
OU
Notional Amount
USD
-12831.51000000
-0.00034763149
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1950000.00000000
OU
Notional Amount
USD
-12831.51000000
-0.00034800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1950000.00000000
USD
1950000.00000000
USD
2.15000000
USD
2022-01-11
XXXX
32505.99000000
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV
N/A
152114.00000000
NS
2546544.26000000
0.068991021110
Long
EC
CORP
NL
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2720000.00000000
OU
Notional Amount
USD
50285.64000000
0.001362339428
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2029-11-25
108.03000000
USD
0.00000000
USD
2720000.00000000
USD
50177.61000000
N
N
N
Equinox Holdings Inc
549300W05QKLNGQIIA73
Equinox Holdings Inc
N/A
1766239.84000000
PA
USD
1736072.46000000
0.047033705095
Long
LON
CORP
US
N
2
2024-03-08
Floating
4.60330000
N
N
N
N
N
N
Innophos Holdings Inc
XQ0331QX53IRX25OY417
Innophos Holdings Inc
N/A
1920000.00000000
PA
USD
1900800.00000000
0.051496506456
Long
LON
CORP
US
N
2
2027-02-04
Floating
5.42070000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
8417128.42500000
PA
USD
9673414.05000000
0.262072300652
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
N/A
190781.00000000
NS
2376962.90000000
0.064396719973
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
13985.05000000
0.000378883216
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-11
6.27000000
USD
0.00000000
USD
300000.00000000
USD
13978.78000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1960000.00000000
OU
Notional Amount
USD
-36377.93000000
-0.00098555150
N/A
DIR
N/A
N
2
CME
N/A
N/A
US Federal Funds Effective Rate (continuous series)
Y
2024-08-31
0.00000000
USD
593.52000000
USD
1960000.00000000
USD
-35784.41000000
N
N
N
Commercial Barge Line Co
N/A
Commercial Barge Line Co
N/A
518922.38000000
PA
USD
175784.96000000
0.004762369174
Long
LON
CORP
US
N
2
2020-11-12
None
0.00000000
Y
N
N
N
N
N
Wilmar International Ltd
549300H2EAI4YRLWBB20
Wilmar International Ltd
N/A
964700.00000000
NS
2784520.78000000
0.075438285103
Long
EC
CORP
SG
N
2
N
N
N
Fieldwood Energy LLC
549300KTQCELOBO6BF21
Fieldwood Energy LLC
N/A
3647847.45000000
PA
USD
1842162.96000000
0.049907910755
Long
LON
CORP
US
N
2
2023-04-11
Floating
9.02710000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8220000.00000000
OU
Notional Amount
-8741.32000000
-0.00023681999
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month JPY LIBOR
Y
2044-03-21
18.97000000
USD
0.00000000
USD
8220000.00000000
JPY
-8760.29000000
N
N
N
K+S AG
529900YURAYD4IJX2J91
K+S AG
N/A
255132.00000000
NS
2112454.32000000
0.057230648952
Long
EC
CORP
DE
N
2
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
N/A
3219495.25000000
PA
USD
3143032.24000000
0.085151083774
Long
LON
CORP
US
N
2
2025-12-24
Floating
3.85340000
N
N
N
N
N
N
West Fraser Timber Co Ltd
5493005WD1ZK6WBVR988
West Fraser Timber Co Ltd
N/A
151188.00000000
NS
5645403.29000000
0.152945363516
Long
EC
CORP
CA
N
1
N
N
N
Benchmark 2019-B12 Mortgage Trust
N/A
Benchmark 2019-B12 Mortgage Trust
08162FAK9
94870954.48000000
PA
USD
7156087.64000000
0.193872850039
Long
ABS-MBS
CORP
US
N
2
2052-08-15
Variable
1.07000000
N
N
N
N
N
N
Cineworld Ltd
N/A
Cineworld Ltd
N/A
4570000.00000000
PA
USD
4243245.00000000
0.114958066886
Long
LON
CORP
GB
N
2
2027-02-05
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
394.00000000
NC
USD
2113376.55000000
0.057255634023
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
LME Zinc; March 2020
2020-03-17
19828050.00000000
USD
2113376.55000000
N
N
N
TTM Technologies Inc
549300SC4BDOIS008048
TTM Technologies Inc
N/A
1307432.97000000
PA
USD
1291090.06000000
0.034978234222
Long
LON
CORP
US
N
2
2024-09-13
Floating
4.15500000
N
N
N
N
N
N
New Zealand Government Inflation Linked Bond
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
N/A
906846.30000000
PA
783042.12000000
0.021214190650
Long
DBT
NUSS
NZ
N
2
2040-09-20
Fixed
2.50000000
N
N
N
N
N
N
Orsted A/S
W9NG6WMZIYEU8VEDOG48
Orsted A/S
N/A
33702.00000000
NS
3479354.95000000
0.094262744447
Long
EC
CORP
DK
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1050000.00000000
OU
Notional Amount
USD
-58987.52000000
-0.00159809091
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1050000.00000000
OU
Notional Amount
USD
-58987.52000000
-0.00159800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1050000.00000000
USD
1050000.00000000
USD
1.62400000
USD
2020-11-03
XXXX
-33367.52000000
N
N
N
Invesco S&P Global Water Index ETF
549300RFDFWI2IHZ7J53
Invesco S&P Global Water Index ETF
46138E263
104454.00000000
NS
USD
4031924.40000000
0.109232965538
Long
EC
RF
US
N
1
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2170000.00000000
OU
Notional Amount
USD
-8758.84000000
-0.00023729464
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2170000.00000000
OU
Notional Amount
USD
-8758.84000000
-0.00023700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2170000.00000000
USD
2170000.00000000
USD
1.65000000
USD
2020-08-20
XXXX
28890.66000000
N
N
N
First Solar Inc
549300NPYMLM4NHTOF27
First Solar Inc
336433107
116169.00000000
NS
USD
5317055.13000000
0.144049749489
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
19131.77000000
0.000518318243
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
753785.25000000
CAD
580763.24000000
USD
2020-03-18
19131.77000000
N
N
N
CF Industries Holdings Inc
529900CG8YAQFZ2JMV97
CF Industries Holdings Inc
125269100
352783.00000000
NS
USD
13003581.38000000
0.352293251520
Long
EC
CORP
US
N
1
N
N
N
BHP Trust 2019-BXHP
N/A
BHP Trust 2019-BXHP
05550TAA7
10000000.00000000
PA
USD
9981161.00000000
0.270409786341
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Floating
2.63000000
N
N
N
N
N
N
Houghton Mifflin Harcourt Publishers Inc
549300DDRF1LRKBXUN11
Houghton Mifflin Harcourt Publishers Inc
N/A
1500000.00000000
PA
USD
1490625.00000000
0.040384038266
Long
LON
CORP
US
N
2
2024-11-19
Floating
7.89070000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
75.00000000
NC
USD
682281.57000000
0.018484384088
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
LME Nickel; March 2020
2020-03-17
5490450.00000000
USD
682281.57000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-37630.95000000
-0.00101949834
N/A
DFE
N/A
N
2
Bank of America NA
N/A
1161658.49000000
USD
1725000.00000000
AUD
2020-03-18
-37630.95000000
N
N
N
Sydney Airport
N/A
Sydney Airport
N/A
2770199.00000000
NS
14156867.54000000
0.383538100102
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5860000.00000000
OU
Notional Amount
USD
-113630.08000000
-0.00307846809
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2024-08-01
186.65000000
USD
0.00000000
USD
5860000.00000000
USD
-113816.73000000
N
N
N
EG America LLC
549300BY1CRYVPEG9R57
EG America LLC
N/A
1228134.15000000
PA
USD
1191805.94000000
0.032288427127
Long
LON
CORP
US
N
2
2025-02-07
Floating
5.96050000
N
N
N
N
N
N
Stars Group Holdings BV
549300RNFXC8F8RT6R13
Stars Group Holdings BV
N/A
4776739.93000000
PA
USD
4760307.94000000
0.128966344994
Long
LON
CORP
NL
N
2
2025-06-27
Floating
5.44460000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
N/A
2350000.00000000
PA
USD
2318674.50000000
0.062817569633
Long
LON
CORP
US
N
2
2026-11-15
Floating
4.40490000
N
N
N
N
N
N
Minto Apartment Real Estate Investment Trust
N/A
Minto Apartment Real Estate Investment Trust
N/A
392242.00000000
NS
7568685.27000000
0.205050952163
Long
EC
CORP
CA
N
1
N
N
N
Federal Farm Credit Banks Funding Corp
N/A
Federal Farm Credit Banks Funding Corp
3133ELAD6
21000000.00000000
PA
USD
21022316.07000000
0.569536950349
Long
DBT
USGA
US
N
2
2021-11-18
Floating
1.75000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
150000.00000000
OU
Notional Amount
USD
6085.46000000
0.000164867387
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-20
3.14000000
USD
0.00000000
USD
150000.00000000
USD
6082.32000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1700000.00000000
OU
Notional Amount
77104.34000000
0.002088912112
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2040-01-15
0.00000000
USD
551.34000000
USD
1700000.00000000
GBP
77655.68000000
N
N
N
LUKOIL PJSC
549300LCJ1UJXHYBWI24
LUKOIL PJSC
69343P105
30253.00000000
NS
USD
2609576.49000000
0.070698691374
Long
EC
CORP
RU
N
2
N
N
N
Magellan Midstream Partners LP
MZF5TI8NFVZZNUSKDL39
Magellan Midstream Partners LP
559080106
59649.00000000
NS
USD
3253852.95000000
0.088153440365
Long
EC
CORP
US
N
1
N
N
N
Guangdong Investment Ltd
N/A
Guangdong Investment Ltd
N/A
1916000.00000000
NS
3638622.88000000
0.098577633960
Long
EC
CORP
HK
N
2
N
N
N
XPO Logistics Inc
54930096DB9LCLPN7H13
XPO Logistics Inc
N/A
1144158.20000000
PA
USD
1128666.30000000
0.030577846909
Long
LON
CORP
US
N
2
2025-02-24
Floating
3.61330000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
150000.00000000
OU
Notional Amount
USD
6677.31000000
0.000180901797
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-11
3.13000000
USD
0.00000000
USD
150000.00000000
USD
6674.18000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
11740000.00000000
OU
Notional Amount
USD
-1111.63000000
-0.00003011629
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
11740000.00000000
OU
Notional Amount
USD
-1111.63000000
-0.00003000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
11740000.00000000
USD
11740000.00000000
USD
2.00000000
USD
2020-11-30
XXXX
14796.07000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
410000.00000000
OU
Notional Amount
USD
-93096.84000000
-0.00252218119
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
410000.00000000
OU
Notional Amount
USD
-93096.84000000
-0.00252200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
410000.00000000
USD
410000.00000000
USD
1.91000000
USD
2026-11-30
XXXX
-39899.34000000
N
N
N
Gentiva Health Services Inc
549300STP29LPEN7S547
Gentiva Health Services Inc
N/A
5377978.35000000
PA
USD
5324198.57000000
0.144243279689
Long
LON
CORP
US
N
2
2025-07-02
Floating
4.87500000
N
N
N
N
N
N
Cengage Learning Inc
549300BYGM0FWUSVXJ88
Cengage Learning Inc
N/A
5267141.20000000
PA
USD
4849088.20000000
0.131371581333
Long
LON
CORP
US
N
2
2023-06-07
Floating
5.85330000
N
N
N
N
N
N
United States Treasury Bill
254900HROIFWPRGM1V77
United States Treasury Bill
912796XB0
25000000.00000000
PA
USD
24984685.00000000
0.676885517892
Long
DBT
UST
US
N
2
2020-03-17
None
1.57000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
42310000.00000000
OU
Notional Amount
USD
-1185865.20000000
-0.03212748049
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-02-26
710.07000000
USD
0.00000000
USD
42310000.00000000
USD
-1186575.27000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
63242.01000000
0.001713353628
N/A
DFE
N/A
N
2
Bank of America NA
N/A
2825602.69000000
USD
311291480.00000000
JPY
2020-03-18
63242.01000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-2022.49000000
-0.00005479333
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
65060849.00000000
JPY
601754.68000000
USD
2020-03-18
-2022.49000000
N
N
N
Blackstone Mortgage Trust Inc
549300OLDJ20R2Y2UW20
Blackstone Mortgage Trust Inc
N/A
1492509.37000000
PA
USD
1477584.28000000
0.040030738854
Long
LON
CORP
US
N
2
2026-04-23
Floating
3.85350000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
560000.00000000
OU
Notional Amount
USD
-199.76000000
-0.00000541190
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
560000.00000000
OU
Notional Amount
USD
-199.76000000
-0.00000500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
560000.00000000
USD
560000.00000000
USD
2.35000000
USD
2020-07-13
XXXX
5372.24000000
N
N
N
Evergreen Skills Lux Sarl
213800Y2WBMGMF48QG13
Evergreen Skills Lux Sarl
N/A
5015157.58000000
PA
USD
3961974.49000000
0.107337881367
Long
LON
CORP
LU
N
2
2021-04-23
Floating
6.52710000
N
N
N
N
N
N
N/A
N/A
Capped Options
N/A
16380000.00000000
OU
Notional Amount
USD
-1172.72000000
-0.00003177135
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
16380000.00000000
OU
Notional Amount
USD
-1172.72000000
-0.00003200
DIR
N/A
Max (0, 5Y CMS-0.30%)
N/A
N/A
N/A
N/A
N/A
16380000.00000000
USD
16380000.00000000
USD
0.30000000
USD
2020-06-30
XXXX
7017.28000000
N
N
N
iHeartCommunications Inc
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBD8
2601069.00000000
PA
USD
2824630.88000000
0.076524948626
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
8.38000000
N
N
N
N
N
N
Teck Resources Ltd
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
N/A
184200.00000000
NS
1852635.50000000
0.050191632989
Long
EC
CORP
CA
N
1
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
10511112.64000000
PA
USD
12200309.30000000
0.330530990444
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
277.00000000
NC
239100.54000000
0.006477715962
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
Canada 10 Year Bond; June 2020
2020-06-22
29453112.31000000
USD
239100.54000000
N
N
N
Ball Corp
0BGI85ALH27ZJP15DY16
Ball Corp
058498106
91369.00000000
NS
USD
6437859.74000000
0.174414607357
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
530000.00000000
OU
Notional Amount
7426.20000000
0.000201190738
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2030-02-15
38.25000000
USD
0.00000000
USD
530000.00000000
GBP
7387.95000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
6403.44000000
0.000173482107
N/A
DFE
N/A
N
2
BNP Paribas
N/A
606833.00000000
USD
555000.00000000
EUR
2020-03-18
6403.44000000
N
N
N
York Water Co/The
N/A
York Water Co/The
987184108
8648.00000000
NS
USD
365723.92000000
0.009908198762
Long
EC
CORP
US
N
1
N
N
N
Flughafen Zurich AG
529900PFO97GCN5SYB55
Flughafen Zurich AG
N/A
49869.00000000
NS
7563511.67000000
0.204910788902
Long
EC
CORP
CH
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4560000.00000000
OU
Notional Amount
USD
50164.76000000
0.001359064545
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
4560000.00000000
OU
Notional Amount
USD
50164.76000000
0.00135900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4560000.00000000
USD
4560000.00000000
USD
2.10000000
USD
2020-05-14
XXXX
20642.76000000
N
N
N
Team Health Holdings Inc
549300PVTQ4UDTTMQT11
Team Health Holdings Inc
N/A
1383452.47000000
PA
USD
1043358.35000000
0.028266682453
Long
LON
CORP
US
N
2
2024-02-06
Floating
4.35350000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
150000.00000000
OU
Notional Amount
USD
5381.66000000
0.000145800025
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-24
3.14000000
USD
0.00000000
USD
150000.00000000
USD
5378.52000000
N
N
N
United Utilities Group PLC
2138002IEYQAOC88ZJ59
United Utilities Group PLC
N/A
2807855.00000000
NS
34069040.27000000
0.922999027895
Long
EC
CORP
GB
N
2
N
N
N
Atlantic Aviation FBO Inc
549300IFVVFYQ4SH7939
Atlantic Aviation FBO Inc
N/A
742500.00000000
PA
USD
739715.63000000
0.020040388634
Long
LON
CORP
US
N
2
2025-11-28
Floating
5.36000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828H45
23573468.11500000
PA
USD
24321937.04000000
0.658930338704
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.25000000
N
N
N
N
N
N
Energy Recovery Inc
549300ZEQL52Z525WJ22
Energy Recovery Inc
29270J100
24265.00000000
NS
USD
238767.60000000
0.006468695946
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
150000.00000000
OU
Notional Amount
USD
5316.94000000
0.000144046630
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-24
3.14000000
USD
0.00000000
USD
150000.00000000
USD
5313.80000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FS2
7827419.68800000
PA
USD
8920288.80000000
0.241668618361
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2300000.00000000
OU
Notional Amount
USD
-279168.74000000
-0.00756324432
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-03-29
42.71000000
USD
0.00000000
USD
2300000.00000000
USD
-279211.45000000
N
N
N
Pioneer Natural Resources Co
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787107
118582.00000000
NS
USD
14559497.96000000
0.394446170400
Long
EC
CORP
US
N
1
N
N
N
Verscend Holding Corp
N/A
Verscend Holding Corp
N/A
2213882.46000000
PA
USD
2202813.05000000
0.059678649227
Long
LON
CORP
US
N
2
2025-08-08
Floating
6.10340000
N
N
N
N
N
N
CORE 2019-CORE Mortgage Trust
N/A
CORE 2019-CORE Mortgage Trust
21871FAA6
6100000.00000000
PA
USD
6098169.39000000
0.165211710523
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Floating
2.54000000
N
N
N
N
N
N
United Urban Investment Corp
353800GYZWBD7BDCN841
United Urban Investment Corp
N/A
2769.00000000
NS
4432427.85000000
0.120083411928
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3640000.00000000
OU
Notional Amount
USD
-18679.89000000
-0.00050607590
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-03-30
40.91000000
USD
0.00000000
USD
3640000.00000000
USD
-18720.80000000
N
N
N
Mueller Water Products Inc - Class A
549300F7ZU4P1F8V8L60
Mueller Water Products Inc - Class A
624758108
115772.00000000
NS
USD
1267703.40000000
0.034344642425
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1040000.00000000
OU
Notional Amount
USD
-59488.01000000
-0.00161165019
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1040000.00000000
OU
Notional Amount
USD
-59488.01000000
-0.00161200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1040000.00000000
USD
1040000.00000000
USD
1.63700000
USD
2020-11-03
XXXX
-34424.01000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5725000.00000000
OU
Notional Amount
USD
-4132.64000000
-0.00011196155
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
5725000.00000000
OU
Notional Amount
USD
-4132.64000000
-0.00011200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5725000.00000000
USD
5725000.00000000
USD
1.50750000
USD
2020-12-15
XXXX
23204.24000000
N
N
N
Entra ASA
549300APU14LQKTYCH34
Entra ASA
N/A
325789.00000000
NS
5160455.13000000
0.139807139583
Long
EC
CORP
NO
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1145000.00000000
OU
Notional Amount
75119.83000000
0.002035147732
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2029-01-15
0.00000000
USD
2678.81000000
USD
1145000.00000000
GBP
77798.64000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1955500.00000000
OU
Notional Amount
USD
13220.05000000
0.000358157823
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1955500.00000000
OU
Notional Amount
USD
13220.05000000
0.00035800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1955500.00000000
USD
1955500.00000000
USD
2.97750000
USD
2024-03-08
XXXX
-76684.06000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1460000.00000000
OU
Notional Amount
USD
4066.63000000
0.000110173210
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-02
24.60000000
USD
0.00000000
USD
1460000.00000000
USD
4042.03000000
N
N
N
AvalonBay Communities Inc
K9G90K85RBWD2LAGQX17
AvalonBay Communities Inc
053484101
62266.00000000
NS
USD
12489936.94000000
0.338377587473
Long
EC
CORP
US
N
1
N
N
N
Vyaire Medical Inc
549300ZVN6ARCNECB069
Vyaire Medical Inc
N/A
1435904.46000000
PA
USD
1209749.51000000
0.032774554636
Long
LON
CORP
US
N
2
2025-04-11
Floating
6.65940000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
7.00000000
NC
USD
64847.33000000
0.001756844985
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
US Ultra Bond; June 2020
2020-06-22
1452500.00000000
USD
64847.33000000
N
N
N
Columbus McKinnon Corp/NY
549300W3HQB0HO1F3G69
Columbus McKinnon Corp/NY
N/A
997190.20000000
PA
USD
997190.20000000
0.027015894135
Long
LON
CORP
US
N
2
2024-01-31
Floating
4.44440000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
23018335.04800000
PA
USD
23351675.53000000
0.632643997104
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.13000000
N
N
N
N
N
N
Coty Inc
549300BO9IWPF3S48F93
Coty Inc
N/A
3084129.65000000
PA
USD
3014736.73000000
0.081675299600
Long
LON
CORP
US
N
2
2023-04-05
Floating
3.17090000
N
N
N
N
N
N
Sprint Communications Inc
549300JKU50UT08ZWD77
Sprint Communications Inc
N/A
4314704.43000000
PA
USD
4271557.39000000
0.115725106645
Long
LON
CORP
US
N
2
2024-02-02
Floating
4.12500000
N
N
N
N
N
N
Fabege AB
549300JNPI46XNH0PM97
Fabege AB
N/A
399575.00000000
NS
6562859.13000000
0.177801092992
Long
EC
CORP
SE
N
2
N
N
N
Gray Television Inc
529900TM5726KDN7UU35
Gray Television Inc
N/A
2053147.91000000
PA
USD
2033252.91000000
0.055084922983
Long
LON
CORP
US
N
2
2024-02-02
Floating
3.91180000
N
N
N
N
N
N
Iridium Satellite LLC
254900615BJ7139TFM33
Iridium Satellite LLC
N/A
2606666.67000000
PA
USD
2603408.34000000
0.070531583748
Long
LON
CORP
US
N
2
2026-10-16
Floating
5.35330000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2200000.00000000
OU
Notional Amount
-943.68000000
-0.00002556619
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2200000.00000000
OU
Notional Amount
-943.68000000
-0.00002600
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
2200000.00000000
EUR
2200000.00000000
EUR
0.00000100
EUR
2021-06-21
XXXX
4154.50000000
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671D857
1490360.00000000
NS
USD
14843985.60000000
0.402153514460
Long
EC
CORP
US
N
1
N
N
N
CLP Holdings Ltd
25490002BUTSMP94GO68
CLP Holdings Ltd
N/A
879000.00000000
NS
9287969.23000000
0.251629822926
Long
EC
CORP
HK
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
700000.00000000
OU
Notional Amount
-2726.86000000
-0.00007387613
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-08-17
49.14000000
USD
0.00000000
USD
700000.00000000
EUR
-2776.00000000
N
N
N
Froneri US Inc
N/A
Froneri US Inc
N/A
2500000.00000000
PA
USD
2456250.00000000
0.066544767457
Long
LON
CORP
US
N
2
2027-01-29
Floating
3.85340000
N
N
N
N
N
N
Vale SA
254900SMTWBX7RU2SR20
Vale SA
91912E105
245308.00000000
NS
USD
2408924.56000000
0.065262625818
Long
EC
CORP
BR
N
1
N
N
N
Syniverse Holdings Inc
549300CYZBHMZC8VLL59
Syniverse Holdings Inc
N/A
2808334.34000000
PA
USD
2566115.50000000
0.069521245482
Long
LON
CORP
US
N
2
2023-02-09
Floating
6.87250000
N
N
N
N
N
N
Transocean Ltd
529900QO4W5DQGBGEF32
Transocean Ltd
H8817H100
54446.00000000
NS
USD
182394.10000000
0.004941424109
Long
EC
CORP
US
N
1
N
N
N
Avaya Holdings Corp
549300NZS2OZN6Q63A60
Avaya Holdings Corp
05351X101
105046.00000000
NS
USD
1361396.16000000
0.036882968299
Long
EC
CORP
US
N
1
N
N
N
Ceridian HCM Holding Inc
549300T64GVCHFJ8L449
Ceridian HCM Holding Inc
N/A
1529291.86000000
PA
USD
1506352.48000000
0.040810127426
Long
LON
CORP
US
N
2
2025-04-04
Floating
4.10330000
N
N
N
N
N
N
Valero Energy Corp
549300XTO5VR8SKV1V74
Valero Energy Corp
91913Y100
136159.00000000
NS
USD
9020533.75000000
0.244384456279
Long
EC
CORP
US
N
1
N
N
N
Heartland Dental LLC
5493008FRC0GRKBN1075
Heartland Dental LLC
N/A
10321.80000000
PA
USD
10121.87000000
0.000274221877
Long
LON
CORP
US
N
2
2025-04-30
Floating
5.40600000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828B25
18095622.83100000
PA
USD
18793054.55000000
0.509141758716
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.63000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
12356250.00000000
OU
Notional Amount
USD
-57534.71000000
-0.00155873135
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
12356250.00000000
OU
Notional Amount
USD
-57534.71000000
-0.00155900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
12356250.00000000
USD
12356250.00000000
USD
1.00000000
USD
2020-06-02
XXXX
-40610.08000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
14647.41000000
0.000396827884
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-30
6.24000000
USD
0.00000000
USD
300000.00000000
USD
14641.17000000
N
N
N
McAfee LLC
549300713UKUTLV9T378
McAfee LLC
N/A
8357319.91000000
PA
USD
8260709.29000000
0.223799278875
Long
LON
CORP
US
N
2
2024-09-30
Floating
5.35340000
N
N
N
N
N
N
Cousins Properties Inc
5493007XPYD5EJABN062
Cousins Properties Inc
222795502
106896.00000000
NS
USD
3815118.24000000
0.103359249304
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
16035.45000000
0.000434432688
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-28
6.24000000
USD
0.00000000
USD
300000.00000000
USD
16029.21000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-12911.87000000
-0.00034980860
N/A
DFE
N/A
N
2
Bank of America NA
N/A
510000.00000000
EUR
550602.69000000
USD
2020-03-18
-12911.87000000
N
N
N
Valmet Oyj
213800D9O7FUQDH83V62
Valmet Oyj
N/A
66350.00000000
NS
1584194.29000000
0.042919019088
Long
EC
CORP
FI
N
2
N
N
N
United States Treasury Note/Bond
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828XY1
15000000.00000000
PA
USD
15057421.80000000
0.407935931680
Long
DBT
UST
US
N
2
2020-06-30
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
605000.00000000
OU
Notional Amount
-12716.27000000
-0.00034450940
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Harmonised Indices of Consumer Prices Excluding Food and Energy
Y
2030-02-15
0.00000000
USD
76.25000000
USD
605000.00000000
EUR
-12640.02000000
N
N
N
RP Crown Parent LLC
549300B1M4J69ECRY452
RP Crown Parent LLC
N/A
1922697.08000000
PA
USD
1903470.11000000
0.051568845122
Long
LON
CORP
US
N
2
2023-10-12
Floating
4.35340000
N
N
N
N
N
N
Minerals Technologies Inc
549300D3I1QU67GP6403
Minerals Technologies Inc
N/A
415494.93000000
PA
USD
413417.46000000
0.011200312972
Long
LON
CORP
US
N
2
2021-05-09
Fixed
4.75
N
N
N
N
N
N
Nucor Corp
549300GGJCRSI2TIEJ46
Nucor Corp
670346105
51188.00000000
NS
USD
2116623.80000000
0.057343608576
Long
EC
CORP
US
N
1
N
N
N
Blackboard Inc
549300ONVS6PJZ5LRX23
Blackboard Inc
N/A
2992500.00000000
PA
USD
2842875.00000000
0.077019218640
Long
LON
CORP
US
N
2
2024-06-30
Floating
7.73740000
N
N
N
N
N
N
Quorum Health Corp
549300PO3E4YREFT1I57
Quorum Health Corp
N/A
367315.55000000
PA
USD
360200.65000000
0.009758562236
Long
LON
CORP
US
N
2
2022-04-29
Floating
8.52770000
N
N
N
N
N
N
Select Medical Corp
N/A
Select Medical Corp
N/A
3289974.54000000
PA
USD
3257074.79000000
0.088240726510
Long
LON
CORP
US
N
2
2025-03-06
Floating
4.57990000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5727500.00000000
OU
Notional Amount
USD
-81936.13000000
-0.00221981505
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5727500.00000000
OU
Notional Amount
USD
-81936.13000000
-0.00222000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5727500.00000000
USD
5727500.00000000
USD
1.53100000
USD
2020-12-14
XXXX
-54587.32000000
N
N
N
SPDR S&P Global Natural Resources ETF
549300TY1RVQ2C1UO359
SPDR S&P Global Natural Resources ETF
78463X541
96017.00000000
NS
USD
3668809.57000000
0.099395452287
Long
EC
RF
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-3438.73000000
-0.00009316213
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
280000.00000000
USD
371182.56000000
CAD
2020-03-18
-3438.73000000
N
N
N
N/A
N/A
Futures
N/A
59.00000000
NC
USD
25667.36000000
0.000695380560
N/A
DCO
N/A
N
1
ICF
N/A
Long
N/A
LME Lead; May 2020
2020-05-19
2728012.50000000
USD
25667.36000000
N
N
N
East Japan Railway Co
353800SENYJ2DSM6PS44
East Japan Railway Co
N/A
88100.00000000
NS
6729332.54000000
0.182311193493
Long
EC
CORP
JP
N
2
N
N
N
Aroundtown SA
529900H4DWG3KWMBMQ39
Aroundtown SA
N/A
626224.00000000
NS
5440580.93000000
0.147396312598
Long
EC
CORP
LU
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
660000.00000000
OU
Notional Amount
USD
30461.06000000
0.000825251564
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-04-29
13.74000000
USD
0.00000000
USD
660000.00000000
USD
30447.32000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
600000.00000000
OU
Notional Amount
USD
8242.77000000
0.000223313267
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-03-02
12.59000000
USD
0.00000000
USD
600000.00000000
USD
8230.18000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
470000.00000000
OU
Notional Amount
USD
62551.63000000
0.001694649841
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2050-05-07
13.19000000
USD
0.00000000
USD
470000.00000000
USD
62538.44000000
N
N
N
BlackRock Liquidity FedFund
549300T8K043VZEOVK74
BlackRock Liquidity FedFund
09248U700
3856264.02000000
NS
USD
3856264.02000000
0.104473971487
Long
STIV
RF
US
N
1
N
N
Revlon Consumer Products Corp
2MKZBE7NMX7EJWQLHS95
Revlon Consumer Products Corp
N/A
3689233.66000000
PA
USD
2471786.55000000
0.066965683938
Long
LON
CORP
US
N
2
2023-07-21
Floating
5.18110000
N
N
N
N
N
N
N/A
N/A
Total Return Swaps
N/A
538621.42400000
NC
USD
-6007328.37000000
-0.16275064403
N/A
DCO
N/A
N
2
M3 Capital Partners
N/A
Bloomberg Commodity Index Total Return
N/A
Bloomberg Commodity Index Total Return
Y
Receive positive return on reference instrument
2020-03-25
0.00000000
USD
0.00000000
USD
87483160.35000000
USD
-6007328.37000000
N
N
N
N/A
N/A
Futures
N/A
394.00000000
NC
USD
-4136440.59000000
-0.11206451996
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
LME Zinc; March 2020
2020-03-17
19828050.00000000
USD
-4136440.59000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828QV5
5115783.90400000
PA
USD
5190652.99000000
0.140625260528
Long
DBT
UST
US
N
2
2021-07-15
Fixed
0.63000000
N
N
N
N
N
N
RPI Intermediate Finance Trust
5493009EMOUZYHVGX031
RPI Intermediate Finance Trust
N/A
734218.07000000
PA
USD
729173.99000000
0.019754794341
Long
LON
CORP
US
N
2
2027-02-05
Floating
0.00000000
N
N
N
N
N
N
Rackspace Hosting Inc
549300QTYCKLMFSE8I97
Rackspace Hosting Inc
N/A
5738231.82000000
PA
USD
5467846.34000000
0.148134987557
Long
LON
CORP
US
N
2
2023-11-03
Floating
4.76320000
N
N
N
N
N
N
Sinclair Television Group Inc
549300CQGEN0CH65UD62
Sinclair Television Group Inc
N/A
2474586.15000000
PA
USD
2425094.43000000
0.065700700216
Long
LON
CORP
US
N
2
2024-01-03
Floating
3.86000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-6543.70000000
-0.00017728203
N/A
DFE
N/A
N
2
BNP Paribas
N/A
840000.00000000
USD
1118610.86000000
CAD
2020-03-18
-6543.70000000
N
N
N
Schlumberger Ltd
213800ZUA17OK3QLGM62
Schlumberger Ltd
806857108
331825.00000000
NS
USD
8989139.25000000
0.243533915942
Long
EC
CORP
US
N
1
N
N
N
Toll Brothers Inc
529900JB6IS9MSZGVR44
Toll Brothers Inc
889478103
39081.00000000
NS
USD
1447169.43000000
0.039206739212
Long
EC
CORP
US
N
1
N
N
N
Carrols Restaurant Group Inc
529900HZEMNWQSAKFJ98
Carrols Restaurant Group Inc
N/A
1990000.00000000
PA
USD
1890500.00000000
0.051217458678
Long
LON
CORP
US
N
2
2026-04-03
Floating
4.87010000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5660000.00000000
OU
Notional Amount
USD
-0.04000000
-0.00000000108
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
5660000.00000000
OU
Notional Amount
USD
-0.04000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5660000.00000000
USD
5660000.00000000
USD
3.35000000
USD
2020-06-01
XXXX
20588.21000000
N
N
N
Federal Home Loan Banks
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AHSR5
10200000.00000000
PA
USD
10320814.31000000
0.279611679687
Long
DBT
USGA
US
N
2
2021-12-20
Fixed
1.63000000
N
N
N
N
N
N
MKS Instruments Inc
549300KEQATBHAGVF505
MKS Instruments Inc
N/A
665568.96000000
PA
USD
656137.85000000
0.017776097973
Long
LON
CORP
US
N
2
2026-02-26
Floating
3.35350000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
55240000.00000000
OU
Notional Amount
USD
1633679.65000000
0.044259677316
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-02-07
0.00000000
USD
27378.75000000
USD
55240000.00000000
USD
1661058.40000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3800000.00000000
OU
Notional Amount
USD
-129359.99000000
-0.00350462308
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2029-11-15
978.80000000
USD
0.00000000
USD
3800000.00000000
USD
-130338.79000000
N
N
N
Pattern Energy Group Inc
549300YTEUCT3H1Y2T51
Pattern Energy Group Inc
70338P100
183940.00000000
NS
USD
4975577.00000000
0.134798418089
Long
EC
CORP
US
N
1
N
N
N
Greif Inc - Class A
54930070FVGKR0Z1FI24
Greif Inc - Class A
397624107
36855.00000000
NS
USD
1302455.70000000
0.035286152338
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1020000.00000000
OU
Notional Amount
-10690.95000000
-0.00028963940
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1020000.00000000
OU
Notional Amount
-10690.95000000
-0.00029000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
1020000.00000000
EUR
1020000.00000000
EUR
0.03500000
EUR
2022-09-14
XXXX
5182.82000000
N
N
N
Link REIT
529900XUE70U36QX5M62
Link REIT
N/A
918070.00000000
NS
8570184.04000000
0.232183574151
Long
EC
CORP
HK
N
2
N
N
N
Sunstone Hotel Investors Inc
529900ZQ2V52V96ATF67
Sunstone Hotel Investors Inc
867892101
183280.00000000
NS
USD
2006916.00000000
0.054371402962
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
488.00000000
NC
USD
-464366.96000000
-0.01258063770
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
Soybean Meal; May 2020
2020-05-15
14913280.00000000
USD
-464366.96000000
N
N
N
BHP Group Ltd
WZE1WSENV6JSZFK0JC28
BHP Group Ltd
N/A
111561.00000000
NS
2424821.55000000
0.065693307346
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1950000.00000000
OU
Notional Amount
USD
-14017.70000000
-0.00037976777
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1950000.00000000
OU
Notional Amount
USD
-14017.70000000
-0.00038000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1950000.00000000
USD
1950000.00000000
USD
2.10000000
USD
2022-01-07
XXXX
30710.43000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
40523.31000000
0.001097858214
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
4946000.00000000
NZD
3131708.28000000
USD
2020-04-03
40523.31000000
N
N
N
Core & Main LP
549300ZSLF8Q660SCD17
Core & Main LP
N/A
1465637.56000000
PA
USD
1439988.90000000
0.039012204169
Long
LON
CORP
US
N
2
2024-08-01
Floating
4.50650000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
130000.00000000
OU
Notional Amount
USD
4015.91000000
0.000108799103
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
130000.00000000
OU
Notional Amount
USD
4015.91000000
0.00010900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
130000.00000000
USD
130000.00000000
USD
2.86000000
USD
2039-02-23
XXXX
-2415.84000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2500000.00000000
OU
Notional Amount
-1438.28000000
-0.00003896590
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2500000.00000000
OU
Notional Amount
-1438.28000000
-0.00003900
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
2500000.00000000
EUR
2500000.00000000
EUR
0.05000000
EUR
2021-07-06
XXXX
3835.57000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
390000.00000000
OU
Notional Amount
USD
8080.86000000
0.000218926798
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-26
8.18000000
USD
0.00000000
USD
390000.00000000
USD
8072.68000000
N
N
N
JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD
46591JAA4
5000000.00000000
PA
USD
5001548.00000000
0.135502024870
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
2.66000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1590000.00000000
OU
Notional Amount
USD
-254413.91000000
-0.00689258604
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1590000.00000000
OU
Notional Amount
USD
-254413.91000000
-0.00689300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1590000.00000000
USD
1590000.00000000
USD
3.05000000
USD
2029-03-13
XXXX
-170064.41000000
N
N
N
Callaway Golf Co
5493005UB0KFRKBPCU72
Callaway Golf Co
N/A
1395000.00000000
PA
USD
1388025.00000000
0.037604397292
Long
LON
CORP
US
N
2
2025-12-17
Floating
6.15250000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2570000.00000000
OU
Notional Amount
-1122.35000000
-0.00003040672
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2570000.00000000
OU
Notional Amount
-1122.35000000
-0.00003000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
2570000.00000000
EUR
2570000.00000000
EUR
0.00001000
EUR
2021-06-22
XXXX
5140.24000000
N
N
N
Air Medical Group Holdings Inc
N/A
Air Medical Group Holdings Inc
N/A
3522174.19000000
PA
USD
3319649.17000000
0.089935992695
Long
LON
CORP
US
N
2
2022-04-28
Floating
4.93150000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585A102
229568.00000000
NS
USD
10886114.56000000
0.294926803831
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
130000.00000000
OU
Notional Amount
USD
19235.29000000
0.000521122809
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
130000.00000000
OU
Notional Amount
USD
19235.29000000
0.00052100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
130000.00000000
USD
130000.00000000
USD
2.86000000
USD
2039-02-23
XXXX
12803.54000000
N
N
N
Lions Gate Capital Holdings LLC
549300MWJHNLR35C0837
Lions Gate Capital Holdings LLC
N/A
476539.60000000
PA
USD
462243.41000000
0.012523106453
Long
LON
CORP
US
N
2
2025-03-24
Floating
3.85350000
N
N
N
N
N
N
N/A
N/A
Total Return Swaps
N/A
146250.17000000
NC
USD
-1631242.14000000
-0.04419364025
N/A
DCO
N/A
N
2
Societe Generale
N/A
Bloomberg Commodity Index Total Return
N/A
Bloomberg Commodity Index Total Return
Y
Receive positive return on reference instrument
2020-03-25
0.00000000
USD
0.00000000
USD
23754025.74000000
USD
-1631242.14000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
4461.54000000
0.000120872118
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
550000.00000000
EUR
612173.32000000
USD
2020-03-18
4461.54000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3095000.00000000
OU
Notional Amount
167906.92000000
0.004548937178
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2028-10-15
0.00000000
USD
8053.28000000
USD
3095000.00000000
GBP
175960.20000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
2521.86000000
0.000068322274
N/A
DFE
N/A
N
2
Bank of America NA
N/A
9145000.00000000
EUR
10098722.91000000
USD
2020-03-04
2521.86000000
N
N
N
ON Semiconductor Corp
ZV20P4CNJVT8V1ZGJ064
ON Semiconductor Corp
N/A
262009.77000000
PA
USD
258572.20000000
0.007005242511
Long
LON
CORP
US
N
2
2026-09-16
Floating
3.60400000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
147.00000000
NC
USD
-279398.69000000
-0.00756947413
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
US 10 Year Note; June 2020
2020-06-22
19808250.00000000
USD
-279398.69000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3280000.00000000
OU
Notional Amount
USD
1210.10000000
0.000032784050
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3280000.00000000
OU
Notional Amount
USD
1210.10000000
0.00003300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3280000.00000000
USD
3280000.00000000
USD
2.35000000
USD
2020-07-14
XXXX
-11106.51000000
N
N
N
Louisiana-Pacific Corp
549300C7E2UAO5BVRR75
Louisiana-Pacific Corp
546347105
268799.00000000
NS
USD
7647331.55000000
0.207181638540
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
125473.68000000
0.003399335107
N/A
DFE
N/A
N
2
HSBC Securities Inc
N/A
4897000.00000000
NZD
3186335.89000000
USD
2020-03-04
125473.68000000
N
N
N
Glencore PLC
2138002658CPO9NBH955
Glencore PLC
N/A
914412.00000000
NS
2308114.75000000
0.062531484703
Long
EC
CORP
CH
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3300000.00000000
OU
Notional Amount
USD
-42407.23000000
-0.00114889740
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3300000.00000000
OU
Notional Amount
USD
-42407.23000000
-0.00114900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3300000.00000000
USD
3300000.00000000
USD
1.24600000
USD
2022-03-01
XXXX
16250.27000000
N
N
N
ArcelorMittal SA
2EULGUTUI56JI9SAL165
ArcelorMittal SA
N/A
717474.00000000
NS
10216758.00000000
0.276792584337
Long
EC
CORP
LU
N
2
N
N
N
Algonquin Power & Utilities Corp
549300K5VIUTJXQL7X75
Algonquin Power & Utilities Corp
N/A
330200.00000000
NS
5018498.79000000
0.135961255965
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3140000.00000000
OU
Notional Amount
-2069.60000000
-0.00005606963
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3140000.00000000
OU
Notional Amount
-2069.60000000
-0.00005600
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
3140000.00000000
EUR
3140000.00000000
EUR
0.00000100
EUR
2020-07-28
XXXX
6766.35000000
N
N
N
N/A
N/A
Capped Options
N/A
16610000.00000000
OU
Notional Amount
USD
-761.57000000
-0.00002063246
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
16610000.00000000
OU
Notional Amount
USD
-761.57000000
-0.00002100
DIR
N/A
Max (0, 5Y CMS-0.25%)
N/A
N/A
N/A
N/A
N/A
16610000.00000000
USD
16610000.00000000
USD
0.25000000
USD
2020-07-09
XXXX
7311.69000000
N
N
N
Pennon Group PLC
213800V1CCTS41GWH423
Pennon Group PLC
N/A
791152.00000000
NS
11065451.68000000
0.299785408186
Long
EC
CORP
GB
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae
3135G0V67
22500000.00000000
PA
USD
22505154.53000000
0.609710035539
Long
DBT
USGA
US
N
2
2020-10-30
Floating
1.65000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4525000.00000000
OU
Notional Amount
101362.04000000
0.002746102139
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Harmonised Indices of Consumer Prices Excluding Food and Energy
Y
2030-01-15
994.41000000
USD
0.00000000
USD
4525000.00000000
EUR
100367.63000000
N
N
N
N/A
N/A
Options
N/A
10.00000000
NC
USD
156.25000000
0.000004233127
N/A
DIR
N/A
N
1
CBT
N/A
Put
Purchased
CBT
N/A
N/A
N/A
FUTURE
N/A
10.00000000
NC
USD
156.25000000
0.00000400
DIR
Short
N/A
US 10 Year Note Future; June 2020
N/A
10000.00000000
USD
10.00000000
128.50000000
USD
2020-03-30
XXXX
-4390.20000000
N
N
N
Acrisure LLC
549300R0Z1Q47XRTGO22
Acrisure LLC
N/A
2561137.66000000
PA
USD
2518443.50000000
0.068229714834
Long
LON
CORP
US
N
2
2027-02-12
Floating
5.20730000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5727500.00000000
OU
Notional Amount
USD
-3750.46000000
-0.00010160752
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5727500.00000000
OU
Notional Amount
USD
-3750.46000000
-0.00010200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5727500.00000000
USD
5727500.00000000
USD
1.53100000
USD
2020-12-14
XXXX
23598.35000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1460000.00000000
OU
Notional Amount
USD
6091.92000000
0.000165042401
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-02
24.57000000
USD
0.00000000
USD
1460000.00000000
USD
6067.35000000
N
N
N
Covanta Holding Corp
40XIFLS8XDQGGHGPGC04
Covanta Holding Corp
22282E102
299797.00000000
NS
USD
4005287.92000000
0.108511329562
Long
EC
CORP
US
N
1
N
N
N
Diebold Nixdorf Inc
549300XZK6EWDBAZSY16
Diebold Nixdorf Inc
N/A
2610883.32000000
PA
USD
2724012.89000000
0.073799004301
Long
LON
CORP
US
N
2
2022-08-31
Floating
10.87490000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
39560000.00000000
OU
Notional Amount
491.00000000
0.000013302180
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
39560000.00000000
OU
Notional Amount
491.00000000
0.00001300
DIR
N/A
6 Month JPY LIBOR
N/A
N/A
N/A
N/A
N/A
39560000.00000000
JPY
39560000.00000000
JPY
0.78000000
JPY
2021-04-19
XXXX
-11892.87000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3930000.00000000
OU
Notional Amount
USD
-75233.73000000
-0.00203823351
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2024-02-12
111.97000000
USD
0.00000000
USD
3930000.00000000
USD
-75345.70000000
N
N
N
Federal Farm Credit Banks Funding Corp
N/A
Federal Farm Credit Banks Funding Corp
3133EJ2P3
2100000.00000000
PA
USD
2102132.32000000
0.056951005149
Long
DBT
USGA
US
N
2
2021-12-13
Floating
1.74000000
N
N
N
N
N
N
Kilroy Realty Corp
549300CXXI18B214UN80
Kilroy Realty Corp
49427F108
43591.00000000
NS
USD
3168629.79000000
0.085844573042
Long
EC
CORP
US
N
1
N
N
N
Invitation Homes Inc
N/A
Invitation Homes Inc
46187W107
504718.00000000
NS
USD
14480359.42000000
0.392302147706
Long
EC
CORP
US
N
1
N
N
N
Daiwa Office Investment Corp
N/A
Daiwa Office Investment Corp
N/A
816.00000000
NS
6290874.45000000
0.170432479340
Long
EC
CORP
JP
N
2
N
N
N
Infor US Inc
CIOT8TLNSHRE7MIBDR09
Infor US Inc
N/A
5139334.22000000
PA
USD
5099504.38000000
0.138155860810
Long
LON
CORP
US
N
2
2022-02-01
Floating
4.69460000
N
N
N
N
N
N
Millennium Health LLC
N/A
Millennium Health LLC
N/A
22091.00000000
NS
USD
1215.01000000
0.000032917071
Long
EC
CORP
US
Y
1
N
N
N
ClubCorp Holdings Inc
549300XWSO7KBICXNW37
ClubCorp Holdings Inc
N/A
1134563.78000000
PA
USD
1051831.39000000
0.028496234199
Long
LON
CORP
US
N
2
2024-08-16
Floating
4.69470000
N
N
N
N
N
N
Tetra Tech Inc
549300UJ1LP7JGJC5P32
Tetra Tech Inc
88162G103
36418.00000000
NS
USD
2945123.66000000
0.079789341104
Long
EC
CORP
US
N
1
N
N
N
Academy Ltd
549300BN53IR80C35Z14
Academy Ltd
N/A
2197712.60000000
PA
USD
1741687.24000000
0.047185820812
Long
LON
CORP
US
N
2
2022-07-01
Floating
5.65490000
N
N
N
N
N
N
Mosaic Co/The
2YD5STGSJNMUB7H76907
Mosaic Co/The
61945C103
561154.00000000
NS
USD
9556452.62000000
0.258903579569
Long
EC
CORP
US
N
1
N
N
N
DTE Energy Co
549300IX8SD6XXD71I78
DTE Energy Co
233331107
42437.00000000
NS
USD
4738939.79000000
0.128387438705
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1300000.00000000
OU
Notional Amount
USD
-15807.09000000
-0.00042824595
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1300000.00000000
OU
Notional Amount
USD
-15807.09000000
-0.00042800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1300000.00000000
USD
1300000.00000000
USD
1.85000000
USD
2022-02-23
XXXX
6552.91000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1040000.00000000
OU
Notional Amount
USD
-6385.49000000
-0.00017299580
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1040000.00000000
OU
Notional Amount
USD
-6385.49000000
-0.00017300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1040000.00000000
USD
1040000.00000000
USD
1.63700000
USD
2020-11-03
XXXX
18678.51000000
N
N
N
South32 Ltd
213800LAZNPXSBKVHR17
South32 Ltd
N/A
1579618.00000000
NS
2244856.53000000
0.060817691914
Long
EC
CORP
AU
N
2
N
N
N
Catalent Pharma Solutions Inc
549300HALRZ339MSTH85
Catalent Pharma Solutions Inc
N/A
992500.00000000
PA
USD
977612.50000000
0.026485494748
Long
LON
CORP
US
N
2
2026-05-08
Floating
3.85350000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
8550.90000000
0.000231661130
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-25
6.29000000
USD
0.00000000
USD
300000.00000000
USD
8544.61000000
N
N
N
Pembina Pipeline Corp
5493002W3L9YICM6FU21
Pembina Pipeline Corp
N/A
115282.00000000
NS
4152642.73000000
0.112503468621
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
5885.18000000
0.000159441398
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-26
6.29000000
USD
0.00000000
USD
300000.00000000
USD
5878.89000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8050000.00000000
OU
Notional Amount
USD
-139078.29000000
-0.00376791143
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2024-08-31
0.00000000
USD
1498.77000000
USD
8050000.00000000
USD
-137579.52000000
N
N
N
Enbridge Inc
98TPTUM4IVMFCZBCUR27
Enbridge Inc
N/A
772575.00000000
NS
28756078.97000000
0.779060188518
Long
EC
CORP
CA
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
6090000.00000000
OU
Notional Amount
USD
78068.26000000
0.002115026649
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-07-02
65.30000000
USD
0.00000000
USD
6090000.00000000
USD
78002.96000000
N
N
N
GS Mortgage Securities Corp Trust 2019-SMP
N/A
GS Mortgage Securities Corp Trust 2019-SMP
36259NAA9
4000000.00000000
PA
USD
3995522.00000000
0.108246751088
Long
ABS-MBS
CORP
US
N
2
2032-08-15
Floating
2.81000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2180000.00000000
OU
Notional Amount
USD
-10219.84000000
-0.00027687608
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
2180000.00000000
OU
Notional Amount
USD
-10219.84000000
-0.00027700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2180000.00000000
USD
2180000.00000000
USD
1.60000000
USD
2020-08-18
XXXX
30328.16000000
N
N
N
MMC Norilsk Nickel PJSC
253400JPTEEW143W3E47
MMC Norilsk Nickel PJSC
55315J102
109898.00000000
NS
USD
3332107.36000000
0.090273510194
Long
EC
CORP
RU
N
1
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-28797.96000000
-0.00078019483
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
2300000.00000000
USD
3048259.73000000
CAD
2020-03-18
-28797.96000000
N
N
N
Charter Communications Operating LLC
549300TPZNMN50BJ3745
Charter Communications Operating LLC
N/A
5907998.70000000
PA
USD
5819378.72000000
0.157658708873
Long
LON
CORP
US
N
2
2027-02-01
Floating
3.36000000
N
N
N
N
N
N
Bausch Health Americas Inc
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
N/A
6010675.02000000
PA
USD
5968600.29000000
0.161701422226
Long
LON
CORP
US
N
2
2025-05-19
Floating
4.65850000
N
N
N
N
N
N
Mitsubishi Estate Co Ltd
353800KOFMRGOXSJ5Z65
Mitsubishi Estate Co Ltd
N/A
608000.00000000
NS
10376445.74000000
0.281118847350
Long
EC
CORP
JP
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
13823000.00000000
OU
Notional Amount
USD
-81378.54000000
-0.00220470881
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2021-05-08
272.90000000
USD
0.00000000
USD
13823000.00000000
USD
-81651.44000000
N
N
N
Ancestry.com Operations Inc
N/A
Ancestry.com Operations Inc
N/A
1829872.98000000
PA
USD
1683483.14000000
0.045608954328
Long
LON
CORP
US
N
2
2023-10-19
Floating
5.36000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
70.00000000
NC
USD
-279593.41000000
-0.00757474949
N/A
DCO
N/A
N
1
CME
N/A
Long
N/A
Live Cattle; June 2020
2020-07-01
2833600.00000000
USD
-279593.41000000
N
N
N
Presidio Holdings Inc
N/A
Presidio Holdings Inc
N/A
1100000.00000000
PA
USD
1083500.00000000
0.029354200728
Long
LON
CORP
US
N
2
2027-01-15
Floating
5.27990000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1050000.00000000
OU
Notional Amount
USD
-6676.28000000
-0.00018087389
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1050000.00000000
OU
Notional Amount
USD
-6676.28000000
-0.00018100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1050000.00000000
USD
1050000.00000000
USD
1.62400000
USD
2020-11-03
XXXX
18943.72000000
N
N
N
MCUBS MidCity Investment Corp
353800WZPKHG2SQS1P32
MCUBS MidCity Investment Corp
N/A
5381.00000000
NS
5600314.64000000
0.151723821031
Long
EC
CORP
JP
N
2
N
N
N
Boxer Parent Co Inc
5493006T045HLTF7YX04
Boxer Parent Co Inc
N/A
2380943.37000000
PA
USD
2283158.03000000
0.061855356814
Long
LON
CORP
US
N
2
2025-10-02
Floating
5.85340000
N
N
N
N
N
N
Canadian Natural Resources Ltd
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd
N/A
103300.00000000
NS
2658979.33000000
0.072037113970
Long
EC
CORP
CA
N
1
N
N
N
SS&C Technologies Inc
549300KY09TR3J12JU49
SS&C Technologies Inc
N/A
2143263.27000000
PA
USD
2112893.23000000
0.057242539909
Long
LON
CORP
US
N
2
2025-04-16
Floating
4.34980000
N
N
N
N
N
N
Western Forest Products Inc
54930025VS2JPY0XAU56
Western Forest Products Inc
N/A
2465754.00000000
NS
1965622.48000000
0.053252678204
Long
EC
CORP
CA
N
1
N
N
N/A
N/A
Interest Rate Swaps
N/A
1219240.00000000
OU
Notional Amount
-96059.17000000
-0.00260243669
N/A
DIR
N/A
N
2
LCH
N/A
N/A
New Zealand Bank Bill 3 Month FRA
Y
2029-03-20
5091.90000000
USD
0.00000000
USD
1219240.00000000
NZD
-101151.07000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
22860000.00000000
OU
Notional Amount
USD
-75542.81000000
-0.00204660711
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
22860000.00000000
OU
Notional Amount
USD
-75542.81000000
-0.00204700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
22860000.00000000
USD
22860000.00000000
USD
0.75000000
USD
2020-08-11
XXXX
-32102.68000000
N
N
N
Altice Financing SA
549300DIYGW8HVDF7Q17
Altice Financing SA
N/A
2324127.42000000
PA
USD
2241342.00000000
0.060722476206
Long
LON
CORP
LU
N
2
2025-07-15
Floating
4.41180000
N
N
N
N
N
N
William Morris Endeavor Entertainment LLC
5493008R7J9HEQ30DZ33
William Morris Endeavor Entertainment LLC
N/A
1947833.87000000
PA
USD
1882094.48000000
0.050989736185
Long
LON
CORP
US
N
2
2025-05-16
Floating
4.40000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
870000.00000000
OU
Notional Amount
USD
-47721.04000000
-0.00129285924
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2049-11-25
49.15000000
USD
0.00000000
USD
870000.00000000
USD
-47770.19000000
N
N
N
Atlantia SpA
8156008DEC771409C487
Atlantia SpA
N/A
755599.00000000
NS
16342655.28000000
0.442755499336
Long
EC
CORP
IT
N
2
N
N
N
Danaher Corp
S4BKK9OTCEWQ3YHPFM11
Danaher Corp
235851102
51768.00000000
NS
USD
7484617.44000000
0.202773385059
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2463500.00000000
OU
Notional Amount
USD
-1431.95000000
-0.00003879441
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2463500.00000000
OU
Notional Amount
USD
-1431.95000000
-0.00003900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2463500.00000000
USD
2463500.00000000
USD
2.78750000
USD
2021-03-09
XXXX
72011.14000000
N
N
N
Sequa Mezzanine Holdings LLC
N/A
Sequa Mezzanine Holdings LLC
N/A
3453256.70000000
PA
USD
3440306.99000000
0.093204856440
Long
LON
CORP
US
N
2
2021-10-28
Floating
6.74150000
N
N
N
N
N
N
RPI 2019 Intermediate Finance Trust
549300RTICDAOJP6BY55
RPI 2019 Intermediate Finance Trust
N/A
2055810.59000000
PA
USD
2053240.83000000
0.055626436057
Long
LON
CORP
US
N
2
2027-02-05
Floating
6.83050000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
75.00000000
NC
USD
-804046.02000000
-0.02178322867
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
LME Nickel; March 2020
2020-03-17
5490450.00000000
USD
-804046.02000000
N
N
N
Dynasty Acquisition Co Inc
549300L1RCRPOAUCB870
Dynasty Acquisition Co Inc
N/A
1297447.55000000
PA
USD
1269876.79000000
0.034403523945
Long
LON
CORP
US
N
2
2026-04-06
Floating
5.21280000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7830000.00000000
OU
Notional Amount
-1425.58000000
-0.00003862183
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7830000.00000000
OU
Notional Amount
-1425.58000000
-0.00003900
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
7830000.00000000
EUR
7830000.00000000
EUR
0.10000000
EUR
2021-04-13
XXXX
25022.95000000
N
N
N
Principal Government Money Market Fund
549300WWK3YB7DNN4U34
Principal Government Money Market Fund
742537228
115457312.42000000
NS
USD
115457312.42000000
3.127971503820
Long
STIV
RF
US
N
1
N
N
Ditech Holding Corp
Z4TM9IUZR644E7BFXU45
Ditech Holding Corp
N/A
1523169.37000000
PA
USD
619427.29000000
0.016781534847
Long
LON
CORP
US
N
2
2022-06-30
None
0.00000000
Y
N
N
N
N
N
Franco-Nevada Corp
N/A
Franco-Nevada Corp
N/A
29300.00000000
NS
3145561.56000000
0.085219608156
Long
EC
CORP
CA
N
1
N
N
N
Vertiv Group Corp
N/A
Vertiv Group Corp
N/A
1250000.00000000
PA
USD
1237500.00000000
0.033526371390
Long
LON
CORP
US
N
2
2027-02-11
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2570000.00000000
OU
Notional Amount
-1183.82000000
-0.00003207207
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2570000.00000000
OU
Notional Amount
-1183.82000000
-0.00003200
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
2570000.00000000
EUR
2570000.00000000
EUR
0.00010000
EUR
2021-07-02
XXXX
4124.54000000
N
N
N
HUB International Ltd
549300JQT6ATTUNS5E06
HUB International Ltd
N/A
2038507.61000000
PA
USD
1978636.64000000
0.053605258052
Long
LON
CORP
US
N
2
2025-04-25
Floating
4.52850000
N
N
N
N
N
N
Neste Oyj
5493009GY1X8GQ66AM14
Neste Oyj
N/A
85281.00000000
NS
3408345.20000000
0.092338947073
Long
EC
CORP
FI
N
2
N
N
N
Millennium Health LLC
N/A
Millennium Health LLC
N/A
20580.00000000
NS
USD
21777.62000000
0.000589999657
Long
EC
CORP
US
Y
3
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
800000.00000000
OU
Notional Amount
USD
-43036.57000000
-0.00116594749
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2044-11-15
16.29000000
USD
0.00000000
USD
800000.00000000
USD
-43052.86000000
N
N
N
Kloeckner Pentaplast of America Inc
5299004QDA11QZOG5N31
Kloeckner Pentaplast of America Inc
N/A
2371249.94000000
PA
USD
2059027.46000000
0.055783207537
Long
LON
CORP
US
N
2
2022-06-29
Floating
6.01230000
N
N
N
N
N
N
N/A
N/A
Options
N/A
186.00000000
NC
USD
39525.00000000
0.001070811983
N/A
DIR
N/A
N
1
CME
N/A
Call
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
186.00000000
NC
USD
39525.00000000
0.00107100
DIR
Long
N/A
90 Day Eurodollar Future; December 2021
N/A
465000.00000000
USD
186.00000000
99.75000000
USD
2021-12-14
XXXX
6671.82000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1022500.00000000
OU
Notional Amount
-13020.86000000
-0.00035276136
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1022500.00000000
OU
Notional Amount
-13020.86000000
-0.00035300
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
1022500.00000000
EUR
1022500.00000000
EUR
0.13800000
EUR
2022-09-13
XXXX
2366.14000000
N
N
N
Carestream Health Inc
5493008C1W5RQW9E4I05
Carestream Health Inc
N/A
1932321.64000000
PA
USD
1849231.81000000
0.050099420161
Long
LON
CORP
US
N
2
2021-02-28
Floating
7.64520000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
615000.00000000
OU
Notional Amount
USD
-39227.12000000
-0.00106274181
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-07-09
12.74000000
USD
0.00000000
USD
615000.00000000
USD
-39239.86000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1390000.00000000
OU
Notional Amount
USD
-4994.17000000
-0.00013530213
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1390000.00000000
OU
Notional Amount
USD
-4994.17000000
-0.00013500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1390000.00000000
USD
1390000.00000000
USD
2.75000000
USD
2022-08-09
XXXX
11755.33000000
N
N
N
Atkins Nutritionals Holdings Inc
N/A
Atkins Nutritionals Holdings Inc
N/A
2351010.68000000
PA
USD
2345133.15000000
0.063534387836
Long
LON
CORP
US
N
2
2024-07-07
Floating
5.40270000
N
N
N
N
N
N
Graphic Packaging Holding Co
N/A
Graphic Packaging Holding Co
388689101
87202.00000000
NS
USD
1178971.04000000
0.031940703794
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Futures
N/A
359.00000000
NC
USD
-1584330.04000000
-0.04292269682
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
Platinum; April 2020
2020-04-29
15521365.00000000
USD
-1584330.04000000
N
N
N
Air Liquide SA
969500MMPQVHK671GT54
Air Liquide SA
N/A
56307.00000000
NS
7669739.56000000
0.207788716734
Long
EC
CORP
FR
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2130000.00000000
OU
Notional Amount
-894.63000000
-0.00002423733
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2130000.00000000
OU
Notional Amount
-894.63000000
-0.00002400
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
2130000.00000000
EUR
2130000.00000000
EUR
0.00000100
EUR
2021-06-15
XXXX
4899.55000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-39926.80000000
-0.00108169755
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
580763.24000000
USD
830000.00000000
AUD
2020-03-18
-39926.80000000
N
N
N
WEX Inc
T9M5IGROL1TL1G5OV478
WEX Inc
N/A
913131.77000000
PA
USD
900959.72000000
0.024408816307
Long
LON
CORP
US
N
2
2026-05-14
Floating
3.85340000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
396.00000000
NC
USD
-3367012.04000000
-0.09121914838
N/A
DCO
N/A
N
1
CBT
N/A
Long
N/A
LME Zinc; June 2020
2020-06-16
20007900.00000000
USD
-3367012.04000000
N
N
N
Hera SpA
8156009414FD99443B48
Hera SpA
N/A
526034.00000000
NS
2257832.42000000
0.061169234950
Long
EC
CORP
IT
N
2
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-67193.33000000
-0.00182040285
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
1381993.76000000
USD
2017771.51000000
AUD
2020-03-18
-67193.33000000
N
N
N
Korea Zinc Co Ltd
988400D0HSQUB1I1VO41
Korea Zinc Co Ltd
N/A
8394.00000000
NS
2871888.26000000
0.077805246381
Long
EC
CORP
KR
N
2
N
N
N
KIK Custom Products Inc
54930093YQIEW0FV8L89
KIK Custom Products Inc
N/A
2125000.00000000
PA
USD
2089873.75000000
0.056618895759
Long
LON
CORP
US
N
2
2023-05-15
Floating
5.60340000
N
N
N
N
N
N
Checkout Holding Corp
5493000F1R60SFVQY311
Checkout Holding Corp
N/A
181739.59000000
PA
USD
135941.21000000
0.003682921611
Long
LON
CORP
US
N
2
2023-02-15
Floating
9.12980000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1270000.00000000
OU
Notional Amount
-105.53000000
-0.00000285902
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month JPY LIBOR
Y
2044-08-28
0.00000000
USD
1.37000000
USD
1270000.00000000
JPY
-104.16000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2400000.00000000
OU
Notional Amount
USD
-2.80000000
-0.00000007585
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2400000.00000000
OU
Notional Amount
USD
-2.80000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2400000.00000000
USD
2400000.00000000
USD
3.25000000
USD
2020-12-30
XXXX
8925.20000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1330000.00000000
OU
Notional Amount
USD
-9822.07000000
-0.00026609969
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1330000.00000000
OU
Notional Amount
USD
-9822.07000000
-0.00026600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1330000.00000000
USD
1330000.00000000
USD
3.00000000
USD
2024-06-21
XXXX
22662.01000000
N
N
N
American Commercial
N/A
American Commercial
N/A
24317.69000000
PA
USD
23589.04000000
0.000639074679
Long
LON
CORP
US
N
2
2027-02-11
Floating
6.79510000
N
N
N
N
N
N
Southwest Gas Holdings Inc
N/A
Southwest Gas Holdings Inc
844895102
123693.00000000
NS
USD
8000463.24000000
0.216748688390
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1680000.00000000
OU
Notional Amount
USD
-112520.06000000
-0.00304839541
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2025-04-03
25.72000000
USD
0.00000000
USD
1680000.00000000
USD
-112545.78000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7480000.00000000
OU
Notional Amount
USD
-289706.46000000
-0.00784873242
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
7480000.00000000
OU
Notional Amount
USD
-289706.46000000
-0.00784900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7480000.00000000
USD
7480000.00000000
USD
2.88750000
USD
2020-04-15
XXXX
-235756.96000000
N
N
N
Advantage Sales & Marketing Inc
549300T4O24KQDED1182
Advantage Sales & Marketing Inc
N/A
429253.84000000
PA
USD
413427.25000000
0.011200578203
Long
LON
CORP
US
N
2
2021-07-23
Floating
4.85340000
N
N
N
N
N
N
Eyecare Partners LLC
N/A
Eyecare Partners LLC
N/A
891891.89000000
PA
USD
876283.78000000
0.023740295314
Long
LON
CORP
US
N
2
2027-02-05
Floating
5.41840000
N
N
N
N
N
N
Red Electrica Corp SA
5493009HMD0C90GUV498
Red Electrica Corp SA
N/A
1177138.00000000
NS
22498903.79000000
0.609540690383
Long
EC
CORP
ES
N
2
N
N
N
AusNet Services
529900PPFC4A1KRQ2S64
AusNet Services
N/A
12242723.00000000
NS
13574170.17000000
0.367751652882
Long
EC
CORP
AU
N
2
N
N
N
CenturyLink Inc
8M3THTGWLTYZVE6BBY25
CenturyLink Inc
N/A
7608189.89000000
PA
USD
7373629.40000000
0.199766495161
Long
LON
CORP
US
N
2
2027-03-15
Floating
3.85340000
N
N
N
N
N
N
Heartland Dental LLC
5493008FRC0GRKBN1075
Heartland Dental LLC
N/A
111795.96000000
PA
USD
109630.47000000
0.002970110588
Long
LON
CORP
US
N
2
2025-04-18
Floating
5.39380000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
240000.00000000
OU
Notional Amount
USD
-14399.31000000
-0.00039010635
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-10-23
4.82000000
USD
0.00000000
USD
240000.00000000
USD
-14404.13000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8650000.00000000
OU
Notional Amount
-4142.56000000
-0.00011223030
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month JPY LIBOR
Y
2034-02-08
8.15000000
USD
0.00000000
USD
8650000.00000000
JPY
-4150.71000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
240000.00000000
OU
Notional Amount
USD
-14520.23000000
-0.00039338232
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-10-23
4.82000000
USD
0.00000000
USD
240000.00000000
USD
-14525.05000000
N
N
N
Lindsay Corp
549300ZFO0QG5H8TPI61
Lindsay Corp
535555106
7939.00000000
NS
USD
786199.17000000
0.021299721503
Long
EC
CORP
US
N
1
N
N
N
AHP Health Partners Inc
549300QMM8MQ6SM5KX05
AHP Health Partners Inc
N/A
1429931.93000000
PA
USD
1434407.62000000
0.038860996035
Long
LON
CORP
US
N
2
2025-06-16
Floating
6.10340000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4030000.00000000
OU
Notional Amount
USD
-0.25000000
-0.00000000677
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
4030000.00000000
OU
Notional Amount
USD
-0.25000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4030000.00000000
USD
4030000.00000000
USD
2.90000000
USD
2020-06-01
XXXX
29620.25000000
N
N
N
CFE Capital S de RL de CV
N/A
CFE Capital S de RL de CV
N/A
5776324.00000000
NS
7351364.94000000
0.199163306026
Long
EC
CORP
MX
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5700000.00000000
OU
Notional Amount
USD
-177578.82000000
-0.00481096846
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-15
0.00000000
USD
30.32000000
USD
5700000.00000000
USD
-177548.50000000
N
N
N
Alfa Laval AB
549300UCKT2UK88AG251
Alfa Laval AB
N/A
220459.00000000
NS
4998273.68000000
0.135413316936
Long
EC
CORP
SE
N
2
N
N
N
N/A
N/A
Futures
N/A
279.00000000
NC
USD
-782285.69000000
-0.02119369743
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
US 10 Year Ultra Note; June 2020
2020-06-22
41911031.25000000
USD
-782285.69000000
N
N
N
Corteva Inc
549300WZN9I2QKLS0O94
Corteva Inc
22052L104
110868.00000000
NS
USD
3015609.60000000
0.081698947409
Long
EC
CORP
US
N
1
N
N
N
Stora Enso Oyj
7437000ZP669LKUTZ738
Stora Enso Oyj
N/A
512522.00000000
NS
6073855.88000000
0.164553008490
Long
EC
CORP
FI
N
2
N
N
N
Benchmark 2019-B15 Mortgage Trust
N/A
Benchmark 2019-B15 Mortgage Trust
08160KAA2
3177701.70000000
PA
USD
3222397.03000000
0.087301236037
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
2.00000000
N
N
N
N
N
N
Evergreen Skills Lux Sarl
213800Y2WBMGMF48QG13
Evergreen Skills Lux Sarl
N/A
803948.58000000
PA
USD
156769.97000000
0.004247214737
Long
LON
CORP
LU
N
2
2022-04-28
Floating
10.02690000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
310000.00000000
OU
Notional Amount
USD
-17357.11000000
-0.00047023912
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2039-10-23
6.28000000
USD
0.00000000
USD
310000.00000000
USD
-17363.39000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
480000.00000000
OU
Notional Amount
USD
-25787.36000000
-0.00069863160
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-10-21
9.65000000
USD
0.00000000
USD
480000.00000000
USD
-25797.01000000
N
N
N
NN Inc
549300SU3TUM6VH84645
NN Inc
N/A
658170.47000000
PA
USD
645500.69000000
0.017487915851
Long
LON
CORP
US
N
2
2022-10-19
Floating
6.85350000
N
N
N
N
N
N
Calpine Corp
43R4VPJBXTU2O15HEF41
Calpine Corp
N/A
830783.01000000
PA
USD
815895.38000000
0.022104251738
Long
LON
CORP
US
N
2
2024-01-15
Floating
4.19980000
N
N
N
N
N
N
Advanz Pharma Corp Ltd
549300WZSXRSISJ4VI31
Advanz Pharma Corp Ltd
G01022105
22681.00000000
NS
USD
101157.26000000
0.002740554236
Long
EC
CORP
CA
Y
2
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825C104
299259.00000000
NS
USD
14490120.78000000
0.392566602640
Long
EC
CORP
US
N
1
N
N
N
China Merchants Port Holdings Co Ltd
529900GA4UH90FUOR048
China Merchants Port Holdings Co Ltd
N/A
8203687.00000000
NS
12191578.71000000
0.330294461148
Long
EC
CORP
HK
N
2
N
N
N
Sumitomo Forestry Co Ltd
549300FIIRGO6D5FWR19
Sumitomo Forestry Co Ltd
N/A
170200.00000000
NS
2524263.64000000
0.068387394168
Long
EC
CORP
JP
N
2
N
N
N
RBS Global Inc
N/A
RBS Global Inc
N/A
960349.38000000
PA
USD
956152.65000000
0.025904104121
Long
LON
CORP
US
N
2
2024-08-21
Floating
3.37860000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
460000.00000000
OU
Notional Amount
USD
57325.50000000
0.001553063436
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2031-05-18
8.78000000
USD
0.00000000
USD
460000.00000000
USD
57316.72000000
N
N
N
N/A
N/A
Capped Options
N/A
8190000.00000000
OU
Notional Amount
USD
3487.59000000
0.000094485848
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
8190000.00000000
OU
Notional Amount
USD
3487.59000000
0.00009400
DIR
N/A
Max (0, 5Y CMS-0.40%)
N/A
N/A
N/A
N/A
N/A
8190000.00000000
USD
8190000.00000000
USD
0.40000000
USD
2020-06-30
XXXX
-2996.35000000
N
N
N
Woodside Petroleum Ltd
2549005ZC5RXAOO7FH41
Woodside Petroleum Ltd
N/A
123586.00000000
NS
2301011.45000000
0.062339041977
Long
EC
CORP
AU
N
2
N
N
N
Freddie Mac Multifamily Structured Pass Through Certificates
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FMU83
73709375.93000000
PA
USD
3986107.23000000
0.107991685977
Long
ABS-MBS
CORP
US
N
2
2026-05-25
Variable
0.97000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
540000.00000000
OU
Notional Amount
USD
-30284.57000000
-0.00082047009
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-10-22
10.85000000
USD
0.00000000
USD
540000.00000000
USD
-30295.42000000
N
N
N
Federal Home Loan Banks
2549001DPIFGXC1TOL40
Federal Home Loan Banks
3130AJ2N8
20500000.00000000
PA
USD
20499018.67000000
0.555359768143
Long
DBT
USGA
US
N
2
2021-05-03
Floating
1.64000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
27.00000000
NC
USD
-51637.50000000
-0.00139896404
N/A
DIR
N/A
N
1
CME
N/A
Call
Written
CME
N/A
N/A
N/A
FUTURE
N/A
27.00000000
NC
USD
-51637.50000000
-0.00139900
DIR
Long
N/A
90 Day Eurodollar Future; March 2020
N/A
67500.00000000
USD
27.00000000
97.87500000
USD
2020-03-17
XXXX
-47966.31000000
N
N
N
Essex Property Trust Inc
549300TR2H2VEFX0NC60
Essex Property Trust Inc
297178105
46178.00000000
NS
USD
13084998.08000000
0.354498994164
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
11470000.00000000
OU
Notional Amount
-5117.66000000
-0.00013864773
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month JPY LIBOR
Y
2039-06-17
55.81000000
USD
0.00000000
USD
11470000.00000000
JPY
-5173.47000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2610000.00000000
OU
Notional Amount
USD
-279424.65000000
-0.00757017744
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2610000.00000000
OU
Notional Amount
USD
-279424.65000000
-0.00757000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2610000.00000000
USD
2610000.00000000
USD
2.20300000
USD
2020-06-12
XXXX
-222494.02000000
N
N
N
FMC Corp
CKDHZ2X64EEBQCSP7013
FMC Corp
302491303
121372.00000000
NS
USD
11299733.20000000
0.306132567176
Long
EC
CORP
US
N
1
N
N
N
Zhongliang Holdings Group Co Ltd
549300SKDRW33OJQFH41
Zhongliang Holdings Group Co Ltd
N/A
2621500.00000000
NS
1912148.00000000
0.051803946668
Long
EC
CORP
CN
N
2
N
N
N
Dell International LLC
N/A
Dell International LLC
N/A
6078789.53000000
PA
USD
6000920.24000000
0.162577034871
Long
LON
CORP
US
N
2
2025-09-12
Floating
3.61000000
N
N
N
N
N
N
PGS ASA
213800T66DRTE6O6BV87
PGS ASA
N/A
1675000.00000000
PA
USD
1614281.25000000
0.043734135528
Long
LON
CORP
NO
N
2
2023-03-19
Floating
8.66240000
N
N
N
N
N
N
Connect Finco SARL
2594001KNYIQ456J2792
Connect Finco SARL
N/A
1875000.00000000
PA
USD
1853906.25000000
0.050226060170
Long
LON
CORP
LU
N
2
2026-09-23
Floating
6.11000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust 2019-GC41
N/A
Citigroup Commercial Mortgage Trust 2019-GC41
17328FAS4
3699315.25000000
PA
USD
3746357.96000000
0.101496394610
Long
ABS-MBS
CORP
US
N
2
2056-08-10
Fixed
1.95000000
N
N
N
N
N
N
Bausch Health Americas Inc
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
N/A
3844104.33000000
PA
USD
3818887.01000000
0.103461352886
Long
LON
CORP
US
N
2
2025-11-14
Floating
4.40850000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1760000.00000000
OU
Notional Amount
USD
84848.88000000
0.002298727323
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1760000.00000000
OU
Notional Amount
USD
84848.88000000
0.00229900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1760000.00000000
USD
1760000.00000000
USD
1.45750000
USD
2021-08-17
XXXX
22016.88000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3140000.00000000
OU
Notional Amount
-892.83000000
-0.00002418856
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
3140000.00000000
OU
Notional Amount
-892.83000000
-0.00002400
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
3140000.00000000
EUR
3140000.00000000
EUR
0.08000000
EUR
2021-06-01
XXXX
8267.70000000
N
N
N
Bank 2019-BNK19
N/A
Bank 2019-BNK19
06540WBH5
63863118.41000000
PA
USD
4983756.42000000
0.135020015077
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Variable
0.96000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
10415000.00000000
OU
Notional Amount
-77010.19000000
-0.00208636139
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
10415000.00000000
OU
Notional Amount
-77010.19000000
-0.00208600
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
10415000.00000000
EUR
10415000.00000000
EUR
0.29300000
EUR
2020-08-21
XXXX
-26725.76000000
N
N
N
California Resources Corp
N/A
California Resources Corp
N/A
4375000.00000000
PA
USD
3715118.75000000
0.100650061392
Long
LON
CORP
US
N
2
2022-11-14
Floating
6.36490000
N
N
N
N
N
N
CNOOC Ltd
549300XIVJCBIGMRUD48
CNOOC Ltd
N/A
1987000.00000000
NS
2764139.79000000
0.074886122970
Long
EC
CORP
CN
N
2
N
N
N
Franklin Electric Co Inc
RR6AURIKMXUE4Q24G284
Franklin Electric Co Inc
353514102
28298.00000000
NS
USD
1462723.62000000
0.039628133596
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1960000.00000000
OU
Notional Amount
USD
26324.44000000
0.000713182183
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Purchased
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1960000.00000000
OU
Notional Amount
USD
26324.44000000
0.00071300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1960000.00000000
USD
1960000.00000000
USD
2.50000000
USD
2024-06-14
XXXX
-61793.90000000
N
N
N
Western Digital Corp
549300QQXOOYEF89IC56
Western Digital Corp
N/A
1760024.78000000
PA
USD
1733624.41000000
0.046967382482
Long
LON
CORP
US
N
2
2023-04-29
Floating
3.35350000
N
N
N
N
N
N
CCM Merger Inc
549300P77RSBKKFME089
CCM Merger Inc
N/A
3185318.03000000
PA
USD
3178947.39000000
0.086124097639
Long
LON
CORP
US
N
2
2021-08-08
Floating
3.85340000
N
N
N
N
N
N
AI Convoy Luxembourg Sarl
222100GQMVQ4KP4KJS35
AI Convoy Luxembourg Sarl
N/A
1300000.00000000
PA
USD
1283750.00000000
0.034779377190
Long
LON
CORP
LU
N
2
2027-01-29
Floating
0.00000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
9290000.00000000
OU
Notional Amount
USD
88311.20000000
0.002392528556
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
9290000.00000000
OU
Notional Amount
USD
88311.20000000
0.00239300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
9290000.00000000
USD
9290000.00000000
USD
1.77200000
USD
2024-11-06
XXXX
38052.30000000
N
N
N
Domtar Corp
XYSIJOU3HNVROZWNA008
Domtar Corp
257559203
53146.00000000
NS
USD
1529010.42000000
0.041423976728
Long
EC
CORP
US
N
1
N
N
N
PulteGroup Inc
N/A
PulteGroup Inc
745867101
33906.00000000
NS
USD
1363021.20000000
0.036926993910
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5725000.00000000
OU
Notional Amount
USD
-79646.88000000
-0.00215779464
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Call
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
5725000.00000000
OU
Notional Amount
USD
-79646.88000000
-0.00215800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5725000.00000000
USD
5725000.00000000
USD
1.50750000
USD
2020-12-15
XXXX
-52310.00000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7470000.00000000
OU
Notional Amount
USD
-287837.32000000
-0.00779809364
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
7470000.00000000
OU
Notional Amount
USD
-287837.32000000
-0.00779800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7470000.00000000
USD
7470000.00000000
USD
2.87750000
USD
2020-04-15
XXXX
-233773.19000000
N
N
N
Gray Television Inc
529900TM5726KDN7UU35
Gray Television Inc
N/A
637232.14000000
PA
USD
632452.90000000
0.017134424899
Long
LON
CORP
US
N
2
2025-11-02
Floating
4.16140000
N
N
N
N
N
N
Enel SpA
WOCMU6HCI0OJWNPRZS33
Enel SpA
N/A
650497.00000000
NS
5459732.55000000
0.147915168618
Long
EC
CORP
IT
N
2
N
N
N
McAfee LLC
549300713UKUTLV9T378
McAfee LLC
N/A
656249.99000000
PA
USD
655429.68000000
0.017756912219
Long
LON
CORP
US
N
2
2025-09-29
Floating
10.10360000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
17627000.00000000
OU
Notional Amount
USD
-82592.65000000
-0.00223760150
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2021-05-10
0.00000000
USD
10125.46000000
USD
17627000.00000000
USD
-72467.19000000
N
N
N
BP PLC
213800LH1BZH3DI6G760
BP PLC
N/A
3459776.00000000
NS
17975637.64000000
0.486996285660
Long
EC
CORP
GB
N
2
N
N
N
BBCMS 2019-BWAY Mortgage Trust
N/A
BBCMS 2019-BWAY Mortgage Trust
05492NAA1
11500000.00000000
PA
USD
11481528.70000000
0.311057774004
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
2.61000000
N
N
N
N
N
N
Catalina Marketing Corp
N/A
Catalina Marketing Corp
N/A
3965.00000000
NS
USD
11895.00000000
0.000322259545
Long
EC
CORP
US
N
3
N
N
N
DTI Holdco Inc
549300QQVMUL3P8XVJ27
DTI Holdco Inc
N/A
796905.58000000
PA
USD
742118.32000000
0.020105482353
Long
LON
CORP
US
N
2
2023-10-02
Floating
6.52730000
N
N
N
N
N
N
Clearwater Paper Corp
549300HCVV19GXN4P292
Clearwater Paper Corp
18538R103
39548.00000000
NS
USD
1078473.96000000
0.029218035166
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4985000.00000000
OU
Notional Amount
USD
514709.52000000
0.013944519212
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2024-10-29
84.29000000
USD
0.00000000
USD
4985000.00000000
USD
514625.23000000
N
N
N
United States Treasury Floating Rate Note
254900HROIFWPRGM1V77
United States Treasury Floating Rate Note
9128286Q8
15000000.00000000
PA
USD
15005015.70000000
0.406516144713
Long
DBT
UST
US
N
2
2021-04-30
Floating
1.65000000
N
N
N
N
N
N
CityCenter Holdings LLC
54930012KUDSU3GT0X08
CityCenter Holdings LLC
N/A
2500183.66000000
PA
USD
2466856.21000000
0.066832111082
Long
LON
CORP
US
N
2
2024-04-18
Floating
3.85340000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2000000.00000000
OU
Notional Amount
USD
-6626.14000000
-0.00017951549
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2000000.00000000
OU
Notional Amount
USD
-6626.14000000
-0.00018000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2000000.00000000
USD
2000000.00000000
USD
1.76250000
USD
2020-09-17
XXXX
43673.86000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
5571.80000000
0.000150951301
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
557942.76000000
USD
510000.00000000
EUR
2020-03-18
5571.80000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
560000.00000000
OU
Notional Amount
USD
91012.35000000
0.002465708159
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
560000.00000000
OU
Notional Amount
USD
91012.35000000
0.00246600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
560000.00000000
USD
560000.00000000
USD
3.08250000
USD
2029-01-30
XXXX
59204.35000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
300000.00000000
OU
Notional Amount
USD
16106.84000000
0.000436366787
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-28
6.24000000
USD
0.00000000
USD
300000.00000000
USD
16100.60000000
N
N
N
Akorn Inc
549300REUQNNF5W5TA64
Akorn Inc
N/A
900253.13000000
PA
USD
867240.85000000
0.023495304098
Long
LON
CORP
US
N
2
2021-04-16
Floating
11.69000000
N
N
Y
N
N
N
SJW Group
N/A
SJW Group
784305104
17247.00000000
NS
USD
1055171.46000000
0.028586723433
Long
EC
CORP
US
N
1
N
N
N
Reliance Worldwide Corp Ltd
52990084PQSDDJ8F5447
Reliance Worldwide Corp Ltd
N/A
581343.00000000
NS
1300526.22000000
0.035233878832
Long
EC
CORP
US
N
2
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
660000.00000000
OU
Notional Amount
USD
-47567.65000000
-0.00128870359
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-11-12
13.32000000
USD
0.00000000
USD
660000.00000000
USD
-47580.97000000
N
N
N
CatchMark Timber Trust Inc
54930027IT0GQOYYOW30
CatchMark Timber Trust Inc
14912Y202
266033.00000000
NS
USD
2444843.27000000
0.066235736131
Long
EC
CORP
US
N
1
N
N
N
Israel Chemicals Ltd
529900FQVQD88SHIGM04
Israel Chemicals Ltd
N/A
614150.00000000
NS
2233904.45000000
0.060520977973
Long
EC
CORP
IL
N
2
N
N
N
Transurban Group
549300ZR71SUQ4VUTM79
Transurban Group
N/A
3123279.00000000
NS
30455364.06000000
0.825097249549
Long
EC
CORP
AU
N
2
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
560000.00000000
OU
Notional Amount
USD
10227.24000000
0.000277076562
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Purchased
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
560000.00000000
OU
Notional Amount
USD
10227.24000000
0.00027700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
560000.00000000
USD
560000.00000000
USD
3.03660000
USD
2029-01-12
XXXX
-21650.76000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3335000.00000000
OU
Notional Amount
-257109.78000000
-0.00696562260
N/A
DIR
N/A
N
2
LCH
N/A
N/A
New Zealand Bank Bill 3 Month FRA
Y
2029-03-20
13310.30000000
USD
0.00000000
USD
3335000.00000000
NZD
-270420.08000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
430000.00000000
OU
Notional Amount
-506.13000000
-0.00001371208
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-09-28
24.18000000
USD
0.00000000
USD
430000.00000000
EUR
-530.31000000
N
N
N
Svenska Cellulosa AB SCA
549300FW5JDRV1IJ0M67
Svenska Cellulosa AB SCA
N/A
808739.00000000
NS
7760173.69000000
0.210238759748
Long
EC
CORP
SE
N
2
N
N
N
National Grid PLC
8R95QZMKZLJX5Q2XR704
National Grid PLC
N/A
2218209.00000000
NS
27962160.64000000
0.757551339398
Long
EC
CORP
GB
N
2
N
N
N
Select Energy Services Inc
54930094OK8LA3QDW486
Select Energy Services Inc
81617J301
41674.00000000
NS
USD
270881.00000000
0.007338712734
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1640000.00000000
OU
Notional Amount
USD
-2053.28000000
-0.00005562749
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1640000.00000000
OU
Notional Amount
USD
-2053.28000000
-0.00005600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1640000.00000000
USD
1640000.00000000
USD
1.95000000
USD
2020-07-14
XXXX
15604.81000000
N
N
N
Kirkland Lake Gold Ltd
N/A
Kirkland Lake Gold Ltd
N/A
68600.00000000
NS
2212474.58000000
0.059940399565
Long
EC
CORP
CA
N
1
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128285W6
20446506.29700000
PA
USD
22599718.06000000
0.612271952329
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.88000000
N
N
N
N
N
N
Blackstone CQP Holdco LP
N/A
Blackstone CQP Holdco LP
N/A
2489869.10000000
PA
USD
2433224.58000000
0.065920962380
Long
LON
CORP
US
N
2
2024-09-30
Floating
5.40790000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3850000.00000000
OU
Notional Amount
USD
24390.88000000
0.000660798142
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-08-04
42.94000000
USD
0.00000000
USD
3850000.00000000
USD
24347.94000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828S50
23802412.15000000
PA
USD
24611538.26000000
0.666776219962
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.13000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2350000.00000000
OU
Notional Amount
USD
-163848.58000000
-0.00443898856
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
2350000.00000000
OU
Notional Amount
USD
-163848.58000000
-0.00443900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2350000.00000000
USD
2350000.00000000
USD
1.39000000
USD
2020-08-24
XXXX
-88648.58000000
N
N
N
Rosneft Oil Co PJSC
253400JT3MQWNDKMJE44
Rosneft Oil Co PJSC
N/A
425491.00000000
NS
USD
2605708.59000000
0.070593902161
Long
EC
CORP
RU
N
2
N
N
N
Steel Dynamics Inc
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119100
227063.00000000
NS
USD
6046687.69000000
0.163816967417
Long
EC
CORP
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1590000.00000000
OU
Notional Amount
USD
-29217.92000000
-0.00079157239
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1590000.00000000
OU
Notional Amount
USD
-29217.92000000
-0.00079200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1590000.00000000
USD
1590000.00000000
USD
3.05000000
USD
2029-03-13
XXXX
55131.58000000
N
N
N
American Homes 4 Rent
549300ZJUO7A58PNUW40
American Homes 4 Rent
02665T306
125658.00000000
NS
USD
3253285.62000000
0.088138070251
Long
EC
CORP
US
N
1
N
N
N
Belk Inc
N/A
Belk Inc
N/A
2855094.85000000
PA
USD
1949401.66000000
0.052813223469
Long
LON
CORP
US
N
2
2025-07-31
Floating
8.80290000
N
N
N
N
N
N
Archer-Daniels-Midland Co
549300LO13MQ9HYSTR83
Archer-Daniels-Midland Co
039483102
374832.00000000
NS
USD
14112424.80000000
0.382334056621
Long
EC
CORP
US
N
1
N
N
N
Norsk Hydro ASA
549300N1SDN71ZZ8BO45
Norsk Hydro ASA
N/A
814973.00000000
NS
2373388.82000000
0.064299890936
Long
EC
CORP
NO
N
2
N
N
N
Olin Corp
549300GKK294V7W57P06
Olin Corp
680665205
120880.00000000
NS
USD
1957047.20000000
0.053020356570
Long
EC
CORP
US
N
1
N
N
N
Pentair PLC
549300EVR9D56WPSRP15
Pentair PLC
G7S00T104
123639.00000000
NS
USD
4870140.21000000
0.131941922752
Long
EC
CORP
GB
N
1
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
34330000.00000000
OU
Notional Amount
USD
-1202.85000000
-0.00003258763
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
34330000.00000000
OU
Notional Amount
USD
-1202.85000000
-0.00003300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
34330000.00000000
USD
34330000.00000000
USD
2.40000000
USD
2021-06-02
XXXX
60934.45000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2400000.00000000
OU
Notional Amount
-1072.54000000
-0.00002905727
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2400000.00000000
OU
Notional Amount
-1072.54000000
-0.00002900
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
2400000.00000000
EUR
2400000.00000000
EUR
0.00000100
EUR
2021-06-28
XXXX
4410.65000000
N
N
N
N/A
N/A
Futures
N/A
300.00000000
NC
USD
1016077.33000000
0.027527584587
N/A
DCO
N/A
N
1
CBT
N/A
Short
N/A
LME Zinc; June 2020
2020-06-16
15157500.00000000
USD
1016077.33000000
N
N
N
2020-04-03
Principal Funds, Inc
Sara Reece
/s/ Sara Reece
Vice President and Controller